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.A report that details performance on a trade-by-trade basis is alsoessential.Such a report should include date, price, and signal name foreach entry and exit.A trade listing will, of course, also include the profitTABLE 4.2 Performance SummarySummary Report for SessionXT99aWK WF jy JY-9967.TXT 1/1/1990 to 12/31/2006.System is XT99AWK()Performance Summary: All TradesTotal net profit $85,062.50 Open position P/L $800.00Gross profit $184,987.50 Gross loss ($99,925.00)Total number of Trades 91 Percent profitable 45.05%Number winning trades 41 Number losing trades 50Largest winning trade $22,425.00 Largest losing trade ($4,912.50)Average winning trade $4,511.89 Average losing trade ($1,998.50)Ratio average win/ 2.26 Average trade (win & $934.75average loss loss)Maximum consecutive 6 Max consecutive losers 7winnersAverage number bars in 51 Average number bars in 19winners losersMaximum intraday ($25,487.50) Maximum number 1drawdown contracts heldProfit factor 1.85 Yearly return on account 19.65%Account size required $25,487.50Performance Summary: Long TradesTotal net profit $3,750.00 Open position P/L $0.00Gross profit $71,162.50 Gross loss ($67,412.50)Total number of trades 47 Percent profitable 34.04%Number winning trades 16 Number losing trades 31Largest winning trade $20,837.50 Largest losing trade ($4,912.50)Average winning trade $4,447.66 Average losing trade ($2,174.60)(Continues) c04 JWPR070-Pardo December 15, 2007 2:50 Char Count=The Strategy Development Platform 63TABLE 4.2 (Continued)Ratio average 2.05 Average trade (win & $79.79win/average loss loss)Maximum consecutive 3 Maximum consecutive 6winners losersAverage number bars in 42 Average number bars in 17winners losersMaximum intraday ($19,512.50) Maximum number 1drawdown contracts heldProfit factor 1.06 Yearly return on account 1.13%Account size required $19,512.50Performance Summary: Short TradesTotal net profit $81,312.50 Open position P/L $800.00Gross profit $113,825.00 Gross loss ($32,512.50)Total number of trades 44 Percent profitable 56.82%Number winning trades 25 Number losing trades 19Largest winning trade $22,425.00 Largest losing trade ($3,975.00)Average winning trade $4,553.00 Average losing trade ($1,711.18)Ratio average 2.66 Average trade (win & $1,848.01win/average loss loss)Maximum consecutive 6 Maximum consecutive 7winners losersAverage number bars in 56 Average number bars in 22winners losersMaximum intraday ($14,775.00) Maximum number 1drawdown contracts heldProfit factor 3.50 Yearly return on account 32.40%Account size required $14,775.00or loss for each trade and usually a running total.Table 4.3 shows a TradeList of each trade of a trading strategy on Japanese yen produced byTradersStudio.It is also valuable to be able to review a graphical display of the eq-uity curve produced by the trading strategy in a window below the marketon which it was simulated.This is a very quick and easy way to examinethe performance of the trading strategy under different market conditions.Figure 4.4 shows a NeoTicker chart with price bars and a correspondingequity curve for a trading system in a window beneath it.What the strategist should examine here is the performance of thestrategy during markets that are trending, cycling sideways, and congested.Conversely, the strategist should also examine trading activity during timesof strong profit and drawdown. TABLE 4.3 Trade ListTrades for SessionXT99aWK WF jy JY-9967.TXT 1/3/1990 to 12/31/1999.System is XT99AWK(10, 10)Buy/ Entry Entry Entry Exit Exit Exit Trade RunningSell Name Market Date Size Price Date Name Size Price P/L P/LBUY LOen JY-9967.TXT 8/22/1990 1 114.68 10/30/1990 LOex 1 123.44 $10,750.00 $10,750.00SELL SHen JY-9967.TXT 10/31/1990 1 123.29 1/25/1991 SHex 1 122.10 $1,287.50 $12,037.50BUY LOen JY-9967.TXT 1/28/1991 1 121.86 2/28/1991 LOex 1 121.65 ($462.50) $11,575.00SELL SHen JY-9967.TXT 3/1/1991 1 120.61 4/9/1991 SHex 1 119.69 $950.00 $12,525.00BUY LOen JY-9967.TXT 4/11/1991 1 119.58 5/1/1991 LOex 1 119.57 ($212.50) $12,312.50SELL SHen JY-9967.TXT 5/2/1991 1 118.86 6/25/1991 SHex 1 118.88 ($225.00) $12,087.50BUY LOen JY-9967.TXT 6/26/1991 1 118.99 8/2/1991 LOex 1 119.26 $137.50 $12,225.00BUY LOen JY-9967.TXT 8/13/1991 1 120.14 10/30/1991 LOex 1 123.26 $3,700.00 $15,925.00BUY LOen JY-9967.TXT 11/12/1991 1 124.12 2/10/1992 LOex 1 126.72 $3,050.00 $18,975.00SELL SHen JY-9967.TXT 2/11/1992 1 126.04 5/5/1992 SHex 1 122.60 $4,100.00 $23,075.00BUY LOen JY-9967.TXT 5/6/1992 1 122.80 7/29/1992 LOex 1 125.71 $3,437.50 $26,512.50SELL SHen JY-9967.TXT 8/5/1992 1 125.93 8/20/1992 SHex 1 126.73 ($1,200.00) $25,312.50BUY LOen JY-9967.TXT 8/21/1992 1 126.76 10/13/1992 LOex 1 129.78 $3,575.00 $28,887.50SELL SHen JY-9967.TXT 10/20/1992 1 130.08 12/16/1992 SHex 1 128.41 $1,887.50 $30,775.00BUY LOen JY-9967.TXT 12/17/1992 1 129.17 1/6/1993 LOex 1 127.54 ($2,237.50) $28,537.50SELL SHen JY-9967.TXT 1/7/1993 1 127.35 2/2/1993 SHex 1 127.81 ($775.00) $27,762.50BUY LOen JY-9967.TXT 2/5/1993 1 128.13 7/9/1993 LOex 1 138.91 $13,275.00 $41,037.50SELL SHen JY-9967.TXT 7/12/1993 1 138.71 7/28/1993 SHex 1 142.29 ($4,675.00) $36,362.50BUY LOen JY-9967.TXT 7/29/1993 1 142.09 8/31/1993 LOex 1 143.39 $1,425.00 $37,787.50SELL SHen JY-9967.TXT 9/1/1993 1 142.46 11/16/1993 SHex 1 141.48 $1,025.00 $38,812.50SELL SHen JY-9967.TXT 11/23/1993 1 139.36 1/19/1994 SHex 1 137.80 $1,750.00 $40,562.50BUY LOen JY-9967.TXT 1/21/1994 1 138.21 3/4/1994 LOex 1 142.11 $4,675.00 $45,237.5064 SELL SHen JY-9967.TXT 3/7/1994 1 141.73 3/30/1994 SHex 1 143.97 ($3,000.00) $42,237.50BUY LOen JY-9967.TXT 3/31/1994 1 144.04 5/19/1994 LOex 1 143.23 ($1,212.50) $41,025.00SELL SHen JY-9967.TXT 5/23/1994 1 142.70 6/14/1994 SHex 1 144.13 ($1,987.50) $39,037.50BUY LOen JY-9967.TXT 6/17/1994 1 143.88 7/27/1994 LOex 1 148.14 $5,125.00 $44,162.50SELL SHen JY-9967.TXT 7/28/1994 1 147.72 9/2/1994 SHex 1 147.02 $675.00 $44,837.50BUY LOen JY-9967.TXT 9/6/1994 1 147.46 10/6/1994 LOex 1 146.28 ($1,675.00) $43,162.50SELL SHen JY-9967.TXT 10/7/1994 1 145.92 10/19/1994 SHex 1 148.74 ($3,725.00) $39,437.50BUY LOen JY-9967.TXT 10/21/1994 1 149.27 11/25/1994 LOex 1 147.12 ($2,887.50) $36,550.00SELL SHen JY-9967.TXT 11/29/1994 1 146.73 1/19/1995 SHex 1 145.72 $1,062.50 $37,612.50BUY LOen JY-9967.TXT 1/27/1995 1 145.90 5/4/1995 LOex 1 163.12 $21,325.00 $58,937.50SELL SHen JY-9967.TXT 5/5/1995 1 162.68 6/2/1995 SHex 1 162.07 $562.50 $59,500.00BUY LOen JY-9967.TXT 6/12/1995 1 162.65 7/6/1995 LOex 1 160.50 ($2,887.50) $56,612.50SELL SHen JY-9967.TXT 7/7/1995 1 160.03 9/27/1995 SHex 1 141.45 $23,025.00 $79,637.50BUY LOen JY-9967.TXT 9/28/1995 1 141.99 10/13/1995 LOex 1 140.75 ($1,750.00) $77,887.50SELL SHen JY-9967.TXT 10/16/1995 1 140.96 11/15/1995 SHex 1 139.85 $1,187.50 $79,075.00BUY LOen JY-9967.TXT 11/20/1995 1 139.24 12/19/1995 LOex 1 138.80 ($750.00) $78,325.00SELL SHen JY-9967.TXT 12/22/1995 1 137.82 4/26/1996 SHex 1 132.77 $6,112.50 $84,437.50BUY LOen JY-9967.TXT 4/29/1996 1 134.32 5/24/1996 LOex 1 131.04 ($4,300.00) $80,137.50SELL SHen JY-9967.TXT 5/28/1996 1 130.25 7/25/1996 SHex 1 130.22 ($162.50) $79,975.00BUY LOen JY-9967.TXT 7/30/1996 1 130.15 8/14/1996 LOex 1 129.95 ($450.00) $79,525.00SELL SHen JY-9967.TXT 8/19/1996 1 129.82 11/13/1996 SHex 1 125.94 $4,650.00 $84,175.00BUY LOen JY-9967.TXT 11/14/1996 1 125.79 12/6/1996 LOex 1 124
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