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Aberration-24-Full-Jan-15 100%

First Test Date Last Test Date 2004-01-01 2014-12-31 90.9% 75.8% 72.7% 82.6% 72.7% 77.3% 98.5% 85.6% 80.3% 79.5% 96.2% 76.5% 89.4% 80.3% 12 32 36 23 36 30 2 19 26 27 5 31 14 26 9.1% 24.2% 27.3% 17.4% 27.3% 22.7% 1.5% 14.4% 19.7% 20.5% 3.8% 23.5% 10.6% 19.7% 3.18% 2.69% 0.92% 3.54% 1.31% 2.91% 2.50% 1.44% 2.11% 4.85% 3.34% 2.10% 3.68% 3.30% 2.17% 0.84% 0.84% 1.78% 1.52% 1.85% 2.81% 1.56% 0.71% 1.33% 1.67% 0.81% 2.52% 1.50% 0.95% 0.27% -0.04% 1.15% -0.34% 0.67% 1.32% -0.23% 0.70% 0.73% 0.47% 0.64% 0.38% 1.38% 2.05 1.48 0.91 2.44 0.61 1.77 3.11 0.74 2.97 1.82 1.50 2.60 1.28 3.30 Trading Performance CAGR % MAR Ratio RAR % R-Cubed Robust Sharpe Ratio Margin to Equity Ratio Daily Return % Daily Geometric Return % Daily Standard Deviation % Daily Downside Deviation % Daily Sharpe Daily Geo Sharpe Daily Sortino Modified Sharpe Ratio Annual Sharpe Ratio Annual Sortino Ratio Monthly Sharpe Ratio Monthly Sortino Ratio Calmar Ratio R-Squared Maximum Total Equity Drawdown % Longest Total Equity Drawdown (months) Average Max TE Drawdown % Average Max TE Drawdown Length (months) Maximum Monthly Total Equity Drawdown % Maximum Monthly Closed Equity Drawdown % Maximum Closed Equity Drawdown % Average Closed Equity Drawdown % Round Turns Per Million Round Turns Total Trades Start Account Balance Total Win Dollars Total Loss Dollars Total Profit Earned Interest Margin Interest End Account Balance End Open Equity End Total Equity Highest Total Equity Highest Closed Equity Total Commissions Commission per Round Turn Total Slippage Slippage per Round Turn Total Forex Carry Total Dividends Total Other Expenses Win/Loss Statistics 31.99% 0.81 35.34% 1.92 1.20 14.22% 0.1215% 0.0760% 1.73% 1.24% 0.065 0.039 0.091 Wins Losses 306 360 45.9% 54.1% Total 666 100.0% 78 54 59.1% 40.9% 132 100.0% Winning Months Losing Months Total Average Risk Percent Average Win Percent Average Loss Percent Average Win Dollars Average Loss Dollars Average Trade Percent Average Trade Duration 1.10 Average Trade Dollars 0.91 + ∞ Profit Factor 0.29 Percent Profit Factor 0.63 Expectation 0.88 0.951 Equity Management 39.32% 22.70 27.42% 11.31 36.42% 36.85% 37.63% 8.20% Test Starting Equity Order Generation Equity Order Generation Equity High Leverage (fraction) Trading Equity Base Drawdown Reduction Threshold (%) Drawdown Reduction Amount (%) 949 Global Simulation Parameters 9,318 Earn Interest 666 Earn Dividends 100,000.00 Pay Margin on Stocks 6,739,972.67 Commission per Stock Trade 4,722,462.80 Commission per Stock Share 2,017,509.88 Commission per Contract 0.00 Commission by Stock Value (%) 0.00 Slippage Percent 2,117,509.88 Minimum Slippage 0.00 Forex Trade Size 2,117,509.88 Account for Forex Carry Use Pip Based Slippage 2,174,903.29 2,117,509.88 Account for Contract Rolls Roll Slippage in % of ATR 186,360.00 20.00 Minimum Stock Volume 409,206.90 Minimum Futures Volume 43.92 Max Percent Volume Per Trade 0.00 Entry Day Retracement 0.00 Max Margin Equity 0.00 Trade on Lock Days Convert Profit by Stock Split Trade Always on Tick Smart Fill Exit Use Start Date Stepping Use Broker Positions 1.79% 2.80% 1.36% 22,026.05 13,117.95 0.55% 67.24 3,029.29 1.43 1.75 0.31 100,000.00 0.00 0.00 1.00 Total Equity 0.00% 0.00% FALSE TRUE TRUE 0.00 0.01 20.00 0.00% 5.00% 15.00 1,000.00 TRUE FALSE TRUE 5.00% 10,000 0 0.00% 0.00% 100.00% FALSE FALSE TRUE TRUE FALSE FALSE Preferences Risk Free Rate Load Volume Load Unadjusted Close Raise Negative Data Process Weekly Bars Process Monthly Bars Process Daily Bars Process Weekends Additional Years of Data Copyright Trading Blox, LLC 2012.

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