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attached are the test reports of a simple trading system trading only the short side of a single dow contract off the 10 min chart from jan 1 to march 28.
the Annual system % return: increases 4 fold by reducing the Initial Equity in half.
pick it apart.
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Title: AmiBroker System Test Report
Settings
Initial Equity:
5000
Periodicity/Positions:
10 minute/ Short
Commissions:
11.50 per trade
Annual interest rate:
0.00%
Range:
01/01/2003 00:00:00 - 28/03/2003
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
Yes
Def. round lot size:
1
Def. Tick Size
0
Drawdowns based on:
High/Low prices
Long trades
Buy price:
Open
Sell price:
Open
Buy delay:
1
Sell delay:
1
Short trades
Short price:
Open
Cover price:
Open
Short delay:
1
Cover delay:
1
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
0.00
Value:
0.00
Exit at stop?
no
Exit at stop?
no
Trailing stop:
disabled
Value:
0.00
Exit at stop?
no
Overall performance summary
Total net profit:
4724.09
Total commissions paid:
368.00
Return on account:
94.48 %
Open position gain/loss
0.00
Buy&Hold profit:
-4026.20
Bars (avg. days) in test:
2079 (79)
Buy&Hold % return:
-80.52%
System to Buy&Hold index:
217.33%
Annual system % return:
2061.19%
Annual B&H % return:
-99.95%
System drawdown:
0.00
B&H drawdown:
-12143.90
Max. system drawdown:
-1893.50
B&H max. drawdown:
-14497.50
Max. system % drawdown:
-20.53%
B&H max. % drawdown:
-282.25%
Max. trade drawdown:
-1226.50
Max. trade % drawdown:
-20.53%
Trade drawdown:
-1128.80
Total number of trades:
16
Percent profitable:
75.0%
Number winning trades:
12
Number losing trades:
4
Profit of winners:
6733.10
Loss of losers:
-2009.01
Total # of bars in winners:
180
Total # of bars in losers:
60
Commissions paid in winners:
276.00
Commissions paid in losers:
92.00
Largest winning trade:
1673.20
Largest losing trade:
-1069.90
# of bars in largest winner:
15
# bars in largest loser:
15
Commission paid in largest winner:
23.00
Commission paid in largest loser:
23.00
Average winning trade:
561.09
Average losing trade:
-502.25
Avg. # of bars in winners:
15.0
Avg. # bars in losers:
15.0
Avg. commission paid in winner:
23.00
Avg. commission paid in loser:
23.00
Max consec. winners:
5
Max consec. losers:
2
Bars out of the market:
1839
Interest earned:
0.00
Exposure:
11.5%
Risk adjusted ann. return:
17855.10%
Ratio avg win/avg loss:
1.12
Avg. trade (win & loss):
295.26
Profit factor:
3.35
Title: AmiBroker System Test Report
Settings
Initial Equity:
10000
Periodicity/Positions:
10 minute/ Short
Commissions:
11.50 per trade
Annual interest rate:
0.00%
Range:
01/01/2003 00:00:00 - 28/03/2003
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
Yes
Def. round lot size:
1
Def. Tick Size
0
Drawdowns based on:
High/Low prices
Long trades
Buy price:
Open
Sell price:
Open
Buy delay:
1
Sell delay:
1
Short trades
Short price:
Open
Cover price:
Open
Short delay:
1
Cover delay:
1
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
0.00
Value:
0.00
Exit at stop?
no
Exit at stop?
no
Trailing stop:
disabled
Value:
0.00
Exit at stop?
no
Overall performance summary
Total net profit:
4724.09
Total commissions paid:
368.00
Return on account:
47.24 %
Open position gain/loss
0.00
Buy&Hold profit:
-12032.61
Bars (avg. days) in test:
2079 (79)
Buy&Hold % return:
-120.33%
System to Buy&Hold index:
139.26%
Annual system % return:
497.49%
Annual B&H % return:
N/A
System drawdown:
0.00
B&H drawdown:
-36431.70
Max. system drawdown:
-1893.50
B&H max. drawdown:
-43492.51
Max. system % drawdown:
-13.26%
B&H max. % drawdown:
-423.38%
Max. trade drawdown:
-1226.50
Max. trade % drawdown:
-11.22%
Trade drawdown:
-1128.80
Total number of trades:
16
Percent profitable:
75.0%
Number winning trades:
12
Number losing trades:
4
Profit of winners:
6733.10
Loss of losers:
-2009.01
Total # of bars in winners:
180
Total # of bars in losers:
60
Commissions paid in winners:
276.00
Commissions paid in losers:
92.00
Largest winning trade:
1673.20
Largest losing trade:
-1069.90
# of bars in largest winner:
15
# bars in largest loser:
15
Commission paid in largest winner:
23.00
Commission paid in largest loser:
23.00
Average winning trade:
561.09
Average losing trade:
-502.25
Avg. # of bars in winners:
15.0
Avg. # bars in losers:
15.0
Avg. commission paid in winner:
23.00
Avg. commission paid in loser:
23.00
Max consec. winners:
5
Max consec. losers:
2
Bars out of the market:
1839
Interest earned:
0.00
Exposure:
11.5%
Risk adjusted ann. return:
4309.55%
Ratio avg win/avg loss:
1.12
Avg. trade (win & loss):
295.26
Profit factor:
3.35
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