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Trading Tools Research AlphaGenerator TF System

Our AlphaGenerator TF Trading System is now available. Our AlphaGenerator TF System only runs on TradeStation at this time, and it trades 3 contracts at a time. Please review the System Results below. If you have any questions, please feel free to contact us.

AlphaGenerator TF System
Performance Summary - 7/03/2007 through 08/31/2012
Includes $45.00RT Per Contract Commission
All Trades Long Trades Short Trades
Total Net Profit $389,160.00 $259,095.00 $130,065.00
Gross Profit $467,310.00 $287,460.00 $179,850.00
Gross Loss ($78,150.00) ($28,365.00) ($49,785.00)
Profit Factor 5.98 10.13 3.61
Roll Over Credit $0.00 $0.00 $0.00
Open Position P/L $0.00 $0.00 $0.00
Select Total Net Profit $337,305.00 $262,230.00 $75,075.00
Select Gross Profit $412,320.00 $287,460.00 $124,860.00
Select Gross Loss ($75,015.00) ($25,230.00) ($49,785.00)
Select Profit Factor 5.5 11.39 2.51
Adjusted Total Net Profit $349,469.24 $231,140.31 $101,541.98
Adjusted Gross Profit $435,513.58 $263,830.93 $158,039.98
Adjusted Gross Loss ($86,044.34) ($32,690.62) ($56,498.01)
Adjusted Profit Factor 5.06 8.07 2.8
Total Number of Trades 314 191 123
Percent Profitable 68.79% 77.49% 55.28%
Winning Trades 216 148 68
Losing Trades 98 43 55
Even Trades 0 0 0
Avg. Trade Net Profit $1,239.36 $1,356.52 $1,057.44
Avg. Winning Trade $2,163.47 $1,942.30 $2,644.85
Avg. Losing Trade ($797.45) ($659.65) ($905.18)
Ratio Avg. Win:Avg. Loss 2.71 2.94 2.92
Largest Winning Trade $9,165.00 $7,065.00 $9,165.00
Largest Losing Trade ($3,135.00) ($3,135.00) ($2,325.00)
Largest Winner as % of Gross Profit 1.96% 2.46% 5.10%
Largest Loser as % of Gross Loss 4.01% 11.05% 4.67%
Net Profit as % of Largest Loss 12413.40% 8264.59% 5594.19%
Select Net Profit as % of Largest Loss 10759.33% 8364.59% 3229.03%
Adjusted Net Profit as % of Largest Loss 11147.34% 7372.90% 4367.40%
Max. Consecutive Winning Trades 8 14 6
Max. Consecutive Losing Trades 4 4 4
Avg. Bars in Total Trades 288.29 339.33 209.03
Avg. Bars in Winning Trades 324.03 342.13 284.65
Avg. Bars in Losing Trades 209.51 329.7 115.55
Avg. Bars in Even Trades 0 0 0
Max. Shares/Contracts Held 3 3 3
Total Shares/Contracts Held 942 573 369
Account Size Required $3,420.00 $3,135.00 $8,865.00
Total Slippage $0.00 $0.00 $0.00
Total Commission $42,390.00 $25,785.00 $16,605.00
Return on Initial Capital 2594.40%
Annual Rate of Return 65.20%
Buy & Hold Return 5.80%
Return on Account 11378.95%
Avg. Monthly Return $5,714.25
Std. Deviation of Monthly Return $6,791.42
Return Retracement Ratio 0.97
RINA Index 10736.41
Sharpe Ratio 0.6
K-Ratio n/a
Trading Period 5 Yrs, 18 Dys, 5 Hrs, 35 Mins
Percent of Time in the Market 3.55%
Time in the Market 2 Mths, 4 Dys, 11 Hrs, 35 Mins
Longest Flat Period 44 Dys, 41 Mins
Max. Equity Run-up $392,505.00
Date of Max. Equity Run-up 8/3/2012 13:23
Max. Equity Run-up as % of Initial Capital 2616.70%
Max. Drawdown (Intra-day Peak to Valley)
Value ($6,795.00) ($6,450.00) ($10,515.00)
Date 3/18/2008 13:33
as % of Initial Capital 45.30% 43.00% 70.10%
Net Profit as % of Drawdown 5727.15% 4016.98% 1236.95%
Select Net Profit as % of Drawdown 4964.02% 4065.58% 713.98%
Adjusted Net Profit as % of Drawdown 5143.04% 3583.57% 965.69%
Max. Drawdown (Trade Close to Trade Close)
Value ($3,420.00) ($3,135.00) ($8,865.00)
Date 2/12/2008 15:15
as % of Initial Capital 22.80% 20.90% 59.10%
Net Profit as % of Drawdown 11378.95% 8264.59% 1467.17%
Select Net Profit as % of Drawdown 9862.72% 8364.59% 846.87%
Adjusted Net Profit as % of Drawdown 10218.40% 7372.90% 1145.43%
Max. Trade Drawdown ($3,000.00) ($3,000.00) ($2,910.00)
Mark-To-Market Monthly Average Analysis:
Period Avg. Net Profit % Gain %Profitable
January $1,248.00 8.32% 44.44%  
February $2,376.00 1.13% 61.11%  
March $6,732.00 3.16% 64.29%  
April $4,299.00 1.96% 67.74%  
May $7,046.25 3.15% 76.19%  
June $5,799.00 2.13% 80.00%  
July $6,924.00 2.94% 78.57%  
August $9,157.50 3.78% 68.57%  
September $9,855.00 4.61% 70.37%  
October $7,680.00 4.14% 75.00%  
November $9,594.00 4.97% 64.71%  
December $6,699.00 3.31% 68.00%
Mark-To-Market Period Analysis:
Period Net Profit % Gain # Trades %Profitable
8/1/2012 $1,575.00 0.39% 1 100.00%
7/1/2012 $5,505.00 1.39% 5 60.00%
6/1/2012 $5,580.00 1.43% 6 83.33%
5/1/2012 $5,805.00 1.51% 5 80.00%
4/1/2012 $2,145.00 0.56% 7 71.43%
3/1/2012 $2,940.00 0.77% 6 50.00%
2/1/2012 $2,775.00 0.73% 3 66.67%
1/1/2012 ($780.00) -0.21% 2 0.00%
12/1/2011 $10,065.00 2.73% 7 57.14%
11/1/2011 $9,870.00 2.75% 6 83.33%
10/1/2011 $12,885.00 3.73% 9 77.78%
9/1/2011 $9,150.00 2.72% 4 75.00%
8/1/2011 $39,000.00 13.10% 8 87.50%
7/1/2011 $10,260.00 3.57% 8 87.50%
6/1/2011 $4,500.00 1.59% 4 75.00%
5/1/2011 $450.00 0.16% 2 50.00%
4/1/2011 ($690.00) -0.24% 2 50.00%
3/1/2011 $6,045.00 2.18% 5 80.00%
2/1/2011 $2,340.00 0.85% 4 50.00%
1/1/2011 ($975.00) -0.35% 3 0.00%
12/1/2010 ($375.00) -0.14% 1 0.00%
11/1/2010 $6,555.00 2.43% 7 71.43%
10/1/2010 $2,760.00 1.03% 4 50.00%
9/1/2010 $10,005.00 3.90% 7 71.43%
8/1/2010 $5,325.00 2.12% 7 57.14%
7/1/2010 $12,765.00 5.35% 7 85.71%
6/1/2010 $10,800.00 4.74% 6 83.33%
5/1/2010 $12,885.00 5.99% 7 85.71%
4/1/2010 $3,495.00 1.65% 5 60.00%
3/1/2010 $1,035.00 0.49% 5 60.00%
2/1/2010 $4,590.00 2.23% 6 66.67%
1/1/2010 $2,715.00 1.34% 3 100.00%
12/1/2009 ($570.00) -0.28% 4 50.00%
11/1/2009 $3,225.00 1.61% 7 57.14%
10/1/2009 $660.00 0.33% 4 75.00%
9/1/2009 $1,380.00 0.70% 4 75.00%
8/1/2009 $825.00 0.42% 7 71.43%
7/1/2009 $6,990.00 3.67% 6 83.33%
6/1/2009 $6,015.00 3.26% 5 80.00%
5/1/2009 $9,045.00 5.15% 7 71.43%

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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