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Simulation Logs and Strategy Reports

The following reports were generated by the strategy model presented on the home page. Transaction costs were added to make the simulation more realistic!

Settings Report [show]
Performance Report [show]
Equity Graph [show]
Trade Report [show]
Transaction Report [show]
Bar Report [show]
Drawdown Report [show]

Performance Report [back to top]

This report provides numerous performance metrics in a number of categories:

by trade
by trade direction
by winners and losers
by units trade
by transaction
by sample account
by drawdown

_______________________________________________

| |

| Strategy Performance Report |

|_______________________________________________|

Strategy Name: 'demo'

Operational Bar: 28.Jun.1990-00:00:00:000

Last Bar: 31.Dec.2003-00:00:00:000

Bars Processed: 3531

Simulation Length (Years): 13.51

Bars per Year: 252

Last Trade was Open: true {automatically closed out at-market}

Risk Free Rate Of Return: 3.5

_____________________________________________________________________________

|_______________________________|________|___________|___________|___________|

| Net Profit | [ccy] | -841.00 | -841.00 | 0.00 |

| Gross Profit | [ccy] | -537.00 | -537.00 | 0.00 |

| Total Costs | [ccy] | 304.00 | 304.00 | 0.00 |

| * Commission | [ccy] | 76.00 | 76.00 | 0.00 |

| * Slippage | [ccy] | 228.00 | 228.00 | 0.00 |

| Winners Net | [ccy] | 8,345.80 | 8,345.80 | 0.00 |

| Losers Net | [ccy] | -9,186.79 | -9,186.79 | 0.00 |

| Profit Factor | [rat] | 0.91 | 0.91 | 0.00 |

|_______________________________|________|___________|___________|___________|

| Largest Drawdown | [ccy] | -9,424.20 | | |

|_______________________________|________|___________|___________|___________|

| Number Of Trades | [trad] | 38 | 38 | 0 |

| Percent Winners | [pct] | 28.95 | 28.95 | 0.00 |

|_______________________________|________|___________|___________|___________|

| Sum Bars - All Trades | [bars] | 1,664 | 1,664 | 0 |

| Perc. Bars with Position | [pct] | 47.13 | 47.13 | 0.00 |

| | | | | |

|_______________________________|________|___________|___________|___________|

|_______________________________|________|___________|___________|___________|

| Start Account Balance | [ccy] | 9,500.00 | 19,000.00 | 28,500.00 |

| End Account Balance | [ccy] | 8,659.00 | 18,159.00 | 27,659.00 |

| Annualized Rate Of Return | [pct] | -0.68 | -0.33 | -0.22 |

| Annualized Volatility (StDev) | [pct] | 13.40 | 7.39 | 5.13 |

| Sharpe Ratio | [rat] | -0.31 | -0.52 | -0.72 |

|_______________________________|________|___________|___________|___________|

| Max Account Balance | [ccy] | 17,331.99 | 26,831.99 | 36,331.99 |

| Min Account Balance | [ccy] | 7,907.79 | 17,407.79 | 26,907.79 |

| | | | | |

|_______________________________|________|___________|___________|___________|

|_______________________________|________|___________|___________|___________|

| Number Of Trades | [trad] | 38 | 38 | 0 |

| Ave Net Profit | [ccy] | -22.13 | -22.13 | 0.00 |

| Ave Gross Profit | [ccy] | -14.13 | -14.13 | 0.00 |

| Ave Costs | [ccy] | 8.00 | 8.00 | 0.00 |

| * Ave Slippage | [ccy] | 6.00 | 6.00 | 0.00 |

| * Ave Commission | [ccy] | 2.00 | 2.00 | 0.00 |

| Ave Winner / Ave Loser | [rat] | 2.23 | 2.23 | 0.00 |

| Ave Num Transactions | [tran] | 2.00 | 2.00 | 0.00 |

| Ave (Max) Position | [unit] | 100.00 | 100.00 | 0.00 |

| Ave Length | [bars] | 43.79 | 43.79 | 0.00 |

| Ave Positive Excursion | [ccy] | 716.28 | 716.28 | 0.00 |

| Ave Negative Excursion | [ccy] | -354.80 | -354.80 | 0.00 |

|_______________________________|________|___________|___________|___________|

| Max Positive Excursion | [ccy] | 4,085.29 | 4,085.29 | 0.00 |

| Max Negative Excursion | [ccy] | -1,220.26 | -1,220.26 | 0.00 |

| Max Num Transactions | [tran] | 2 | 2 | 0 |

| Max Position Size | [ccy] | 100.00 | 100.00 | 0.00 |

| StDev Net Profit | [ccy] | 692.77 | 692.77 | 0.00 |

| | | | | |

|_______________________________|________|___________|___________|___________|

|_______________________________|________|___________|___________|___________|

| Number of Winners | [trad] | 11 | 11 | 0 |

| Number of Losers | [trad] | 27 | 27 | 0 |

| Average Winner | [ccy] | 758.71 | 758.71 | 0.00 |

| Average Loser | [ccy] | -340.25 | -340.25 | 0.00 |

| Largest Winner | [ccy] | 2,207.72 | 2,207.72 | 0.00 |

| Largest Loser | [ccy] | -1,182.12 | -1,182.12 | 0.00 |

| Max Consecutive Winners | [trad] | 4 | 4 | 0 |

| Max Consecutive Losers | [trad] | 10 | 10 | 0 |

| Ave Winner Length | [bars] | 89.82 | 89.82 | 0.00 |

| Ave Loser Length | [bars] | 25.04 | 25.04 | 0.00 |

| | | | | |

|_______________________________|________|___________|___________|___________|

|_______________________________|________|___________|___________|___________|

| Ave Net Profit | [ccy] | -0.1107 | -0.1107 | 0.0000 |

| Ave Gross Profit | [ccy] | -0.0707 | -0.0707 | 0.0000 |

| Ave Costs | [ccy] | 0.0400 | 0.0400 | 0.0000 |

| Ave Slippage | [ccy] | 0.0300 | 0.0300 | 0.0000 |

|_______________________________|________|___________|___________|___________|

| Num Units Traded | [unit] | 7,600.00 | 7,600.00 | 0.00 |

| * At-Market | [unit] | 3,800.00 | 3,800.00 | 0.00 |

| * On-Stop | [unit] | 3,800.00 | 3,800.00 | 0.00 |

| * At-Limit | [unit] | 0.00 | 0.00 | 0.00 |

| Perc. Units w/o Slippage | [pct] | 0.00 | 0.00 | 0.00 |

| | | | | |

|_______________________________|________|___________|___________|___________|

| TRANSACTIONS | | ALL | | |

|_______________________________|________|___________|___________|___________|

| | | | | |

|_______________________________|________|___________|___________|___________|

| DRAWDOWNS | | ALL | | |

|_______________________________|________|___________|___________|___________|

| Largest Drawdown | [ccy] | -9,424.20 | | |

| Number of Drawdowns | [ddn] | 91 | | |

| Ave Drawdown | [ccy] | -309.30 | | |

| Current Drawdown | [ccy] | -9,424.20 | | |

|_______________________________|________|___________|___________|___________|

Strategy Settings Report [back to top]

This report provides an overview of a strategy's properties. Analyzing a trading strategy may require running the strategy many times with slight variations to the model and strategy properties. For example, the 'pyramiding' property may be enabled to analyze its impact on strategy performance. The Strategy Settings Report can help remember which settings were used for a given simulation and help reproduce the same results at a later date.

____________________________________________

| |

| Strategy Settings Report |

|____________________________________________|

Strategy Name: 'demo'

Start Datetime: 1.Jan.1990-00:00:00:000

End Datetime: 31.Dec.2003-00:00:00:000

PRICE_MASTER: 'ibm.nyse.ohlcv.daily'

Scheduling: EXTERNAL

TIME_MASTER: 'ibm.nyse.ohlcv.daily'

Holiday Region Name: Default (no holidays)

Big Point Value: 1.0000

Order Size Given As: NUMBER-OF-UNITS

Fractional Units Enabled: true

Pyramiding Enabled: true

Transaction Cost Allocation: PER-UNIT

Per-Side Commission: 0.0000

Per-Side Slippage: 0.0000

Limit Trigger Factor: 0.00001000

Auto Stop Loss at Bar-Open only: false

Basic Auto Stop Loss Enabled: false

Trailing Auto Stop Loss Enabled: false

Break Even Auto Stop Loss Enabled: false

Break Even Auto Stop Profit: 1.0000

Equity Graph [back to top]

The Equity Graph provides a visual impression of the strategy's cummulative EOD (end of day) net profit/loss (strategy equity). In this case EOD means that strategy equity snapshots are taken at the end of each completed simulation day, and do not include intraday high's and lows of strategy equity.

Ascii based graphs are used as a convenience as they can easily be merged with other ascii based reports or printed on a terminal window. The corresponding data is of course also accessible and can be used to produce bitmap based charts using third party graphics tools.

_____________________________________________________________________

| Net Equity Graph (EOD) |

| ** | H: 7704.2

| ** |

| ** * | 6004

| ***** |

| * *** | 5033

| * * ** |

| *** ** * | 4062

| ** *** |

| *** *** * | 3090

| * **** |

| ** **** | 2119

| *** *** **** |

| ******** ** | 1148

| * * **** ** ** ** |

| **** ** ** ** | 176

|******------------------------*-**-*--------------------*-**---***---| (0.0)

| ***************************** *********** | -795

| * ***+|

| ***| L: -1523.3

|02-Jan-1990 31-Dec-2003 |

|_____________________________________________________________________|

Trade Report [back to top]

In real-live trading it is common for traders to increase the size of their position with 'add-on-orders' and to decrease position size with 'partial-exits'. Such an approach of course blurs the boundary of what actually constitutes a trade.

Ultimately, professional traders primarily focus on position management rather than on individual trades. TSA was designed to facilitate the implementation of strategies that follow this type of paradigm by supporting multi-leg trades, which means that a single trade can be composed of multiple transactions, where each transaction can increase or decrease the existing position.

However, for reporting purposes, it is still necessary to formally define what actually constitutes a trade. A new trade is considered 'opened' when the strategy's position changes from 'flat' to either 'long' or 'short', or when the strategy's position changes from 'long' to 'short' or vice versa (change in position direction). A trade is considered 'closed-out' (completed) when the position goes 'flat' (position size of zero), or when the position direction changes (in which case a new trade is 'opened' while the existing trade is 'closed-out').

________________________________

| |

| Trade Report |

|________________________________|

Strategy Name: 'demo'

Table Name: 'DEMO_TRADE_LOG'

Number of Trades: 38

_________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

|____|__________|_____________|____________|___________|_____________|____________|_________________|_________|___________________|_______________|__________________|______________|___________|_________|_________________|_________________________|___________________|______________|______________|________|________________|______________________|

| 1| LONG| 100.000| 22.847| 21.639| -120.713| -128.713| -128.713| 43| 13-Nov-1990| NIL| 15-Jan-1991| NIL| 2.000| 6.000| 2| 0| 3| 50.389| -160.973| false| 200.000| 0.000|

| 2| LONG| 100.000| 23.400| 22.734| -66.610| -74.610| -203.323| 44| 18-Jan-1991| NIL| 21-Mar-1991| NIL| 2.000| 6.000| 2| 0| 5| 499.836| -84.390| false| 200.000| 0.000|

| 3| LONG| 100.000| 21.505| 20.442| -106.231| -114.231| -317.553| 15| 16-Sep-1991| NIL| 04-Oct-1991| NIL| 2.000| 6.000| 2| 0| 7| 62.823| -108.831| false| 200.000| 0.000|

| 4| LONG| 100.000| 21.219| 20.487| -73.198| -81.198| -398.752| 6| 11-Nov-1991| NIL| 18-Nov-1991| NIL| 2.000| 6.000| 2| 0| 11| 0.533| -99.531| false| 200.000| 0.000|

| 5| LONG| 100.000| 19.749| 19.401| -34.772| -42.772| -441.524| 69| 04-May-1992| NIL| 10-Aug-1992| NIL| 2.000| 6.000| 2| 0| 15| 195.788| -75.875| false| 200.000| 0.000|

| 6| LONG| 100.000| 10.653| 12.656| 200.227| 192.227| -249.296| 106| 01-Nov-1993| NIL| 31-Mar-1994| NIL| 2.000| 6.000| 2| 0| 19| 318.105| -15.735| false| 200.000| 0.000|

| 7| LONG| 100.000| 13.711| 13.205| -50.582| -58.582| -307.879| 51| 25-Apr-1994| NIL| 07-Jul-1994| NIL| 2.000| 6.000| 2| 0| 21| 141.391| -62.217| false| 200.000| 0.000|

| 8| LONG| 100.000| 13.335| 12.944| -39.087| -47.087| -354.965| 2| 18-Jul-1994| NIL| 19-Jul-1994| NIL| 2.000| 6.000| 2| 0| 23| 7.452| -39.087| false| 200.000| 0.000|

| 9| LONG| 100.000| 24.333| 25.112| 77.879| 69.879| -285.087| 92| 23-Jan-1996| NIL| 03-Jun-1996| NIL| 2.000| 6.000| 2| 0| 29| 627.780| -45.549| false| 200.000| 0.000|

| 10| LONG| 100.000| 26.135| 34.566| 843.084| 835.084| 549.997| 140| 06-Aug-1996| NIL| 24-Feb-1997| NIL| 2.000| 6.000| 2| 0| 31| 1,463.963| -33.831| false| 200.000| 0.000|

| 11| LONG| 100.000| 36.318| 47.838| 1,152.090| 1,144.090| 1,694.087| 129| 28-Apr-1997| NIL| 28-Oct-1997| NIL| 2.000| 6.000| 2| 0| 35| 1,627.466| -49.040| false| 200.000| 0.000|

| 12| LONG| 100.000| 47.718| 47.813| 9.443| 1.443| 1,695.530| 9| 03-Nov-1997| NIL| 13-Nov-1997| NIL| 2.000| 6.000| 2| 0| 37| 231.671| -177.466| false| 200.000| 0.000|

| 13| LONG| 100.000| 50.023| 48.657| -136.616| -144.616| 1,550.914| 19| 18-Nov-1997| NIL| 15-Dec-1997| NIL| 2.000| 6.000| 2| 0| 39| 472.346| -353.671| false| 200.000| 0.000|

| 14| LONG| 100.000| 48.335| 49.260| 92.499| 84.499| 1,635.413| 1| 19-Dec-1997| NIL| 19-Dec-1997| NIL| 2.000| 6.000| 2| 0| 41| 131.689| -154.704| false| 200.000| 0.000|

| 15| LONG| 100.000| 50.565| 48.295| -227.056| -235.056| 1,400.357| 7| 02-Jan-1998| NIL| 12-Jan-1998| NIL| 2.000| 6.000| 2| 0| 43| 113.601| -353.671| false| 200.000| 0.000|

| 16| LONG| 100.000| 50.746| 47.933| -281.320| -289.320| 1,111.038| 3| 20-Jan-1998| NIL| 22-Jan-1998| NIL| 2.000| 6.000| 2| 0| 45| 152.792| -323.525| false| 200.000| 0.000|

| 17| LONG| 100.000| 49.813| 47.850| -196.353| -204.353| 906.685| 12| 17-Feb-1998| NIL| 04-Mar-1998| NIL| 2.000| 6.000| 2| 0| 47| 135.937| -196.353| false| 200.000| 0.000|

| 18| LONG| 100.000| 49.421| 58.571| 915.026| 907.026| 1,813.711| 138| 24-Mar-1998| NIL| 07-Oct-1998| NIL| 2.000| 6.000| 2| 0| 49| 1,746.474| -6.042| false| 200.000| 0.000|

| 19| LONG| 100.000| 63.118| 82.568| 1,944.988| 1,936.988| 3,750.698| 131| 12-Oct-1998| NIL| 20-Apr-1999| NIL| 2.000| 6.000| 2| 0| 51| 3,367.146| -172.802| false| 200.000| 0.000|

| 20| LONG| 100.000| 94.707| 116.864| 2,215.725| 2,207.725| 5,958.423| 114| 23-Apr-1999| NIL| 04-Oct-1999| NIL| 2.000| 6.000| 2| 0| 53| 4,085.294| -86.002| false| 200.000| 0.000|

| 21| LONG| 100.000| 115.183| 109.570| -561.273| -569.273| 5,389.150| 17| 06-Jan-2000| NIL| 31-Jan-2000| NIL| 2.000| 6.000| 2| 0| 57| 658.886| -817.507| false| 200.000| 0.000|

| 22| LONG| 100.000| 115.366| 106.261| -910.499| -918.499| 4,470.651| 13| 04-Feb-2000| NIL| 23-Feb-2000| NIL| 2.000| 6.000| 2| 0| 59| 164.326| -934.927| false| 200.000| 0.000|

| 23| LONG| 100.000| 110.270| 109.315| -95.497| -103.497| 4,367.154| 20| 21-Mar-2000| NIL| 17-Apr-2000| NIL| 2.000| 6.000| 2| 0| 61| 1,504.526| -974.899| false| 200.000| 0.000|

| 24| LONG| 100.000| 109.925| 105.650| -427.487| -435.487| 3,931.667| 3| 01-May-2000| NIL| 03-May-2000| NIL| 2.000| 6.000| 2| 0| 63| 109.925| -580.161| false| 200.000| 0.000|

| 25| LONG| 100.000| 118.471| 107.365| -1,110.554| -1,118.554| 2,813.112| 14| 08-Jun-2000| NIL| 27-Jun-2000| NIL| 2.000| 6.000| 2| 0| 65| 118.398| -1,208.382| false| 200.000| 0.000|

| 26| LONG| 100.000| 112.357| 107.915| -444.108| -452.108| 2,361.005| 4| 24-Jul-2000| NIL| 27-Jul-2000| NIL| 2.000| 6.000| 2| 0| 67| 75.599| -584.734| false| 200.000| 0.000|

| 27| LONG| 100.000| 108.588| 112.012| 342.402| 334.402| 2,695.407| 45| 02-Aug-2000| NIL| 04-Oct-2000| NIL| 2.000| 6.000| 2| 0| 69| 2,356.171| -226.839| false| 200.000| 0.000|

| 28| LONG| 100.000| 107.438| 100.713| -672.546| -680.546| 2,014.861| 25| 23-Jan-2001| NIL| 27-Feb-2001| NIL| 2.000| 6.000| 2| 0| 73| 903.089| -902.265| false| 200.000| 0.000|

| 29| LONG| 100.000| 105.484| 93.743| -1,174.118| -1,182.118| 832.743| 4| 07-Mar-2001| NIL| 12-Mar-2001| NIL| 2.000| 6.000| 2| 0| 75| 78.536| -1,220.258| false| 200.000| 0.000|

| 30| LONG| 100.000| 109.951| 100.214| -973.725| -981.725| -148.982| 57| 19-Apr-2001| NIL| 10-Jul-2001| NIL| 2.000| 6.000| 2| 0| 77| 789.547| -1,009.108| false| 200.000| 0.000|

| 31| LONG| 100.000| 109.011| 107.685| -132.593| -140.593| -289.575| 62| 26-Oct-2001| NIL| 25-Jan-2002| NIL| 2.000| 6.000| 2| 0| 81| 1,553.431| -380.056| false| 200.000| 0.000|

| 32| LONG| 100.000| 74.942| 74.926| -1.609| -9.609| -299.184| 96| 22-Oct-2002| NIL| 11-Mar-2003| NIL| 2.000| 6.000| 2| 0| 83| 1,384.276| -386.441| false| 200.000| 0.000|

| 33| LONG| 100.000| 82.096| 78.566| -353.060| -361.060| -660.245| 18| 18-Mar-2003| NIL| 10-Apr-2003| NIL| 2.000| 6.000| 2| 0| 85| 232.628| -441.560| false| 200.000| 0.000|

| 34| LONG| 100.000| 82.514| 81.401| -111.344| -119.344| -779.589| 37| 17-Apr-2003| NIL| 10-Jun-2003| NIL| 2.000| 6.000| 2| 0| 87| 754.365| -300.625| false| 200.000| 0.000|

| 35| LONG| 100.000| 84.479| 81.201| -327.754| -335.754| -1,115.344| 30| 12-Jun-2003| NIL| 24-Jul-2003| NIL| 2.000| 6.000| 2| 0| 89| 222.156| -338.713| false| 200.000| 0.000|

| 36| LONG| 100.000| 82.327| 80.653| -167.402| -175.402| -1,290.745| 2| 29-Jul-2003| NIL| 30-Jul-2003| NIL| 2.000| 6.000| 2| 0| 91| 23.871| -205.258| false| 200.000| 0.000|

| 37| LONG| 100.000| 84.099| 82.353| -174.687| -182.687| -1,473.432| 3| 22-Aug-2003| NIL| 26-Aug-2003| NIL| 2.000| 6.000| 2| 0| 93| 46.916| -297.467| false| 200.000| 0.000|

| 38| LONG| 100.000| 86.276| 92.680| 640.433| 632.433| -840.999| 83| 04-Sep-2003| NIL| 31-Dec-2003| NIL| 2.000| 6.000| 2| 0| 0| 809.532| -73.886| true| 200.000| 0.000|

Order Report [back to top]

Not every order is filled. Depending on the model's implementation, many orders (market, limit, stop, auto stop loss) may be generated for execution on any one interval, of which only a small percentage may ultimately be filled. Only orders that were filled result in a transaction.

________________________________

| |

| Order Report |

|________________________________|

Strategy Name: 'demo'

Table Name: 'DEMO_ORDER_LOG'

Number of Orders: 94

|________|_____________|________________|___________|__________________|_____________|__________|________________|________________|_______________|__________|____________|___________|____________|________|_______|

| 1| | SELL| MARKET| false| false| POST_EVAL| EXIT| 02-Aug-1990| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 2| | BUY| STOP| false| true| BAR| LONG_SHORT| 12-Nov-1990| NIL| 100.000| NIL| 22.847| NIL| NIL| NIL|

| 3| | SELL| MARKET| false| true| POST_EVAL| EXIT| 15-Jan-1991| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 4| | BUY| STOP| false| true| BAR| LONG_SHORT| 17-Jan-1991| NIL| 100.000| NIL| 23.400| NIL| NIL| NIL|

| 5| | SELL| MARKET| false| true| POST_EVAL| EXIT| 21-Mar-1991| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 6| | BUY| STOP| false| true| BAR| LONG_SHORT| 13-Sep-1991| NIL| 100.000| NIL| 21.505| NIL| NIL| NIL|

| 7| | SELL| MARKET| false| true| POST_EVAL| EXIT| 04-Oct-1991| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 8| | BUY| STOP| false| false| BAR| LONG_SHORT| 15-Oct-1991| NIL| 100.000| NIL| 21.791| NIL| NIL| NIL|

| 9| | SELL| MARKET| false| false| POST_EVAL| EXIT| 22-Oct-1991| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 10| | BUY| STOP| false| true| BAR| LONG_SHORT| 08-Nov-1991| NIL| 100.000| NIL| 21.219| NIL| NIL| NIL|

| 11| | SELL| MARKET| false| true| POST_EVAL| EXIT| 18-Nov-1991| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 12| | BUY| STOP| false| false| BAR| LONG_SHORT| 23-Apr-1992| NIL| 100.000| NIL| 19.155| NIL| NIL| NIL|

| 13| | SELL| MARKET| false| false| POST_EVAL| EXIT| 24-Apr-1992| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 14| | BUY| STOP| false| true| BAR| LONG_SHORT| 01-May-1992| NIL| 100.000| NIL| 19.448| NIL| NIL| NIL|

| 15| | SELL| MARKET| false| true| POST_EVAL| EXIT| 10-Aug-1992| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 16| | BUY| STOP| false| false| BAR| LONG_SHORT| 27-May-1993| NIL| 100.000| NIL| 12.247| NIL| NIL| NIL|

| 17| | SELL| MARKET| false| false| POST_EVAL| EXIT| 17-Jun-1993| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 18| | BUY| STOP| false| true| BAR| LONG_SHORT| 29-Oct-1993| NIL| 100.000| NIL| 10.653| NIL| NIL| NIL|

| 19| | SELL| MARKET| false| true| POST_EVAL| EXIT| 31-Mar-1994| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 20| | BUY| STOP| false| true| BAR| LONG_SHORT| 22-Apr-1994| NIL| 100.000| NIL| 13.711| NIL| NIL| NIL|

| 21| | SELL| MARKET| false| true| POST_EVAL| EXIT| 07-Jul-1994| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 22| | BUY| STOP| false| true| BAR| LONG_SHORT| 15-Jul-1994| NIL| 100.000| NIL| 13.335| NIL| NIL| NIL|

| 23| | SELL| MARKET| false| true| POST_EVAL| EXIT| 19-Jul-1994| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 24| | BUY| STOP| false| false| BAR| LONG_SHORT| 21-Jul-1994| NIL| 100.000| NIL| 14.614| NIL| NIL| NIL|

| 25| | SELL| MARKET| false| false| POST_EVAL| EXIT| 13-Sep-1995| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 26| | BUY| STOP| false| false| BAR| LONG_SHORT| 06-Nov-1995| NIL| 100.000| NIL| 23.857| NIL| NIL| NIL|

| 27| | SELL| MARKET| false| false| POST_EVAL| EXIT| 10-Nov-1995| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 28| | BUY| STOP| false| true| BAR| LONG_SHORT| 22-Jan-1996| NIL| 100.000| NIL| 24.333| NIL| NIL| NIL|

| 29| | SELL| MARKET| false| true| POST_EVAL| EXIT| 03-Jun-1996| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 30| | BUY| STOP| false| true| BAR| LONG_SHORT| 05-Aug-1996| NIL| 100.000| NIL| 26.135| NIL| NIL| NIL|

| 31| | SELL| MARKET| false| true| POST_EVAL| EXIT| 24-Feb-1997| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 32| | BUY| STOP| false| false| BAR| LONG_SHORT| 26-Feb-1997| NIL| 100.000| NIL| 35.387| NIL| NIL| NIL|

| 33| | SELL| MARKET| false| false| POST_EVAL| EXIT| 14-Mar-1997| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 34| | BUY| STOP| false| true| BAR| LONG_SHORT| 25-Apr-1997| NIL| 100.000| NIL| 36.318| NIL| NIL| NIL|

| 35| | SELL| MARKET| false| true| POST_EVAL| EXIT| 28-Oct-1997| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 36| | BUY| STOP| false| true| BAR| LONG_SHORT| 31-Oct-1997| NIL| 100.000| NIL| 47.517| NIL| NIL| NIL|

| 37| | SELL| MARKET| false| true| POST_EVAL| EXIT| 13-Nov-1997| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 38| | BUY| STOP| false| true| BAR| LONG_SHORT| 17-Nov-1997| NIL| 100.000| NIL| 50.023| NIL| NIL| NIL|

| 39| | SELL| MARKET| false| true| POST_EVAL| EXIT| 15-Dec-1997| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 40| | BUY| STOP| false| true| BAR| LONG_SHORT| 18-Dec-1997| NIL| 100.000| NIL| 48.335| NIL| NIL| NIL|

| 41| | SELL| MARKET| false| true| POST_EVAL| EXIT| 19-Dec-1997| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 42| | BUY| STOP| false| true| BAR| LONG_SHORT| 31-Dec-1997| NIL| 100.000| NIL| 50.565| NIL| NIL| NIL|

| 43| | SELL| MARKET| false| true| POST_EVAL| EXIT| 12-Jan-1998| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 44| | BUY| STOP| false| true| BAR| LONG_SHORT| 16-Jan-1998| NIL| 100.000| NIL| 50.746| NIL| NIL| NIL|

| 45| | SELL| MARKET| false| true| POST_EVAL| EXIT| 22-Jan-1998| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 46| | BUY| STOP| false| true| BAR| LONG_SHORT| 13-Feb-1998| NIL| 100.000| NIL| 49.581| NIL| NIL| NIL|

| 47| | SELL| MARKET| false| true| POST_EVAL| EXIT| 04-Mar-1998| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 48| | BUY| STOP| false| true| BAR| LONG_SHORT| 23-Mar-1998| NIL| 100.000| NIL| 49.098| NIL| NIL| NIL|

| 49| | SELL| MARKET| false| true| POST_EVAL| EXIT| 07-Oct-1998| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 50| | BUY| STOP| false| true| BAR| LONG_SHORT| 09-Oct-1998| NIL| 100.000| NIL| 61.854| NIL| NIL| NIL|

| 51| | SELL| MARKET| false| true| POST_EVAL| EXIT| 20-Apr-1999| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 52| | BUY| STOP| false| true| BAR| LONG_SHORT| 22-Apr-1999| NIL| 100.000| NIL| 94.707| NIL| NIL| NIL|

| 53| | SELL| MARKET| false| true| POST_EVAL| EXIT| 04-Oct-1999| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 54| | BUY| STOP| false| false| BAR| LONG_SHORT| 09-Dec-1999| NIL| 100.000| NIL| 110.768| NIL| NIL| NIL|

| 55| | SELL| MARKET| false| false| POST_EVAL| EXIT| 10-Dec-1999| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 56| | BUY| STOP| false| true| BAR| LONG_SHORT| 05-Jan-2000| NIL| 100.000| NIL| 113.331| NIL| NIL| NIL|

| 57| | SELL| MARKET| false| true| POST_EVAL| EXIT| 31-Jan-2000| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 58| | BUY| STOP| false| true| BAR| LONG_SHORT| 03-Feb-2000| NIL| 100.000| NIL| 114.429| NIL| NIL| NIL|

| 59| | SELL| MARKET| false| true| POST_EVAL| EXIT| 23-Feb-2000| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 60| | BUY| STOP| false| true| BAR| LONG_SHORT| 20-Mar-2000| NIL| 100.000| NIL| 110.270| NIL| NIL| NIL|

| 61| | SELL| MARKET| false| true| POST_EVAL| EXIT| 17-Apr-2000| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 62| | BUY| STOP| false| true| BAR| LONG_SHORT| 28-Apr-2000| NIL| 100.000| NIL| 109.048| NIL| NIL| NIL|

| 63| | SELL| MARKET| false| true| POST_EVAL| EXIT| 03-May-2000| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 64| | BUY| STOP| false| true| BAR| LONG_SHORT| 07-Jun-2000| NIL| 100.000| NIL| 118.471| NIL| NIL| NIL|

| 65| | SELL| MARKET| false| true| POST_EVAL| EXIT| 27-Jun-2000| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 66| | BUY| STOP| false| true| BAR| LONG_SHORT| 21-Jul-2000| NIL| 100.000| NIL| 112.357| NIL| NIL| NIL|

| 67| | SELL| MARKET| false| true| POST_EVAL| EXIT| 27-Jul-2000| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 68| | BUY| STOP| false| true| BAR| LONG_SHORT| 01-Aug-2000| NIL| 100.000| NIL| 108.199| NIL| NIL| NIL|

| 69| | SELL| MARKET| false| true| POST_EVAL| EXIT| 04-Oct-2000| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 70| | BUY| STOP| false| false| BAR| LONG_SHORT| 10-Oct-2000| NIL| 100.000| NIL| 112.602| NIL| NIL| NIL|

| 71| | SELL| MARKET| false| false| POST_EVAL| EXIT| 11-Oct-2000| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 72| | BUY| STOP| false| true| BAR| LONG_SHORT| 22-Jan-2001| NIL| 100.000| NIL| 106.558| NIL| NIL| NIL|

| 73| | SELL| MARKET| false| true| POST_EVAL| EXIT| 27-Feb-2001| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 74| | BUY| STOP| false| true| BAR| LONG_SHORT| 06-Mar-2001| NIL| 100.000| NIL| 104.161| NIL| NIL| NIL|

| 75| | SELL| MARKET| false| true| POST_EVAL| EXIT| 12-Mar-2001| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 76| | BUY| STOP| false| true| BAR| LONG_SHORT| 18-Apr-2001| NIL| 100.000| NIL| 104.651| NIL| NIL| NIL|

| 77| | SELL| MARKET| false| true| POST_EVAL| EXIT| 10-Jul-2001| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 78| | BUY| STOP| false| false| BAR| LONG_SHORT| 03-Aug-2001| NIL| 100.000| NIL| 106.427| NIL| NIL| NIL|

| 79| | SELL| MARKET| false| false| POST_EVAL| EXIT| 07-Aug-2001| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 80| | BUY| STOP| false| true| BAR| LONG_SHORT| 25-Oct-2001| NIL| 100.000| NIL| 109.011| NIL| NIL| NIL|

| 81| | SELL| MARKET| false| true| POST_EVAL| EXIT| 25-Jan-2002| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 82| | BUY| STOP| false| true| BAR| LONG_SHORT| 21-Oct-2002| NIL| 100.000| NIL| 74.942| NIL| NIL| NIL|

| 83| | SELL| MARKET| false| true| POST_EVAL| EXIT| 11-Mar-2003| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 84| | BUY| STOP| false| true| BAR| LONG_SHORT| 17-Mar-2003| NIL| 100.000| NIL| 82.096| NIL| NIL| NIL|

| 85| | SELL| MARKET| false| true| POST_EVAL| EXIT| 10-Apr-2003| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 86| | BUY| STOP| false| true| BAR| LONG_SHORT| 16-Apr-2003| NIL| 100.000| NIL| 82.514| NIL| NIL| NIL|

| 87| | SELL| MARKET| false| true| POST_EVAL| EXIT| 10-Jun-2003| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 88| | BUY| STOP| false| true| BAR| LONG_SHORT| 11-Jun-2003| NIL| 100.000| NIL| 83.752| NIL| NIL| NIL|

| 89| | SELL| MARKET| false| true| POST_EVAL| EXIT| 24-Jul-2003| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 90| | BUY| STOP| false| true| BAR| LONG_SHORT| 28-Jul-2003| NIL| 100.000| NIL| 82.327| NIL| NIL| NIL|

| 91| | SELL| MARKET| false| true| POST_EVAL| EXIT| 30-Jul-2003| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 92| | BUY| STOP| false| true| BAR| LONG_SHORT| 21-Aug-2003| NIL| 100.000| NIL| 82.802| NIL| NIL| NIL|

| 93| | SELL| MARKET| false| true| POST_EVAL| EXIT| 26-Aug-2003| NIL| 0.000| NIL| NIL| NIL| NIL| NIL|

| 94| | BUY| STOP| false| true| BAR| LONG_SHORT| 03-Sep-2003| NIL| 100.000| NIL| 86.276| NIL| NIL| NIL|

Transaction Report [back to top]

Note that Time Series API supports multi-leg trades, which means that trades can actually be composed of many individual transactions. Some transactions 'add-on' to the position, and some 'partials' reduce the position. An existing trade can be closed, and a new one opened in a single transaction.

______________________________________

| |

| Transaction Report |

|______________________________________|

Strategy Name: 'demo'

Table Name: 'DEMO_TRANSACTION_LOG'

Number of Transactions: 76

____________________________________________________________________________________________________________________________________________________________________________________

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 1| 2| | STOP| 13-Nov-1990| BUY| 100.000| LONG| 100.000| 22.847| 3.000| 1.000| BAR| LONG_SHORT|

| 2| 3| | MARKET| 15-Jan-1991| SELL| 100.000| FLAT| 0.000| 21.639| 3.000| 1.000| POST_EVAL| EXIT|

| 3| 4| | STOP| 18-Jan-1991| BUY| 100.000| LONG| 100.000| 23.400| 3.000| 1.000| BAR| LONG_SHORT|

| 4| 5| | MARKET| 21-Mar-1991| SELL| 100.000| FLAT| 0.000| 22.734| 3.000| 1.000| POST_EVAL| EXIT|

| 5| 6| | STOP| 16-Sep-1991| BUY| 100.000| LONG| 100.000| 21.505| 3.000| 1.000| BAR| LONG_SHORT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 6| 7| | MARKET| 04-Oct-1991| SELL| 100.000| FLAT| 0.000| 20.442| 3.000| 1.000| POST_EVAL| EXIT|

| 7| 10| | STOP| 11-Nov-1991| BUY| 100.000| LONG| 100.000| 21.219| 3.000| 1.000| BAR| LONG_SHORT|

| 8| 11| | MARKET| 18-Nov-1991| SELL| 100.000| FLAT| 0.000| 20.487| 3.000| 1.000| POST_EVAL| EXIT|

| 9| 14| | STOP| 04-May-1992| BUY| 100.000| LONG| 100.000| 19.749| 3.000| 1.000| BAR| LONG_SHORT|

| 10| 15| | MARKET| 10-Aug-1992| SELL| 100.000| FLAT| 0.000| 19.401| 3.000| 1.000| POST_EVAL| EXIT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 11| 18| | STOP| 01-Nov-1993| BUY| 100.000| LONG| 100.000| 10.653| 3.000| 1.000| BAR| LONG_SHORT|

| 12| 19| | MARKET| 31-Mar-1994| SELL| 100.000| FLAT| 0.000| 12.656| 3.000| 1.000| POST_EVAL| EXIT|

| 13| 20| | STOP| 25-Apr-1994| BUY| 100.000| LONG| 100.000| 13.711| 3.000| 1.000| BAR| LONG_SHORT|

| 14| 21| | MARKET| 07-Jul-1994| SELL| 100.000| FLAT| 0.000| 13.205| 3.000| 1.000| POST_EVAL| EXIT|

| 15| 22| | STOP| 18-Jul-1994| BUY| 100.000| LONG| 100.000| 13.335| 3.000| 1.000| BAR| LONG_SHORT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 16| 23| | MARKET| 19-Jul-1994| SELL| 100.000| FLAT| 0.000| 12.944| 3.000| 1.000| POST_EVAL| EXIT|

| 17| 28| | STOP| 23-Jan-1996| BUY| 100.000| LONG| 100.000| 24.333| 3.000| 1.000| BAR| LONG_SHORT|

| 18| 29| | MARKET| 03-Jun-1996| SELL| 100.000| FLAT| 0.000| 25.112| 3.000| 1.000| POST_EVAL| EXIT|

| 19| 30| | STOP| 06-Aug-1996| BUY| 100.000| LONG| 100.000| 26.135| 3.000| 1.000| BAR| LONG_SHORT|

| 20| 31| | MARKET| 24-Feb-1997| SELL| 100.000| FLAT| 0.000| 34.566| 3.000| 1.000| POST_EVAL| EXIT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 21| 34| | STOP| 28-Apr-1997| BUY| 100.000| LONG| 100.000| 36.318| 3.000| 1.000| BAR| LONG_SHORT|

| 22| 35| | MARKET| 28-Oct-1997| SELL| 100.000| FLAT| 0.000| 47.838| 3.000| 1.000| POST_EVAL| EXIT|

| 23| 36| | STOP| 03-Nov-1997| BUY| 100.000| LONG| 100.000| 47.718| 3.000| 1.000| BAR| LONG_SHORT|

| 24| 37| | MARKET| 13-Nov-1997| SELL| 100.000| FLAT| 0.000| 47.813| 3.000| 1.000| POST_EVAL| EXIT|

| 25| 38| | STOP| 18-Nov-1997| BUY| 100.000| LONG| 100.000| 50.023| 3.000| 1.000| BAR| LONG_SHORT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 26| 39| | MARKET| 15-Dec-1997| SELL| 100.000| FLAT| 0.000| 48.657| 3.000| 1.000| POST_EVAL| EXIT|

| 27| 40| | STOP| 19-Dec-1997| BUY| 100.000| LONG| 100.000| 48.335| 3.000| 1.000| BAR| LONG_SHORT|

| 28| 41| | MARKET| 19-Dec-1997| SELL| 100.000| FLAT| 0.000| 49.260| 3.000| 1.000| POST_EVAL| EXIT|

| 29| 42| | STOP| 02-Jan-1998| BUY| 100.000| LONG| 100.000| 50.565| 3.000| 1.000| BAR| LONG_SHORT|

| 30| 43| | MARKET| 12-Jan-1998| SELL| 100.000| FLAT| 0.000| 48.295| 3.000| 1.000| POST_EVAL| EXIT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 31| 44| | STOP| 20-Jan-1998| BUY| 100.000| LONG| 100.000| 50.746| 3.000| 1.000| BAR| LONG_SHORT|

| 32| 45| | MARKET| 22-Jan-1998| SELL| 100.000| FLAT| 0.000| 47.933| 3.000| 1.000| POST_EVAL| EXIT|

| 33| 46| | STOP| 17-Feb-1998| BUY| 100.000| LONG| 100.000| 49.813| 3.000| 1.000| BAR| LONG_SHORT|

| 34| 47| | MARKET| 04-Mar-1998| SELL| 100.000| FLAT| 0.000| 47.850| 3.000| 1.000| POST_EVAL| EXIT|

| 35| 48| | STOP| 24-Mar-1998| BUY| 100.000| LONG| 100.000| 49.421| 3.000| 1.000| BAR| LONG_SHORT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 36| 49| | MARKET| 07-Oct-1998| SELL| 100.000| FLAT| 0.000| 58.571| 3.000| 1.000| POST_EVAL| EXIT|

| 37| 50| | STOP| 12-Oct-1998| BUY| 100.000| LONG| 100.000| 63.118| 3.000| 1.000| BAR| LONG_SHORT|

| 38| 51| | MARKET| 20-Apr-1999| SELL| 100.000| FLAT| 0.000| 82.568| 3.000| 1.000| POST_EVAL| EXIT|

| 39| 52| | STOP| 23-Apr-1999| BUY| 100.000| LONG| 100.000| 94.707| 3.000| 1.000| BAR| LONG_SHORT|

| 40| 53| | MARKET| 04-Oct-1999| SELL| 100.000| FLAT| 0.000| 116.864| 3.000| 1.000| POST_EVAL| EXIT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 41| 56| | STOP| 06-Jan-2000| BUY| 100.000| LONG| 100.000| 115.183| 3.000| 1.000| BAR| LONG_SHORT|

| 42| 57| | MARKET| 31-Jan-2000| SELL| 100.000| FLAT| 0.000| 109.570| 3.000| 1.000| POST_EVAL| EXIT|

| 43| 58| | STOP| 04-Feb-2000| BUY| 100.000| LONG| 100.000| 115.366| 3.000| 1.000| BAR| LONG_SHORT|

| 44| 59| | MARKET| 23-Feb-2000| SELL| 100.000| FLAT| 0.000| 106.261| 3.000| 1.000| POST_EVAL| EXIT|

| 45| 60| | STOP| 21-Mar-2000| BUY| 100.000| LONG| 100.000| 110.270| 3.000| 1.000| BAR| LONG_SHORT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 46| 61| | MARKET| 17-Apr-2000| SELL| 100.000| FLAT| 0.000| 109.315| 3.000| 1.000| POST_EVAL| EXIT|

| 47| 62| | STOP| 01-May-2000| BUY| 100.000| LONG| 100.000| 109.925| 3.000| 1.000| BAR| LONG_SHORT|

| 48| 63| | MARKET| 03-May-2000| SELL| 100.000| FLAT| 0.000| 105.650| 3.000| 1.000| POST_EVAL| EXIT|

| 49| 64| | STOP| 08-Jun-2000| BUY| 100.000| LONG| 100.000| 118.471| 3.000| 1.000| BAR| LONG_SHORT|

| 50| 65| | MARKET| 27-Jun-2000| SELL| 100.000| FLAT| 0.000| 107.365| 3.000| 1.000| POST_EVAL| EXIT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 51| 66| | STOP| 24-Jul-2000| BUY| 100.000| LONG| 100.000| 112.357| 3.000| 1.000| BAR| LONG_SHORT|

| 52| 67| | MARKET| 27-Jul-2000| SELL| 100.000| FLAT| 0.000| 107.915| 3.000| 1.000| POST_EVAL| EXIT|

| 53| 68| | STOP| 02-Aug-2000| BUY| 100.000| LONG| 100.000| 108.588| 3.000| 1.000| BAR| LONG_SHORT|

| 54| 69| | MARKET| 04-Oct-2000| SELL| 100.000| FLAT| 0.000| 112.012| 3.000| 1.000| POST_EVAL| EXIT|

| 55| 72| | STOP| 23-Jan-2001| BUY| 100.000| LONG| 100.000| 107.438| 3.000| 1.000| BAR| LONG_SHORT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 56| 73| | MARKET| 27-Feb-2001| SELL| 100.000| FLAT| 0.000| 100.713| 3.000| 1.000| POST_EVAL| EXIT|

| 57| 74| | STOP| 07-Mar-2001| BUY| 100.000| LONG| 100.000| 105.484| 3.000| 1.000| BAR| LONG_SHORT|

| 58| 75| | MARKET| 12-Mar-2001| SELL| 100.000| FLAT| 0.000| 93.743| 3.000| 1.000| POST_EVAL| EXIT|

| 59| 76| | STOP| 19-Apr-2001| BUY| 100.000| LONG| 100.000| 109.951| 3.000| 1.000| BAR| LONG_SHORT|

| 60| 77| | MARKET| 10-Jul-2001| SELL| 100.000| FLAT| 0.000| 100.214| 3.000| 1.000| POST_EVAL| EXIT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 61| 80| | STOP| 26-Oct-2001| BUY| 100.000| LONG| 100.000| 109.011| 3.000| 1.000| BAR| LONG_SHORT|

| 62| 81| | MARKET| 25-Jan-2002| SELL| 100.000| FLAT| 0.000| 107.685| 3.000| 1.000| POST_EVAL| EXIT|

| 63| 82| | STOP| 22-Oct-2002| BUY| 100.000| LONG| 100.000| 74.942| 3.000| 1.000| BAR| LONG_SHORT|

| 64| 83| | MARKET| 11-Mar-2003| SELL| 100.000| FLAT| 0.000| 74.926| 3.000| 1.000| POST_EVAL| EXIT|

| 65| 84| | STOP| 18-Mar-2003| BUY| 100.000| LONG| 100.000| 82.096| 3.000| 1.000| BAR| LONG_SHORT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 66| 85| | MARKET| 10-Apr-2003| SELL| 100.000| FLAT| 0.000| 78.566| 3.000| 1.000| POST_EVAL| EXIT|

| 67| 86| | STOP| 17-Apr-2003| BUY| 100.000| LONG| 100.000| 82.514| 3.000| 1.000| BAR| LONG_SHORT|

| 68| 87| | MARKET| 10-Jun-2003| SELL| 100.000| FLAT| 0.000| 81.401| 3.000| 1.000| POST_EVAL| EXIT|

| 69| 88| | STOP| 12-Jun-2003| BUY| 100.000| LONG| 100.000| 84.479| 3.000| 1.000| BAR| LONG_SHORT|

| 70| 89| | MARKET| 24-Jul-2003| SELL| 100.000| FLAT| 0.000| 81.201| 3.000| 1.000| POST_EVAL| EXIT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 71| 90| | STOP| 29-Jul-2003| BUY| 100.000| LONG| 100.000| 82.327| 3.000| 1.000| BAR| LONG_SHORT|

| 72| 91| | MARKET| 30-Jul-2003| SELL| 100.000| FLAT| 0.000| 80.653| 3.000| 1.000| POST_EVAL| EXIT|

| 73| 92| | STOP| 22-Aug-2003| BUY| 100.000| LONG| 100.000| 84.099| 3.000| 1.000| BAR| LONG_SHORT|

| 74| 93| | MARKET| 26-Aug-2003| SELL| 100.000| FLAT| 0.000| 82.353| 3.000| 1.000| POST_EVAL| EXIT|

| 75| 94| | STOP| 04-Sep-2003| BUY| 100.000| LONG| 100.000| 86.276| 3.000| 1.000| BAR| LONG_SHORT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

| 76| 0| '_AUTO_CLOSE_'| MARKET| 31-Dec-2003| SELL| 100.000| FLAT| 0.000| 92.680| 3.000| 1.000| POST_EVAL| EXIT|

|____|______________|_______________|___________|______________|__________|________|__________________|___________________|________|_________|___________|______________|___________|

Drawdown Report [back to top]

This report lists all drawdowns that occured during strategy simulation. A drawdown is a drop in strategy equity (cummulative net profit). A drawdown starts as soon as strategy equity drops from its maximum value, the 'watermark', and lasts until strategy equity again exceeds this 'watermark'. The size of the drawdown is the difference between the watermark and the lowest level of strategy equity encountered during the drawdown. Any open drawdown at the end of the simulation in included in the Drawdown Report.

___________________________________

| |

| Drawdown Report |

|___________________________________|

Strategy Name: 'demo'

Table Name: 'DEMO_DRAWDOWN_LOG'

Number of Bars: 91

_____________________________________________________________

|______________|_______________|_______________|_____________|

| 34.130| 1| 13-Nov-1990| 14-Nov-1990|

| 40.259| 2| 14-Nov-1990| 16-Nov-1990|

| 10.065| 1| 16-Nov-1990| 19-Nov-1990|

| 2.516| 0| 19-Nov-1990| 19-Nov-1990|

| 2.516| 1| 19-Nov-1990| 20-Nov-1990|

|______________|_______________|_______________|_____________|

| 78.003| 11| 20-Nov-1990| 06-Dec-1990|

| 211.362| 36| 06-Dec-1990| 29-Jan-1991|

| 17.613| 1| 29-Jan-1991| 30-Jan-1991|

| 15.097| 0| 31-Jan-1991| 31-Jan-1991|

| 30.195| 1| 31-Jan-1991| 01-Feb-1991|

|______________|_______________|_______________|_____________|

| 16.237| 1| 01-Feb-1991| 04-Feb-1991|

| 12.701| 1| 04-Feb-1991| 05-Feb-1991|

| 10.160| 0| 06-Feb-1991| 06-Feb-1991|

| 2.540| 1| 06-Feb-1991| 07-Feb-1991|

| 55.883| 2| 07-Feb-1991| 11-Feb-1991|

|______________|_______________|_______________|_____________|

|______________|_______________|_______________|_____________|

| 20.321| 1| 11-Feb-1991| 12-Feb-1991|

| 33.021| 1| 12-Feb-1991| 13-Feb-1991|

| 22.861| 1| 13-Feb-1991| 14-Feb-1991|

| 25.401| 1| 14-Feb-1991| 15-Feb-1991|

| 17.781| 1| 15-Feb-1991| 19-Feb-1991|

|______________|_______________|_______________|_____________|

| 845.750| 1453| 19-Feb-1991| 14-Nov-1996|

| 17.976| 1| 14-Nov-1996| 15-Nov-1996|

| 5.992| 0| 15-Nov-1996| 15-Nov-1996|

| 59.919| 1| 15-Nov-1996| 18-Nov-1996|

| 83.886| 1| 18-Nov-1996| 19-Nov-1996|

|______________|_______________|_______________|_____________|

| 35.951| 1| 19-Nov-1996| 20-Nov-1996|

| 158.784| 4| 20-Nov-1996| 26-Nov-1996|

| 71.902| 3| 26-Nov-1996| 02-Dec-1996|

| 11.984| 1| 02-Dec-1996| 03-Dec-1996|

| 449.390| 27| 03-Dec-1996| 13-Jan-1997|

|______________|_______________|_______________|_____________|

|______________|_______________|_______________|_____________|

| 56.923| 1| 13-Jan-1997| 14-Jan-1997|

| 29.959| 1| 14-Jan-1997| 15-Jan-1997|

| 122.833| 4| 15-Jan-1997| 21-Jan-1997|

| 783.047| 84| 21-Jan-1997| 21-May-1997|

| 117.121| 3| 21-May-1997| 27-May-1997|

|______________|_______________|_______________|_____________|

| 486.505| 17| 28-May-1997| 20-Jun-1997|

| 207.215| 2| 20-Jun-1997| 24-Jun-1997|

| 21.022| 1| 24-Jun-1997| 25-Jun-1997|

| 174.181| 6| 25-Jun-1997| 03-Jul-1997|

| 39.040| 1| 03-Jul-1997| 07-Jul-1997|

|______________|_______________|_______________|_____________|

| 72.075| 1| 07-Jul-1997| 08-Jul-1997|

| 33.034| 0| 09-Jul-1997| 09-Jul-1997|

| 126.131| 2| 09-Jul-1997| 11-Jul-1997|

| 192.199| 3| 11-Jul-1997| 16-Jul-1997|

| 42.044| 1| 16-Jul-1997| 17-Jul-1997|

|______________|_______________|_______________|_____________|

|______________|_______________|_______________|_____________|

| 102.106| 1| 17-Jul-1997| 18-Jul-1997|

| 36.037| 1| 18-Jul-1997| 21-Jul-1997|

| 333.346| 2| 21-Jul-1997| 23-Jul-1997|

| 120.125| 1| 23-Jul-1997| 24-Jul-1997|

| 30.031| 1| 24-Jul-1997| 25-Jul-1997|

|______________|_______________|_______________|_____________|

| 273.283| 8| 25-Jul-1997| 06-Aug-1997|

| 75.078| 1| 06-Aug-1997| 07-Aug-1997|

| 1,276.820| 193| 07-Aug-1997| 14-May-1998|

| 1,128.878| 46| 14-May-1998| 21-Jul-1998|

| 423.708| 7| 21-Jul-1998| 30-Jul-1998|

|______________|_______________|_______________|_____________|

| 24.212| 1| 30-Jul-1998| 31-Jul-1998|

| 1,316.506| 63| 31-Jul-1998| 29-Oct-1998|

| 48.506| 0| 29-Oct-1998| 29-Oct-1998|

| 36.379| 1| 29-Oct-1998| 30-Oct-1998|

| 121.265| 2| 30-Oct-1998| 03-Nov-1998|

|______________|_______________|_______________|_____________|

|______________|_______________|_______________|_____________|

| 203.118| 3| 03-Nov-1998| 06-Nov-1998|

| 48.577| 1| 06-Nov-1998| 09-Nov-1998|

| 72.866| 1| 09-Nov-1998| 10-Nov-1998|

| 36.433| 1| 10-Nov-1998| 11-Nov-1998|

| 24.288| 0| 11-Nov-1998| 11-Nov-1998|

|______________|_______________|_______________|_____________|

| 109.298| 1| 11-Nov-1998| 12-Nov-1998|

| 200.380| 3| 12-Nov-1998| 17-Nov-1998|

| 182.164| 4| 17-Nov-1998| 23-Nov-1998|

| 72.866| 1| 23-Nov-1998| 24-Nov-1998|

| 136.623| 2| 24-Nov-1998| 27-Nov-1998|

|______________|_______________|_______________|_____________|

| 21.252| 1| 27-Nov-1998| 30-Nov-1998|

| 403.796| 14| 30-Nov-1998| 18-Dec-1998|

| 30.361| 1| 18-Dec-1998| 21-Dec-1998|

| 179.128| 1| 21-Dec-1998| 22-Dec-1998|

| 91.082| 1| 22-Dec-1998| 23-Dec-1998|

|______________|_______________|_______________|_____________|

|______________|_______________|_______________|_____________|

| 63.757| 1| 23-Dec-1998| 24-Dec-1998|

| 94.118| 0| 28-Dec-1998| 28-Dec-1998|

| 409.868| 6| 28-Dec-1998| 06-Jan-1999|

| 674.006| 9| 06-Jan-1999| 20-Jan-1999|

| 1,811.287| 78| 20-Jan-1999| 12-May-1999|

|______________|_______________|_______________|_____________|

| 143.047| 1| 12-May-1999| 13-May-1999|

| 1,320.900| 25| 14-May-1999| 21-Jun-1999|

| 182.613| 1| 21-Jun-1999| 22-Jun-1999|

| 602.623| 6| 22-Jun-1999| 30-Jun-1999|

| 389.574| 2| 30-Jun-1999| 02-Jul-1999|

|______________|_______________|_______________|_____________|

| 316.529| 2| 06-Jul-1999| 08-Jul-1999|

| 158.265| 1| 08-Jul-1999| 09-Jul-1999|

| 6.087| 1| 09-Jul-1999| 12-Jul-1999|

| 200.874| 0| 12-Jul-1999| 12-Jul-1999|

| 286.094| 1| 12-Jul-1999| 13-Jul-1999|

|______________|_______________|_______________|_____________|

|______________|_______________|_______________|_____________|

| 9,424.205| 1126| 13-Jul-1999| 31-Dec-2003|

|______________|_______________|_______________|_____________|

Bar Report [back to top]

This report is usually the longest of all reports as it consists of a record of every single interval (bar) processed by the simulation. It shows the actual 'open', 'high', 'low' and 'close' prices for the given bar, but also the cummulative strategy income, the current drawdown, the current position size and direction, as well as the number of transactions that took place.

______________________________

| |

| Bar Report |

|______________________________|

Strategy Name: 'demo'

Table Name: 'DEMO_BAR_LOG'

Number of Bars: 3531

____________________________________________________________________________________________________________________________________

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

| 03-Jan-1990| 18.990| 19.134| 18.918| 19.014| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 04-Jan-1990| 19.038| 19.303| 19.014| 19.230| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 05-Jan-1990| 19.206| 19.543| 19.134| 19.182| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 08-Jan-1990| 19.086| 19.399| 19.086| 19.303| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 09-Jan-1990| 19.327| 19.471| 19.110| 19.110| 0| 0| FLAT| 0.000| 0.000| 0.000|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

| 10-Jan-1990| 19.134| 19.230| 18.966| 19.038| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 11-Jan-1990| 19.134| 19.303| 19.110| 19.206| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 12-Jan-1990| 18.966| 19.086| 18.774| 18.822| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 15-Jan-1990| 18.774| 18.918| 18.702| 18.870| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 16-Jan-1990| 18.750| 19.303| 18.750| 19.255| 0| 0| FLAT| 0.000| 0.000| 0.000|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

| 17-Jan-1990| 19.303| 19.399| 18.918| 19.014| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 18-Jan-1990| 18.846| 19.158| 18.774| 19.134| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 19-Jan-1990| 19.182| 19.206| 18.942| 18.966| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 22-Jan-1990| 18.990| 19.062| 18.557| 18.581| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 23-Jan-1990| 18.654| 18.894| 18.581| 18.606| 0| 0| FLAT| 0.000| 0.000| 0.000|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

| 24-Jan-1990| 18.413| 18.822| 18.365| 18.750| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 25-Jan-1990| 18.822| 18.822| 18.269| 18.437| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 26-Jan-1990| 18.485| 18.702| 18.293| 18.630| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 29-Jan-1990| 18.726| 18.798| 18.365| 18.702| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 30-Jan-1990| 18.726| 18.774| 18.413| 18.702| 0| 0| FLAT| 0.000| 0.000| 0.000|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

| 31-Jan-1990| 18.846| 18.966| 18.774| 18.966| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 01-Feb-1990| 18.966| 19.182| 18.798| 18.798| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 02-Feb-1990| 18.822| 18.990| 18.822| 18.918| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 05-Feb-1990| 19.002| 19.440| 18.977| 19.391| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 06-Feb-1990| 19.391| 19.732| 19.196| 19.659| 0| 0| FLAT| 0.000| 0.000| 0.000|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

| 07-Feb-1990| 19.610| 20.194| 19.586| 20.072| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 08-Feb-1990| 20.170| 20.218| 19.829| 19.999| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 09-Feb-1990| 20.024| 20.097| 19.853| 19.951| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 12-Feb-1990| 19.926| 19.926| 19.586| 19.683| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 13-Feb-1990| 19.829| 20.097| 19.707| 20.097| 0| 0| FLAT| 0.000| 0.000| 0.000|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

| 14-Feb-1990| 20.121| 20.291| 20.097| 20.194| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 15-Feb-1990| 20.267| 20.364| 20.194| 20.194| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 16-Feb-1990| 20.340| 20.340| 20.121| 20.145| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 20-Feb-1990| 19.975| 20.072| 19.902| 20.024| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 21-Feb-1990| 19.902| 20.462| 19.853| 20.413| 0| 0| FLAT| 0.000| 0.000| 0.000|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

| 22-Feb-1990| 20.437| 20.535| 20.097| 20.097| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 23-Feb-1990| 19.999| 20.218| 19.853| 19.975| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 26-Feb-1990| 20.048| 20.267| 19.951| 20.243| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 27-Feb-1990| 20.267| 20.535| 20.170| 20.194| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 28-Feb-1990| 20.170| 20.364| 20.072| 20.218| 0| 0| FLAT| 0.000| 0.000| 0.000|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

| 01-Mar-1990| 20.194| 20.316| 20.121| 20.243| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 02-Mar-1990| 20.243| 20.510| 20.243| 20.413| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 05-Mar-1990| 20.413| 20.608| 20.364| 20.437| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 06-Mar-1990| 20.486| 20.583| 20.291| 20.583| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 07-Mar-1990| 20.632| 20.681| 20.486| 20.535| 0| 0| FLAT| 0.000| 0.000| 0.000|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

| 08-Mar-1990| 20.632| 20.900| 20.632| 20.827| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 09-Mar-1990| 20.827| 20.900| 20.681| 20.729| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 12-Mar-1990| 20.729| 20.973| 20.681| 20.973| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 13-Mar-1990| 20.924| 21.070| 20.681| 20.681| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 14-Mar-1990| 20.802| 20.827| 20.559| 20.681| 0| 0| FLAT| 0.000| 0.000| 0.000|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

| 15-Mar-1990| 20.754| 20.900| 20.729| 20.827| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 16-Mar-1990| 20.973| 21.167| 20.900| 21.143| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 19-Mar-1990| 21.046| 21.240| 20.900| 21.216| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 20-Mar-1990| 21.191| 21.289| 20.997| 21.021| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 21-Mar-1990| 21.119| 21.119| 20.851| 20.875| 0| 0| FLAT| 0.000| 0.000| 0.000|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

| 22-Mar-1990| 20.827| 20.924| 20.535| 20.729| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 23-Mar-1990| 20.632| 20.656| 20.413| 20.437| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 26-Mar-1990| 20.535| 20.583| 20.267| 20.267| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 27-Mar-1990| 20.170| 20.389| 20.121| 20.340| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 28-Mar-1990| 20.291| 20.608| 20.194| 20.608| 0| 0| FLAT| 0.000| 0.000| 0.000|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

| 29-Mar-1990| 20.632| 20.802| 20.583| 20.632| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 30-Mar-1990| 20.705| 20.778| 20.559| 20.656| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 02-Apr-1990| 20.462| 20.608| 20.437| 20.608| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 03-Apr-1990| 20.632| 20.778| 20.632| 20.754| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 04-Apr-1990| 20.754| 20.973| 20.608| 20.729| 0| 0| FLAT| 0.000| 0.000| 0.000|

|____________|________|________|________|________|_____________|______________|_____________|___________|________________|__________|

| 05-Apr-1990| 20.778| 20.802| 20.608| 20.656| 0| 0| FLAT| 0.000| 0.000| 0.000|

| 06-Apr-1990|