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Trading Tools Research
AlphaGenerator ES System
Our AlphaGenerator ES Trading System is now available to the
public. Our AlphaGenerator ES System only
runs on
TradeStation at this time, but we are
working on a version for NinjaTrader. Please review the System
Results below. If you have any questions, please feel free to
contact us.
AlphaGenerator ES System
Performance
Summary - 7/29/2009 through 11/30/2011 |
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All Trades |
Long Trades |
Short
Trades |
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| Total Net Profit |
$80,825.00 |
$48,075.00 |
$32,750.00 |
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| Gross Profit |
$101,875.00 |
$60,825.00 |
$41,050.00 |
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| Gross Loss |
($21,050.00) |
($12,750.00) |
($8,300.00) |
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| Profit Factor |
4.84 |
4.77 |
4.95 |
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| Roll Over Credit |
$0.00 |
$0.00 |
$0.00 |
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| Open Position P/L |
$0.00 |
$0.00 |
$0.00 |
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| Select Total Net Profit |
$70,512.50 |
$47,012.50 |
$23,500.00 |
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| Select Gross Profit |
$90,612.50 |
$58,812.50 |
$31,800.00 |
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| Select Gross Loss |
($20,100.00) |
($11,800.00) |
($8,300.00) |
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| Select Profit Factor |
4.51 |
4.98 |
3.83 |
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| Adjusted Total Net Profit |
$76,944.67 |
$44,885.02 |
$30,449.03 |
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| Adjusted Gross Profit |
$99,940.74 |
$59,338.81 |
$39,811.73 |
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| Adjusted Gross Loss |
($22,996.07) |
($14,453.79) |
($9,362.71) |
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| Adjusted Profit Factor |
4.35 |
4.11 |
4.25 |
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| Total Number of Trades |
3132 |
1733 |
1399 |
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| Percent Profitable |
88.57% |
96.65% |
78.56% |
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| Winning Trades |
2774 |
1675 |
1099 |
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| Losing Trades |
117 |
56 |
61 |
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| Even Trades |
241 |
2 |
239 |
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| Avg. Trade Net Profit |
$25.81 |
$27.74 |
$23.41 |
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| Avg. Winning Trade |
$36.72 |
$36.31 |
$37.35 |
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| Avg. Losing Trade |
($179.91) |
($227.68) |
($136.07) |
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| Ratio Avg. Win:Avg. Loss |
0.2 |
0.16 |
0.27 |
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| Largest Winning Trade |
$425.00 |
$250.00 |
$425.00 |
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| Largest Losing Trade |
($950.00) |
($950.00) |
($562.50) |
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| Largest Winner as % of Gross Profit |
0.42% |
0.41% |
1.04% |
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| Largest Loser as % of Gross Loss |
4.51% |
7.45% |
6.78% |
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| Net Profit as % of Largest Loss |
8507.89% |
5060.53% |
5822.22% |
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| Select Net Profit as % of Largest
Loss |
7422.37% |
4948.68% |
4177.78% |
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| Adjusted Net Profit as % of Largest
Loss |
8099.44% |
4724.74% |
5413.16% |
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| Max. Consecutive Winning Trades |
56 |
122 |
23 |
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| Max. Consecutive Losing Trades |
2 |
1 |
1 |
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| Avg. Bars in Total Trades |
13.26 |
18.83 |
6.35 |
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| Avg. Bars in Winning Trades |
13.78 |
18.42 |
6.7 |
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| Avg. Bars in Losing Trades |
19.09 |
30.66 |
8.48 |
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| Avg. Bars in Even Trades |
4.44 |
33 |
4.2 |
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| Max. Shares/Contracts Held |
4 |
4 |
4 |
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| Total Shares/Contracts Held |
3232 |
1804 |
1428 |
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| Account Size Required |
$950.00 |
$950.00 |
$562.50 |
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| Total Slippage |
$0.00 |
$0.00 |
$0.00 |
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| Total Commission |
$40,400.00 |
$22,550.00 |
$17,850.00 |
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| Return on Initial Capital |
80.83% |
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| Annual Rate of Return |
25.35% |
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| Buy & Hold Return |
30.57% |
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| Return on Account |
8507.89% |
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| Avg. Monthly Return |
$2,886.61 |
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| Std. Deviation of Monthly Return |
$1,465.81 |
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| Return Retracement Ratio |
0.81 |
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| RINA Index |
118354.09 |
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| Sharpe Ratio |
n/a |
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| K-Ratio |
n/a |
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| Trading Period |
2 Yrs, 4 Mths, 14 Hrs, 54 Mins |
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| Percent of Time in the Market |
1.18% |
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| Time in the Market |
10 Dys, 1 Hr, 33 Mins |
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| Longest Flat Period |
15 Dys, 23 Hrs, 1 Min |
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| Max. Equity Run-up |
$80,887.50 |
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| Date of Max. Equity Run-up |
11/30/2011 14:41 |
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| Max. Equity Run-up as % of Initial
Capital |
80.89% |
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| Max. Drawdown (Intra-day
Peak to Valley) |
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| Value |
($1,562.50) |
($1,562.50) |
($1,237.50) |
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| Date |
10/26/2011 13:57 |
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| as % of Initial Capital |
1.56% |
1.56% |
1.24% |
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| Net Profit as % of Drawdown |
5172.80% |
3076.80% |
2646.46% |
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| Select Net Profit as % of Drawdown |
4512.80% |
3008.80% |
1898.99% |
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| Adjusted Net Profit as % of Drawdown |
4924.46% |
2872.64% |
2460.53% |
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| Max. Drawdown (Trade
Close to Trade Close) |
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| Value |
($950.00) |
($950.00) |
($562.50) |
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| Date |
11/3/2011 13:49 |
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| as % of Initial Capital |
0.95% |
0.95% |
0.56% |
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| Net Profit as % of Drawdown |
8507.89% |
5060.53% |
5822.22% |
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| Select Net Profit as % of Drawdown |
7422.37% |
4948.68% |
4177.78% |
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| Adjusted Net Profit as % of Drawdown |
8099.44% |
4724.74% |
5413.16% |
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| Max. Trade Drawdown |
($900.00) |
($900.00) |
($525.00) |
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Mark-To-Market Monthly Average Analysis: |
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| Period |
Avg. Net Profit |
% Gain |
%Profitable |
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| January |
$2,331.25 |
2.33% |
88.94% |
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| February |
$2,650.00 |
2.09% |
90.43% |
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| March |
$2,375.00 |
1.83% |
89.72% |
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| April |
$3,393.75 |
2.57% |
95.00% |
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| May |
$3,275.00 |
2.42% |
85.45% |
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| June |
$2,768.75 |
2.00% |
88.39% |
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| July |
$3,812.50 |
2.69% |
89.24% |
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| August |
$3,441.67 |
2.37% |
87.03% |
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| September |
$3,883.33 |
2.91% |
88.00% |
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| October |
$2,604.17 |
1.89% |
85.10% |
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| November |
$2,441.67 |
1.74% |
87.88% |
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| December |
$1,250.00 |
0.88% |
95.83% |
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| Mark-To-Market Period Analysis: |
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| Period |
Net Profit |
% Gain |
# Trades |
%Profitable |
| 11/1/2011 |
$2,662.50 |
1.49% |
160 |
85.63% |
| 10/1/2011 |
$3,512.50 |
2.01% |
144 |
87.50% |
| 9/1/2011 |
$6,975.00 |
4.16% |
227 |
85.90% |
| 8/1/2011 |
$7,062.50 |
4.40% |
156 |
87.18% |
| 7/1/2011 |
$4,000.00 |
2.55% |
148 |
88.51% |
| 6/1/2011 |
$2,825.00 |
1.84% |
141 |
88.65% |
| 5/1/2011 |
$1,900.00 |
1.25% |
112 |
83.93% |
| 4/1/2011 |
$2,950.00 |
1.98% |
110 |
94.55% |
| 3/1/2011 |
$2,837.50 |
1.94% |
174 |
89.66% |
| 2/1/2011 |
$2,612.50 |
1.82% |
99 |
93.94% |
| 1/1/2011 |
$3,187.50 |
2.27% |
133 |
90.23% |
| 12/1/2010 |
$1,662.50 |
1.20% |
50 |
98.00% |
| 11/1/2010 |
$3,237.50 |
2.39% |
114 |
89.47% |
| 10/1/2010 |
$1,862.50 |
1.39% |
111 |
87.39% |
| 9/1/2010 |
$2,400.00 |
1.83% |
91 |
90.11% |
| 8/1/2010 |
$1,137.50 |
0.88% |
84 |
82.14% |
| 7/1/2010 |
$3,625.00 |
2.87% |
103 |
90.29% |
| 6/1/2010 |
$2,712.50 |
2.19% |
83 |
87.95% |
| 5/1/2010 |
$4,650.00 |
3.91% |
108 |
87.04% |
| 4/1/2010 |
$3,837.50 |
3.33% |
110 |
95.45% |
| 3/1/2010 |
$1,912.50 |
1.69% |
79 |
89.87% |
| 2/1/2010 |
$2,687.50 |
2.43% |
110 |
87.27% |
| 1/1/2010 |
$1,475.00 |
1.35% |
84 |
86.90% |
| 12/1/2009 |
$837.50 |
0.77% |
46 |
93.48% |
| 11/1/2009 |
$1,425.00 |
1.33% |
56 |
91.07% |
| 10/1/2009 |
$2,437.50 |
2.33% |
141 |
80.85% |
| 9/1/2009 |
$2,275.00 |
2.23% |
82 |
91.46% |
| 8/1/2009 |
$2,125.00 |
2.13% |
76 |
92.11% |
Please feel free to email us with any
questions. The purchase links are below. Thank You!
DISCLAIMER
Past performance is not necessarily indicative of future results. The data and graphs above are intended to be mere examples and exhibits of the educational topic discussed, are for educational and illustrative purposes only, and do not represent trading in actual accounts.
Copyright © 2012
Trading Tools Research
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Disclaimer
US Government Required Disclaimer- Forex, options and futures trading have large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the forex markets. Don't trade with money you can't afford to lose. This website is neither a solicitation nor an offer to Buy/Sell forex, options or futures. No representation is being made that any forex, options or futures account will or is likely to achieve profits or losses similar to those discussed on this website. The past performance of any forex, options or futures trading system or methodology is not necessarily indicative of future results.
CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN. | |
