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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, and it trades 4 contracts at a time. Please review the System Results below. If you have any questions, please feel free to contact us.

AlphaGenerator ES System
Performance Summary - 7/15/2009 through 08/17/2012
Includes $12.50RT Per Contract Commission
All Trades Long Trades Short Trades
Total Net Profit $97,100.00 $60,962.50 $36,137.50
Gross Profit $126,837.50 $79,050.00 $47,787.50
Gross Loss ($29,737.50) ($18,087.50) ($11,650.00)
Profit Factor 4.27 4.37 4.1
Roll Over Credit $0.00 $0.00 $0.00
Open Position P/L $0.00 $0.00 $0.00
Select Total Net Profit $87,575.00 $60,437.50 $27,137.50
Select Gross Profit $113,812.50 $75,875.00 $37,937.50
Select Gross Loss ($26,237.50) ($15,437.50) ($10,800.00)
Select Profit Factor 4.34 4.91 3.51
Adjusted Total Net Profit $92,560.44 $57,130.94 $33,548.59
Adjusted Gross Profit $124,717.94 $77,365.03 $46,501.10
Adjusted Gross Loss ($32,157.50) ($20,234.09) ($12,952.51)
Adjusted Profit Factor 3.88 3.82 3.59
Total Number of Trades 4037 2273 1764
Percent Profitable 88.70% 96.83% 78.23%
Winning Trades 3581 2201 1380
Losing Trades 151 71 80
Even Trades 305 1 304
Avg. Trade Net Profit $24.05 $26.82 $20.49
Avg. Winning Trade $35.42 $35.92 $34.63
Avg. Losing Trade ($196.94) ($254.75) ($145.63)
Ratio Avg. Win:Avg. Loss 0.18 0.14 0.24
Largest Winning Trade $425.00 $250.00 $425.00
Largest Losing Trade ($950.00) ($950.00) ($850.00)
Largest Winner as % of Gross Profit 0.34% 0.32% 0.89%
Largest Loser as % of Gross Loss 3.19% 5.25% 7.30%
Net Profit as % of Largest Loss 10221.05% 6417.11% 4251.47%
Select Net Profit as % of Largest Loss 9218.42% 6361.84% 3192.65%
Adjusted Net Profit as % of Largest Loss 9743.20% 6013.78% 3946.89%
Max. Consecutive Winning Trades 68 145 23
Max. Consecutive Losing Trades 2 1 1
Avg. Bars in Total Trades 13.77 19.49 6.39
Avg. Bars in Winning Trades 14.25 18.93 6.77
Avg. Bars in Losing Trades 21.87 36.42 8.95
Avg. Bars in Even Trades 4.15 51 4
Max. Shares/Contracts Held 4 4 4
Total Shares/Contracts Held 4176 2372 1804
Account Size Required $2,500.00 $1,687.50 $850.00
Total Slippage $0.00 $0.00 $0.00
Total Commission $52,200.00 $29,650.00 $22,550.00
Return on Initial Capital 97.10%
Annual Rate of Return 21.98%
Buy & Hold Return 55.34%
Return on Account 3884.00%
Avg. Monthly Return $2,555.26
Std. Deviation of Monthly Return $1,399.34
Return Retracement Ratio 0.58
RINA Index 144421.59
Sharpe Ratio 1.82
K-Ratio n/a
Trading Period 3 Yrs, 1 Mth, 13 Hrs, 55 Mins
Percent of Time in the Market 1.18%
Time in the Market 13 Dys, 6 Hrs, 27 Mins
Longest Flat Period 15 Dys, 23 Hrs, 1 Min
Max. Equity Run-up $97,306.25
Date of Max. Equity Run-up 8/17/2012 11:00
Max. Equity Run-up as % of Initial Capital 97.31%
Max. Drawdown (Intra-day Peak to Valley)
Value ($2,656.25) ($2,112.50) ($1,237.50)
Date 5/4/2010 13:32
as % of Initial Capital 2.66% 2.11% 1.24%
Net Profit as % of Drawdown 3655.53% 2885.80% 2920.20%
Select Net Profit as % of Drawdown 3296.94% 2860.95% 2192.93%
Adjusted Net Profit as % of Drawdown 3484.63% 2704.42% 2711.00%
Max. Drawdown (Trade Close to Trade Close)
Value ($2,500.00) ($1,687.50) ($850.00)
Date 5/4/2010 9:27
as % of Initial Capital 2.50% 1.69% 0.85%
Net Profit as % of Drawdown 3884.00% 3612.59% 4251.47%
Select Net Profit as % of Drawdown 3503.00% 3581.48% 3192.65%
Adjusted Net Profit as % of Drawdown 3702.42% 3385.54% 3946.89%
Max. Trade Drawdown ($900.00) ($900.00) ($800.00)

Mark-To-Market Monthly Average Analysis:
Period Avg. Net Profit % Gain %Profitable
January $2,012.50 2.01% 89.16%  
February $2,200.00 1.52% 90.59%  
March $2,495.83 1.70% 89.23%  
April $2,012.50 1.35% 91.39%  
May $3,225.00 2.14% 87.26%  
June $2,808.33 1.82% 89.86%  
July $2,356.25 1.50% 89.42%  
August $2,909.38 2.00% 88.10%  
September $3,908.33 2.64% 88.16%  
October $2,612.50 1.93% 85.10%  
November $2,425.00 1.75% 87.96%  
December $1,645.83 1.17% 90.20%
Mark-To-Market Period Analysis:
Period Net Profit % Gain # Trades %Profitable
8/1/2012 $1,825.00 0.93% 64 95.31%
7/1/2012 $825.00 0.42% 80 86.25%
6/1/2012 $2,862.50 1.49% 121 92.56%
5/1/2012 $4,300.00 2.30% 152 90.13%
4/1/2012 $1,512.50 0.81% 86 84.88%
3/1/2012 $2,737.50 1.50% 137 88.32%
2/1/2012 $1,300.00 0.72% 78 91.03%
1/1/2012 $1,875.00 1.04% 71 91.55%
12/1/2011 $2,312.50 1.30% 104 84.62%
11/1/2011 $2,775.00 1.59% 160 85.63%
10/1/2011 $3,537.50 2.07% 144 87.50%
9/1/2011 $6,975.00 4.25% 227 85.90%
8/1/2011 $7,100.00 4.52% 156 87.18%
7/1/2011 $4,000.00 2.61% 148 88.51%
6/1/2011 $2,850.00 1.90% 141 88.65%
5/1/2011 $1,900.00 1.28% 112 83.93%
4/1/2011 $2,950.00 2.03% 110 94.55%
3/1/2011 $2,837.50 1.99% 174 89.66%
2/1/2011 $2,612.50 1.87% 99 93.94%
1/1/2011 $3,187.50 2.33% 133 90.23%
12/1/2010 $1,787.50 1.32% 54 98.15%
11/1/2010 $3,075.00 2.33% 108 89.81%
10/1/2010 $1,862.50 1.43% 111 87.39%
9/1/2010 $2,475.00 1.94% 88 90.91%
8/1/2010 $587.50 0.46% 82 80.49%
7/1/2010 $3,625.00 2.94% 103 90.29%
6/1/2010 $2,712.50 2.25% 83 87.95%
5/1/2010 $3,475.00 2.96% 105 86.67%
4/1/2010 $1,575.00 1.36% 106 93.40%
3/1/2010 $1,912.50 1.68% 79 89.87%
2/1/2010 $2,687.50 2.42% 110 87.27%
1/1/2010 $975.00 0.89% 82 85.37%
12/1/2009 $837.50 0.77% 46 93.48%
11/1/2009 $1,425.00 1.32% 56 91.07%
10/1/2009 $2,437.50 2.31% 141 80.85%
9/1/2009 $2,275.00 2.21% 82 91.46%
8/1/2009 $2,125.00 2.10% 76 92.11%
7/1/2009 $975.00 0.97% 28 100.00%

Please feel free to email us with any questions. 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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