Gross win/loss      24599$ / -13393$ (+6458p)
Average profit      1932$/year, 161$/month, 7.43$/day
Max drawdown        -2435$ 21.7% (MAE -3559$ 31.8%)
Total down time     72% (TAE 54%)
Max down time       47 weeks from Nov 2014
Max open margin     266$
Max open risk       2954$
Trade volume        2400653$ (413798$/year)
Transaction costs   -943$ spr, -639$ slp, -1803$ rol
Capital required    2017$

Number of trades    157 (28/year, 1/week, 1/day)
Percent winning     53.5%
Max win/loss        2052$ / -812$
Avg trade profit    71.38$ 41.1p (+168.8p / -105.7p)
Avg trade slippage  -4.07$ -2.3p (+0.6p / -5.7p)
Avg trade bars      7 (+8 / -5)
Max trade bars      37 (7 weeks)
Time in market      76%
Max open trades     4
Max loss streak     7 (uncorrelated 7)

Annual return       96%
Profit factor       1.84 (PRR 1.46)
Sharpe ratio        1.00
Kelly criterion     1.05
R2 coefficient      0.744
Ulcer index         6.5%