MCR Market Report

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S&P 500 Large Cap Index:

Statistics
  All trades Long trades Short trades Buy&Hold (SPY)
Initial capital 10000.00 10000.00 10000.00 10000.00
Ending capital 185304.94 185304.94 10000.00 28016.58
Net Profit 175304.94 175304.94 0.00 18016.58
Net Profit % 1753.05% 1753.05% 0.00% 180.17%
Exposure % 99.74% 99.74% 0.00% 100.00%
Net Risk Adjusted Return % 1757.58% 1757.58% N/A 180.17%
Annual Return % 15.90% 15.90% 0.00% 5.34%
Risk Adjusted Return % 15.94% 15.94% N/A 5.34%
Total transaction costs 0.00 0.00 0.00 0.00

All trades 46 46 (100.00 %) 0 (0.00 %) 1
 Avg. Profit/Loss 3810.98 3810.98 N/A 18016.58
 Avg. Profit/Loss % 7.18% 7.18% N/A 180.17%
 Avg. Bars Held 109.20 109.20 N/A 4978.00

Winners 32 (69.57 %) 32 (69.57 %) 0 (0.00 %) 1 (100.00 %)
 Total Profit 186257.74 186257.74 0.00 18016.58
 Avg. Profit 5820.55 5820.55 N/A 18016.58
 Avg. Profit % 11.28% 11.28% N/A 180.17%
 Avg. Bars Held 143.25 143.25 N/A 4978.00
 Max. Consecutive 10 10 0 1
 Largest win 49318.58 49318.58 0.00 18016.58
 # bars in largest win 601 601 0 4978

Losers 14 (30.43 %) 14 (30.43 %) 0 (0.00 %) 0 (0.00 %)
 Total Loss -10952.79 -10952.79 0.00 0.00
 Avg. Loss -782.34 -782.34 N/A N/A
 Avg. Loss % -2.19% -2.19% N/A N/A
 Avg. Bars Held 31.36 31.36 N/A N/A
 Max. Consecutive 3 3 0 0
 Largest loss -2920.55 -2920.55 0.00 0.00
# bars in largest loss 89 89 0 0

Max. trade drawdown -18251.34 -18251.34 0.00 -7558.51
Max. trade % drawdown -11.70 -11.70 0.00 -55.20
Max. system drawdown -18251.34 -18251.34 0.00 -7558.51
Max. system % drawdown -11.70% -11.70% 0.00% -55.20%
Recovery Factor 9.61 9.61 N/A 2.38
CAR/MaxDD 1.36 1.36 N/A 0.10
RAR/MaxDD 1.36 1.36 N/A 0.10
Profit Factor 17.01 17.01 N/A N/A
Payoff Ratio 7.44 7.44 N/A N/A
Standard Error 17138.51 17138.51 0.00 3480.10
Risk-Reward Ratio 0.50 0.50 N/A 0.26
Ulcer Index 3.20 3.20 0.00 18.04
Ulcer Performance Index 3.28 3.28 N/A -0.00
Sharpe Ratio of trades 0.63 0.63 0.00 N/A
K-Ratio 0.04 0.04 N/A 0.02

Nasdaq 100 Index:

Statistics
  All trades Long trades Short trades Buy&Hold (SPY)
Initial capital 10000.00 10000.00 10000.00 10000.00
Ending capital 406678.45 406678.45 10000.00 28016.58
Net Profit 396678.45 396678.45 0.00 18016.58
Net Profit % 3966.78% 3966.78% 0.00% 180.17%
Exposure % 99.65% 99.65% 0.00% 100.00%
Net Risk Adjusted Return % 3980.77% 3980.77% N/A 180.17%
Annual Return % 20.60% 20.60% 0.00% 5.34%
Risk Adjusted Return % 20.67% 20.67% N/A 5.34%
Total transaction costs 0.00 0.00 0.00 0.00

All trades 26 26 (100.00 %) 0 (0.00 %) 1
 Avg. Profit/Loss 15256.86 15256.86 N/A 18016.58
 Avg. Profit/Loss % 17.67% 17.67% N/A 180.17%
 Avg. Bars Held 192.42 192.42 N/A 4978.00

Winners 22 (84.62 %) 22 (84.62 %) 0 (0.00 %) 1 (100.00 %)
 Total Profit 402808.03 402808.03 0.00 18016.58
 Avg. Profit 18309.46 18309.46 N/A 18016.58
 Avg. Profit % 21.23% 21.23% N/A 180.17%
 Avg. Bars Held 215.09 215.09 N/A 4978.00
 Max. Consecutive 15 15 0 1
 Largest win 159714.59 159714.59 0.00 18016.58
 # bars in largest win 502 502 0 4978

Losers 4 (15.38 %) 4 (15.38 %) 0 (0.00 %) 0 (0.00 %)
 Total Loss -6129.58 -6129.58 0.00 0.00
 Avg. Loss -1532.39 -1532.39 N/A N/A
 Avg. Loss % -1.96% -1.96% N/A N/A
 Avg. Bars Held 67.75 67.75 N/A N/A
 Max. Consecutive 1 1 0 0
 Largest loss -3087.64 -3087.64 0.00 0.00
# bars in largest loss 36 36 0 0

Max. trade drawdown -38961.65 -38961.65 0.00 -7558.51
Max. trade % drawdown -15.46 -15.46 0.00 -55.20
Max. system drawdown -38961.65 -38961.65 0.00 -7558.51
Max. system % drawdown -18.18% -18.18% 0.00% -55.20%
Recovery Factor 10.18 10.18 N/A 2.38
CAR/MaxDD 1.13 1.13 N/A 0.10
RAR/MaxDD 1.14 1.14 N/A 0.10
Profit Factor 65.72 65.72 N/A N/A
Payoff Ratio 11.95 11.95 N/A N/A
Standard Error 42646.13 42646.13 0.00 3480.10
Risk-Reward Ratio 0.36 0.36 N/A 0.26
Ulcer Index 3.89 3.89 0.00 18.04
Ulcer Performance Index 3.90 3.90 N/A -0.00
Sharpe Ratio of trades 0.59 0.59 0.00 N/A
K-Ratio 0.03 0.03 N/A 0.02



S&P 400 Midcap Index:

Statistics
  All trades Long trades Short trades Buy&Hold (SPY)
Initial capital 10000.00 10000.00 10000.00 10000.00
Ending capital 411203.77 411203.77 10000.00 28328.32
Net Profit 401203.77 401203.77 0.00 18328.32
Net Profit % 4012.04% 4012.04% 0.00% 183.28%
Exposure % 99.73% 99.73% 0.00% 100.00%
Net Risk Adjusted Return % 4023.01% 4023.01% N/A 183.28%
Annual Return % 20.66% 20.66% 0.00% 5.40%
Risk Adjusted Return % 20.72% 20.72% N/A 5.40%
Total transaction costs 0.00 0.00 0.00 0.00
All trades 40 40 (100.00 %) 0 (0.00 %) 1
 Avg. Profit/Loss 10030.09 10030.09 N/A 18328.32
 Avg. Profit/Loss % 10.53% 10.53% N/A 183.28%
 Avg. Bars Held 125.45 125.45 N/A 4979.00
Winners 31 (77.50 %) 31 (77.50 %) 0 (0.00 %) 1 (100.00 %)
 Total Profit 423315.98 423315.98 0.00 18328.32
 Avg. Profit 13655.35 13655.35 N/A 18328.32
 Avg. Profit % 14.09% 14.09% N/A 183.28%
 Avg. Bars Held 150.39 150.39 N/A 4979.00
 Max. Consecutive 9 9 0 1
 Largest win 91046.29 91046.29 0.00 18328.32
 # bars in largest win 599 599 0 4979
Losers 9 (22.50 %) 9 (22.50 %) 0 (0.00 %) 0 (0.00 %)
 Total Loss -22112.21 -22112.21 0.00 0.00
 Avg. Loss -2456.91 -2456.91 N/A N/A
 Avg. Loss % -1.76% -1.76% N/A N/A
 Avg. Bars Held 39.56 39.56 N/A N/A
 Max. Consecutive 3 3 0 0
 Largest loss -16806.55 -16806.55 0.00 0.00
# bars in largest loss 90 90 0 0
Max. trade drawdown -39718.12 -39718.12 0.00 -7642.62
Max. trade % drawdown -13.95 -13.95 0.00 -55.20
Max. system drawdown -39718.12 -39718.12 0.00 -7642.62
Max. system % drawdown -13.95% -13.95% 0.00% -55.20%
Recovery Factor 10.10 10.10 N/A 2.40
CAR/MaxDD 1.48 1.48 N/A 0.10
RAR/MaxDD 1.48 1.48 N/A 0.10
Profit Factor 19.14 19.14 N/A N/A
Payoff Ratio 5.56 5.56 N/A N/A
Standard Error 40188.80 40188.80 0.00 3519.16
Risk-Reward Ratio 0.51 0.51 N/A 0.26
Ulcer Index 3.14 3.14 0.00 18.04
Ulcer Performance Index 4.85 4.85 N/A 0.00
Sharpe Ratio of trades 0.83 0.83 0.00 N/A
K-Ratio 0.04 0.04 N/A 0.02