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Overall Statistics
The statistics presented on this page reflect all trades between 7-10-06 and 10-05-07. The entry into the trade is the worst possible entry point. The maximum favorable excursion and loss are based on the rules in the Statistical FAQ and a historical review of the charts. The Excel worksheets used to create these statistics or an html version is available for you to download here. |
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Overall Statistics |
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The potential profit and loss was calculated using no other indicators other than the ZoneTraderPro charts, which drew the zones in advance of the market reaching the zones. ZoneTraderPro allows the trader to quickly identify the current market trend. ZoneTraderPro then identifies the zone on the chart to enter, exit, and reverse a position, based on where the most likely Zones that profit taking will occur. ZoneTraderPro will then identify the zone where the trend should resume, for entry into the next trade. ZoneTraderPro also identifies market reversals in trends. Experienced traders may also trade these reversals.The ZoneTraderPro system produced 7108 trend and counter trend trades between 7-10-06 and 10-5-07. 4582 trades were winning trades of 6 ticks or greater, 9 winning trades of less than 6 ticks. 826 of the trades were losing trades. 1691 of the total number of trades were exited at breakeven. 858 of these trades had gone 4-5 ticks in the direction of the trade before the market reversed. 833 had adverse excursion or a favorable excursion of 3 or less, but allowed the trader to exit at breakeven. The trading manual details when to consider exiting a trade at breakeven. When the breakeven trades are removed from the total trades, ZoneTraderPro has an historical win rate of 84.7% when trading both with and against the prevailing market trend. Trading with the trend, and removing the breakeven trades, produced a win rate of 84.1%. Trading against the trend had a 85.6% win rate. While the counter trend win rate is higher, the average winning counter trend trade was .9 ticks less.
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The total potential profit for both trend and counter trend trading was 53982 ticks, or $674,775.
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The minimum loss for both trend and counter trend trading was 7373 ticks, or $92,163.
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Trend Trading Statistics |
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The ZoneTraderPro system produced a total of 4172 trend trades between 7-10-06 and 10-05-07 on the intra day S&P 500 E-mini contract.All of the statistics were created using a mechanical entry point, which was the worst possible entry point. 2755 of these trades were winning trades, 2749 were 6 ticks or more.
- Historical 66% win rate. 12.4 % loss rate. 21.5% breakeven trades.
Total Maximum Favorable Excursion or potential profit, was 33416 ticks, or $417,700 for the winning trades, trading 1 e-mini contract.
1616 trades, or 58.6%, were 10 ticks or greater in profit.
Average winning trend trade was 12.1 S&P ticks.
518 losing trades, for 4598 ticks or $57,475 trading 1 e-mini contract.
Maximum loss was 12 ticks.
7.26:1 ratio of maximum favorable excursion to loss.
152 losing trades or, 29.3% had losses of 4 ticks or less.
There were 899 breakeven trades. 459 had a maximum favorable excursion of 4-5 ticks. 440 had an adverse excursion or favorable excursion of 3 or less before the market reversed, but allowed the trade to exit at breakeven.
- When the 518 losing trades are added to the 440 breakeven trades with adverse excursion, the total is 958 trades that went against the system. That is 22.9% of the trades went against the trader. The remaining 77% of the trades were wins, or breakeven trades that went 4 ticks in the trades' favor, before reversing trend.
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Counter Trend Trading |
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The ZoneTraderPro system also identifies trades against the established trend, at zones where there is a high probability of profit taking for the current move. There was a total of 2936 counter trend trades between 7-10-06 and 10-05-07.1836 of these trades were winning trades, 1833 were 6 ticks or more.
- Historical 62.5% win rate. 10.4 % loss rate. 26.9% breakeven trades.
Total Maximum Favorable Excursion or profit potential was 20589 ticks, or $257,362, for the winning trades, trading 1 e-mini contract against the prevailing market trend. 920 trades, or 50.1%, were 10 ticks or greater in profit.
Average winning counter trend trade was 11.2 ticks.
308 losing trades for 2775 ticks or $22,188 trading 1 e-mini contract. Maximum loss was 12 ticks.
7.41:1 ratio of maximum favorable excursion to loss.87 losing trades, or 28.2% had losses of 4 ticks or less. There were 792 breakeven trades. 399 had a maximum favorable excursion of 4-5 ticks. 393 had an adverse excursion or favorable excursion of 3 or less before the market resumed the trend, but allowed the trade to exit at breakeven.
- When the 308 losing trades are added to the 393 breakeven trades with adverse excursion, the total is 701 trades that went against the system. That is 23.8% of the trades went against the trader. The remaining 76.1% of the trades were wins or breakeven trades that went in the favor of the trader.
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Total Trades - Wins Losses Breakeven |
| TYPE OF TRADE |
TOTAL TRADES |
WIN / LOSS /BREAKEVEN |
WIN / LOSS /breakeven % |
WINNING PERCENTAGE (EXCLUDING BREAKEVEN) |
| TREND |
4172 |
2755 / 518 /899 |
66% / 12.4% / 21.5% |
84.1% |
| COUNTERTREND |
2936 |
1836 / 308 / 792 |
62.5% / 10.4% / 26.9% |
85.6% |
| total |
7108 |
4591 / 826/ 1691 |
64.5% / 11.6% / 23.7% |
84.7% |
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Total Trades Profit and Loss* |
| type of TRADES |
mAXIMUM FAVORABLE EXCURSION TICKS |
PROFIT (EXCLUDING COMMISIONS) |
LOSS IN TICKS
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LOSS |
| TREND |
33393 |
$417,700 |
4598 |
$57,475 |
| COUNTERTREND |
20589 |
$257,362 |
2775 |
$34,688 |
| total |
53982 |
$675,062 |
7373 |
$92,163 |
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There are two types of breakeven trades. Trades that initially react by moving 4-5 ticks in the direction of the established trend, and then reverse, and trades that went into an adverse condition immediately. The purpose of the table is to illustrate that although 22% of all trades should be exited at breakeven, a large percentage of these had 4-5 ticks of favorable excursion before reversing trend. A breakeven trade is defined as when the market price on the exit trades at the entry price of the trade. It does not account for any commissions or if a limit order would have been filled at that price. |
| type of TRADES |
TOTAL BREAKEVEN TRADES |
mfe GREATER OR EQUAL TO 4 |
mFE LESS THAN 4 |
% GREATER THAN OR = 4 |
| TREND |
899 |
459 |
440 |
51% |
| COUNTERTREND |
792 |
399 |
393 |
50.3% |
| total |
1691 |
858 |
833 |
50.7% |
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Maximum Favorable Excursion / Maximum Adverse Excursion |
This table represents the numbers of trades and percentages that went in the direction of the trade after a ZoneTraderPro trading arrow was given. |
| total TRADES |
MFE >= 4 |
MFE >= 6 |
MFE >= 8 |
MFE >= 10 |
| 4172 TREND |
3251 / 77.9% |
2748 / 65.8% |
2141 / 51.3% |
1615 / 38.7% |
2936 COUNTERTREND |
2250 / 76.6% |
1833 / 62.4% |
1305 / 44.4% |
920 / 31.3% |
| 7108 total |
5501 / 77.3% |
4581 / 64.4% |
3446 / 48.4% |
2535 / 35.6% |
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Another important aspect of this system is your trading plan and this table. Your trading plan should take into consideration that the market will trade within 1 tick of the zone and you will need to enter the trade. An MAE of 0 means that the market traded usually traded within 1 tick of hitting the entry zone. This table represents the Maximum Adverse Excursion of winning trades. Since the entry is calculated at the beginning of the zone, your trading plan should be aware of this data. |
total winning tRADES
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Mae = 0 |
MaE 1-3 |
MaE 4-5 |
MAE = >6 |
| 2755 TREND |
1533 / 55.6% |
889 / 32.2% |
232 / 8.4% |
101 / 3.6% |
1836 COUNTERTREND |
921 / 50.1% |
686 / 37.3% |
164 / 8.9% |
65 / 3.5% |
| 4591 total |
2454 / 53.4% |
1575 / 34.3% |
307 / 8.6% |
166 / 3.6% |
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| LOSING TRADES |
TOTAL |
LOSS BETWEEN 1-4 TICKS |
LOSS BETWEEN 5-9 TICKS |
LOSS BETWEEN 10-12 TICKS |
| TREND |
518 |
153 / 29.5% |
21 / 4% |
344 / 66.4% |
COUNTERTREND |
308 |
87 / 28.2% |
9 / 2.9% |
212 / 68.8% |
| total |
826 |
240 / 29% |
30 / 3.6% |
556 / 67.3% |
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Losing trades will occur in any trading system. Out of 7108 trades, the ZoneTraderPro system had 556 losses that were between 10-12 ticks which would be considered a full loss. Out of 7108 total trades, that is just 7.8% of the total trades that were full losses. 3.3% of the total trades were losing trades that were small, between 1-4 ticks.
Additionally, 25 of these full loss trades had a Maximum Favorable Excursion of 4 or more, before the trade became negative. By moving the stop after an MFE of 4, these losses would have been eliminated. An additional 28 losing trades that were 9 ticks or less, would have been eliminated under this rule. This will be included as a trading rule for all trades after 5-14-07, but will not be retroactively applied to the completed trading record.
Of the 7108 total trades, there were 4581 winning trades of 6 ticks or more, or 64.4%. And when you remove the breakeven trades, the percentage of winners to losers is 84.7%. |
*The maximum favorable excursion of winning trades could never be achieved in real trading. The total loss is an absolute minimum. Both the MFE and loss are based on examination of the charts, after the trade has completed. Market conditions and trader experience may affect profits and losses. MFE and loss do not account for slippage and commissions. The statistical data on this page is based on ZoneTraderPro trades between 7-10-06 and 10-05-07. A breakeven is defined as when the market price on the exit trades at the entry price of the trade. It does not account for ant commissions or if a limit order would have been filled at that price.
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