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Re: [amibroker] Re: Help - Unrealistic Results



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----- Original Message -----
From: "nkis22" <nkishor@xxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, April 19, 2003 4:31 PM
Subject: [amibroker] Re: Help - Unrealistic Results


> Results are very poor on DOW30 from Jan 02 till now, so I don't
> see the problem. Tested both weekly and daily bars
> nand
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Stewart <stewart@xxxx> wrote:
> > Hi All,
> >
> > I was experimenting with a system, similiar to the one below. I'm
> getting very unrealistic results, and I can't figure out why.
> > I don't believe the system is forward looking, does anyone else
> have an idea?
> > Thanks,
> >
> > Stewart
> >
> > System:
> >
> > Buy = C > Ref(C,-1) ;
> >
> > Sell= C < Ref(C,-1) ;
> >
> > Short= C < Ref(C,-1) ;
> >
> > Cover = C > Ref(C,-1);
> >
> > ApplyStop(Optimize( "Type", 1, 0, 3, 1 ),Optimize( "Mode", 1,0, 1,
> 1 ) ,Optimize( "Amount", 0, 0, 3, 1 ),1,1);
> >
> > Equity(1);
> >
> >
> >
> > The system settings are:
> >
> >       Settings
> >
> >       Initial Equity: 10000  Periodicity/Positions:  Daily/Long
> Short
> >       Commissions: 0.01 per share  Annual interest rate: 5.00%
> >       Range: 99 days  Apply to: Filter
> >       Include Filter    Exclude Filter
> >       Market -  Market -
> >       Group -  Group Indicies
> >       Sector -  Sector -
> >       Industry -  Industry -
> >       Watch list Main Universe  Watch list -
> >       Index -  Index Yes
> >       Favourite -  Favourite -
> >       Margin requirement: 75  Futures mode: No
> >       Def. round lot size: 1  Def. Tick Size 1
> >       Drawdowns based on: Close prices
> >       Long trades
> >       Buy price: Open  Sell price:  Close
> >       Buy delay: 1  Sell delay:  0
> >       Short trades
> >       Short price: Open  Cover price:  Close
> >       Short delay: 1  Cover delay:  0
> >       Stops
> >       Maximum loss: disabled  Profit target:  disabled
> >       Value: 15.00  Value:  0.00
> >       Exit at stop? yes  Exit at stop?  no
> >
> >       Trailing stop: disabled
> >       Value: 10.00
> >       Exit at stop? yes
>
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>

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Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
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Title: AmiBroker System Test Report




  
  
    Overall performance summary
  
     
  
    Total net profit:
    228277.57
     
    Total commissions paid:
    25799.09
  
    Return on account:
    142.67 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    37276.14
     
    Bars (avg. days) in test:
    874 (80)
  
    Buy&Hold % return:
    23.30%
     
    System to Buy&Hold index:
    512.40%
  
     
  
    Annual system % return:
    5610.37%
     
    Annual B&H % return:
    160.00%
  
     
  
    System drawdown:
    -896.52
     
    B&H drawdown:
    -6096.38
  
    Max. system drawdown:
    -5890.24
     
    B&H max. drawdown:
    -5950.14
  
    Max. system % drawdown:
    -25.96%
     
    B&H max. % drawdown:
    -60.16%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -4787.40
     
     
     
  
     
  
    Total number of trades:
    700
     
    Percent profitable:
    89.9%
  
    Number winning trades:
    629
     
    Number losing trades:
    71
  
    Profit of winners:
    226833.42
     
    Loss of losers:
    -1469.53
  
    Total # of bars in winners:
    629
     
    Total # of bars in losers:
    71
  
    Commissions paid in winners:
    23669.78
     
    Commissions paid in losers:
    2129.30
  
     
  
    Largest winning trade:
    2534.00
     
    Largest losing trade:
    -77.62
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    125.14
     
    Commission paid in largest loser:
    77.62
  
     
  
    Average winning trade:
    360.63
     
    Average losing trade:
    -20.70
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    37.63
     
    Avg. commission paid in loser:
    29.99
  
    Max consec. winners:
    47
     
    Max consec. losers:
    2
  
     
  
    Bars out of the market:
    198
     
    Interest earned:
    2913.68
  
     
  
    Exposure:
    77.3%
     
    Risk adjusted ann. return:
    7004.23%
  
    Ratio avg win/avg loss:
    17.42
     
    Avg. trade (win & loss):
    321.95
  
    Profit factor:
    154.36
     
    
    



  
  
    Performance for ADRX 
  
     
  
    Total net profit:
    10561.46
     
    Total commissions paid:
    1277.93
  
    Return on account:
    105.61 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    106.02
     
    Bars (days) in test:
    56 (80)
  
    Buy&Hold % return:
    1.06%
     
    System to Buy&Hold index:
    9861.43%
  
     
  
    Annual system % return:
    2581.07%
     
    Annual B&H % return:
    4.93%
  
     
  
    System drawdown:
    0.00
     
    B&H drawdown:
    -6096.38
  
    Max. system drawdown:
    -1456.65
     
    B&H max. drawdown:
    -5950.14
  
    Max. system % drawdown:
    -9.68%
     
    B&H max. % drawdown:
    -60.16%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -1700.16
     
     
     
  
     
  
    Total number of trades:
    32
     
    Percent profitable:
    93.8%
  
    Number winning trades:
    30
     
    Number losing trades:
    2
  
    Profit of winners:
    10434.53
     
    Loss of losers:
    -48.53
  
    Total # of bars in winners:
    30
     
    Total # of bars in losers:
    2
  
    Commissions paid in winners:
    1185.24
     
    Commissions paid in losers:
    92.69
  
     
  
    Largest winning trade:
    1075.28
     
    Largest losing trade:
    -39.70
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    54.22
     
    Commission paid in largest loser:
    39.70
  
     
  
    Average winning trade:
    347.82
     
    Average losing trade:
    -24.26
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    39.51
     
    Avg. commission paid in loser:
    46.34
  
    Max consec. winners:
    15
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    25
     
    Interest earned:
    175.45
  
     
  
    Exposure:
    55.4%
     
    Risk adjusted ann. return:
    4476.87%
  
    Ratio avg win/avg loss:
    14.34
     
    Avg. trade (win & loss):
    324.56
  
    Profit factor:
    215.03
     
    
    



  
  
    Performance for ALTR 
  
     
  
    Total net profit:
    22549.35
     
    Total commissions paid:
    2415.77
  
    Return on account:
    225.49 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    4699.73
     
    Bars (days) in test:
    54 (80)
  
    Buy&Hold % return:
    47.00%
     
    System to Buy&Hold index:
    379.80%
  
     
  
    Annual system % return:
    21700.89%
     
    Annual B&H % return:
    479.89%
  
     
  
    System drawdown:
    -321.69
     
    B&H drawdown:
    -439.56
  
    Max. system drawdown:
    -2507.54
     
    B&H max. drawdown:
    -1972.08
  
    Max. system % drawdown:
    -12.45%
     
    B&H max. % drawdown:
    -14.54%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -2176.38
     
     
     
  
     
  
    Total number of trades:
    52
     
    Percent profitable:
    94.2%
  
    Number winning trades:
    49
     
    Number losing trades:
    3
  
    Profit of winners:
    22426.11
     
    Loss of losers:
    -89.39
  
    Total # of bars in winners:
    49
     
    Total # of bars in losers:
    3
  
    Commissions paid in winners:
    2295.55
     
    Commissions paid in losers:
    120.22
  
     
  
    Largest winning trade:
    1740.00
     
    Largest losing trade:
    -46.22
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    60.00
     
    Commission paid in largest loser:
    46.22
  
     
  
    Average winning trade:
    457.68
     
    Average losing trade:
    -29.80
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    46.85
     
    Avg. commission paid in loser:
    40.07
  
    Max consec. winners:
    19
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    4
     
    Interest earned:
    212.62
  
     
  
    Exposure:
    92.6%
     
    Risk adjusted ann. return:
    22743.36%
  
    Ratio avg win/avg loss:
    15.36
     
    Avg. trade (win & loss):
    429.55
  
    Profit factor:
    250.89
     
    
    



  
  
    Performance for BRCM 
  
     
  
    Total net profit:
    22830.40
     
    Total commissions paid:
    2242.10
  
    Return on account:
    228.30 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -461.66
     
    Bars (days) in test:
    56 (80)
  
    Buy&Hold % return:
    -4.62%
     
    System to Buy&Hold index:
    5045.25%
  
     
  
    Annual system % return:
    22573.06%
     
    Annual B&H % return:
    -19.40%
  
     
  
    System drawdown:
    0.00
     
    B&H drawdown:
    -1996.88
  
    Max. system drawdown:
    -1642.08
     
    B&H max. drawdown:
    -3471.64
  
    Max. system % drawdown:
    -13.50%
     
    B&H max. % drawdown:
    -31.25%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -1705.54
     
     
     
  
     
  
    Total number of trades:
    51
     
    Percent profitable:
    98.0%
  
    Number winning trades:
    50
     
    Number losing trades:
    1
  
    Profit of winners:
    22692.99
     
    Loss of losers:
    -77.62
  
    Total # of bars in winners:
    50
     
    Total # of bars in losers:
    1
  
    Commissions paid in winners:
    2164.49
     
    Commissions paid in losers:
    77.62
  
     
  
    Largest winning trade:
    1800.10
     
    Largest losing trade:
    -77.62
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    52.94
     
    Commission paid in largest loser:
    77.62
  
     
  
    Average winning trade:
    453.86
     
    Average losing trade:
    -77.62
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    43.29
     
    Avg. commission paid in loser:
    77.62
  
    Max consec. winners:
    47
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    7
     
    Interest earned:
    215.03
  
     
  
    Exposure:
    87.5%
     
    Risk adjusted ann. return:
    25032.43%
  
    Ratio avg win/avg loss:
    5.85
     
    Avg. trade (win & loss):
    443.44
  
    Profit factor:
    292.38
     
    
    



  
  
    Performance for CCU 
  
     
  
    Total net profit:
    5154.31
     
    Total commissions paid:
    462.22
  
    Return on account:
    51.54 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -81.01
     
    Bars (days) in test:
    56 (80)
  
    Buy&Hold % return:
    -0.81%
     
    System to Buy&Hold index:
    6462.69%
  
     
  
    Annual system % return:
    566.34%
     
    Annual B&H % return:
    -3.64%
  
     
  
    System drawdown:
    -358.56
     
    B&H drawdown:
    -2576.32
  
    Max. system drawdown:
    -1358.62
     
    B&H max. drawdown:
    -2576.32
  
    Max. system % drawdown:
    -9.86%
     
    B&H max. % drawdown:
    -25.76%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -959.20
     
     
     
  
     
  
    Total number of trades:
    43
     
    Percent profitable:
    69.8%
  
    Number winning trades:
    30
     
    Number losing trades:
    13
  
    Profit of winners:
    5140.03
     
    Loss of losers:
    -121.12
  
    Total # of bars in winners:
    30
     
    Total # of bars in losers:
    13
  
    Commissions paid in winners:
    328.08
     
    Commissions paid in losers:
    134.14
  
     
  
    Largest winning trade:
    431.44
     
    Largest losing trade:
    -12.36
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    11.30
     
    Commission paid in largest loser:
    12.36
  
     
  
    Average winning trade:
    171.33
     
    Average losing trade:
    -9.32
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    10.94
     
    Avg. commission paid in loser:
    10.32
  
    Max consec. winners:
    6
     
    Max consec. losers:
    2
  
     
  
    Bars out of the market:
    15
     
    Interest earned:
    135.41
  
     
  
    Exposure:
    73.2%
     
    Risk adjusted ann. return:
    737.02%
  
    Ratio avg win/avg loss:
    18.39
     
    Avg. trade (win & loss):
    116.72
  
    Profit factor:
    42.44
     
    
    



  
  
    Performance for CMVT 
  
     
  
    Total net profit:
    24476.23
     
    Total commissions paid:
    3496.94
  
    Return on account:
    244.76 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    3251.69
     
    Bars (days) in test:
    56 (80)
  
    Buy&Hold % return:
    32.52%
     
    System to Buy&Hold index:
    652.72%
  
     
  
    Annual system % return:
    28242.22%
     
    Annual B&H % return:
    261.30%
  
     
  
    System drawdown:
    -91.49
     
    B&H drawdown:
    -1778.88
  
    Max. system drawdown:
    -3095.84
     
    B&H max. drawdown:
    -1870.44
  
    Max. system % drawdown:
    -8.82%
     
    B&H max. % drawdown:
    -18.58%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -2318.22
     
     
     
  
     
  
    Total number of trades:
    56
     
    Percent profitable:
    94.6%
  
    Number winning trades:
    53
     
    Number losing trades:
    3
  
    Profit of winners:
    24383.09
     
    Loss of losers:
    -138.48
  
    Total # of bars in winners:
    53
     
    Total # of bars in losers:
    3
  
    Commissions paid in winners:
    3300.38
     
    Commissions paid in losers:
    196.56
  
     
  
    Largest winning trade:
    1559.06
     
    Largest losing trade:
    -57.17
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    71.14
     
    Commission paid in largest loser:
    57.17
  
     
  
    Average winning trade:
    460.06
     
    Average losing trade:
    -46.16
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    62.27
     
    Avg. commission paid in loser:
    65.52
  
    Max consec. winners:
    22
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    2
     
    Interest earned:
    231.62
  
     
  
    Exposure:
    96.4%
     
    Risk adjusted ann. return:
    28398.04%
  
    Ratio avg win/avg loss:
    9.97
     
    Avg. trade (win & loss):
    432.94
  
    Profit factor:
    176.08
     
    
    



  
  
    Performance for DCLK 
  
     
  
    Total net profit:
    28788.83
     
    Total commissions paid:
    4676.04
  
    Return on account:
    287.89 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    4245.06
     
    Bars (days) in test:
    56 (80)
  
    Buy&Hold % return:
    42.45%
     
    System to Buy&Hold index:
    578.17%
  
     
  
    Annual system % return:
    48425.99%
     
    Annual B&H % return:
    402.45%
  
     
  
    System drawdown:
    0.00
     
    B&H drawdown:
    -792.30
  
    Max. system drawdown:
    -2016.12
     
    B&H max. drawdown:
    -2105.85
  
    Max. system % drawdown:
    -7.30%
     
    B&H max. % drawdown:
    -16.09%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -2598.96
     
     
     
  
     
  
    Total number of trades:
    49
     
    Percent profitable:
    93.9%
  
    Number winning trades:
    46
     
    Number losing trades:
    3
  
    Profit of winners:
    28651.80
     
    Loss of losers:
    -109.26
  
    Total # of bars in winners:
    46
     
    Total # of bars in losers:
    3
  
    Commissions paid in winners:
    4371.98
     
    Commissions paid in losers:
    304.06
  
     
  
    Largest winning trade:
    2534.00
     
    Largest losing trade:
    -70.30
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    125.14
     
    Commission paid in largest loser:
    70.30
  
     
  
    Average winning trade:
    622.87
     
    Average losing trade:
    -36.42
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    95.04
     
    Avg. commission paid in loser:
    101.35
  
    Max consec. winners:
    20
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    9
     
    Interest earned:
    246.30
  
     
  
    Exposure:
    83.9%
     
    Risk adjusted ann. return:
    56042.89%
  
    Ratio avg win/avg loss:
    17.10
     
    Avg. trade (win & loss):
    582.50
  
    Profit factor:
    262.24
     
    
    



  
  
    Performance for FD 
  
     
  
    Total net profit:
    10328.76
     
    Total commissions paid:
    950.66
  
    Return on account:
    103.29 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    2245.19
     
    Bars (days) in test:
    54 (80)
  
    Buy&Hold % return:
    22.45%
     
    System to Buy&Hold index:
    360.04%
  
     
  
    Annual system % return:
    2445.40%
     
    Annual B&H % return:
    151.97%
  
     
  
    System drawdown:
    -134.94
     
    B&H drawdown:
    -903.06
  
    Max. system drawdown:
    -1784.76
     
    B&H max. drawdown:
    -1307.88
  
    Max. system % drawdown:
    -8.91%
     
    B&H max. % drawdown:
    -12.69%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -1765.80
     
     
     
  
     
  
    Total number of trades:
    52
     
    Percent profitable:
    82.7%
  
    Number winning trades:
    43
     
    Number losing trades:
    9
  
    Profit of winners:
    10302.25
     
    Loss of losers:
    -142.63
  
    Total # of bars in winners:
    43
     
    Total # of bars in losers:
    9
  
    Commissions paid in winners:
    772.03
     
    Commissions paid in losers:
    178.63
  
     
  
    Largest winning trade:
    700.33
     
    Largest losing trade:
    -23.54
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    21.38
     
    Commission paid in largest loser:
    23.54
  
     
  
    Average winning trade:
    239.59
     
    Average losing trade:
    -15.85
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    17.95
     
    Avg. commission paid in loser:
    19.85
  
    Max consec. winners:
    30
     
    Max consec. losers:
    2
  
     
  
    Bars out of the market:
    4
     
    Interest earned:
    169.14
  
     
  
    Exposure:
    92.6%
     
    Risk adjusted ann. return:
    2538.21%
  
    Ratio avg win/avg loss:
    15.12
     
    Avg. trade (win & loss):
    195.38
  
    Profit factor:
    72.23
     
    
    



  
  
    Performance for GLG 
  
     
  
    Total net profit:
    1784.43
     
    Total commissions paid:
    376.90
  
    Return on account:
    17.84 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -2556.81
     
    Bars (days) in test:
    54 (80)
  
    Buy&Hold % return:
    -25.57%
     
    System to Buy&Hold index:
    169.79%
  
     
  
    Annual system % return:
    111.52%
     
    Annual B&H % return:
    -74.00%
  
     
  
    System drawdown:
    -896.52
     
    B&H drawdown:
    -4062.13
  
    Max. system drawdown:
    -896.52
     
    B&H max. drawdown:
    -3859.53
  
    Max. system % drawdown:
    -8.97%
     
    B&H max. % drawdown:
    -39.19%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -917.07
     
     
     
  
     
  
    Total number of trades:
    12
     
    Percent profitable:
    83.3%
  
    Number winning trades:
    10
     
    Number losing trades:
    2
  
    Profit of winners:
    1725.41
     
    Loss of losers:
    -60.29
  
    Total # of bars in winners:
    10
     
    Total # of bars in losers:
    2
  
    Commissions paid in winners:
    316.61
     
    Commissions paid in losers:
    60.29
  
     
  
    Largest winning trade:
    373.63
     
    Largest losing trade:
    -31.42
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    29.30
     
    Commission paid in largest loser:
    31.42
  
     
  
    Average winning trade:
    172.54
     
    Average losing trade:
    -30.14
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    31.66
     
    Avg. commission paid in loser:
    30.14
  
    Max consec. winners:
    7
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    42
     
    Interest earned:
    119.31
  
     
  
    Exposure:
    22.2%
     
    Risk adjusted ann. return:
    458.65%
  
    Ratio avg win/avg loss:
    5.72
     
    Avg. trade (win & loss):
    138.76
  
    Profit factor:
    28.62
     
    
    



  
  
    Performance for GSF 
  
     
  
    Total net profit:
    11554.74
     
    Total commissions paid:
    1139.69
  
    Return on account:
    115.55 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -896.29
     
    Bars (days) in test:
    54 (80)
  
    Buy&Hold % return:
    -8.96%
     
    System to Buy&Hold index:
    1389.18%
  
     
  
    Annual system % return:
    3224.98%
     
    Annual B&H % return:
    -34.85%
  
     
  
    System drawdown:
    -457.35
     
    B&H drawdown:
    -1450.40
  
    Max. system drawdown:
    -972.94
     
    B&H max. drawdown:
    -1562.88
  
    Max. system % drawdown:
    -7.76%
     
    B&H max. % drawdown:
    -15.43%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -948.48
     
     
     
  
     
  
    Total number of trades:
    49
     
    Percent profitable:
    79.6%
  
    Number winning trades:
    39
     
    Number losing trades:
    10
  
    Profit of winners:
    11570.93
     
    Loss of losers:
    -186.88
  
    Total # of bars in winners:
    39
     
    Total # of bars in losers:
    10
  
    Commissions paid in winners:
    889.20
     
    Commissions paid in losers:
    250.49
  
     
  
    Largest winning trade:
    699.14
     
    Largest losing trade:
    -32.81
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    23.11
     
    Commission paid in largest loser:
    32.81
  
     
  
    Average winning trade:
    296.69
     
    Average losing trade:
    -18.69
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    22.80
     
    Avg. commission paid in loser:
    25.05
  
    Max consec. winners:
    8
     
    Max consec. losers:
    2
  
     
  
    Bars out of the market:
    6
     
    Interest earned:
    170.69
  
     
  
    Exposure:
    88.9%
     
    Risk adjusted ann. return:
    3494.85%
  
    Ratio avg win/avg loss:
    15.88
     
    Avg. trade (win & loss):
    232.33
  
    Profit factor:
    61.92
     
    
    



  
  
    Performance for MCD 
  
     
  
    Total net profit:
    8924.59
     
    Total commissions paid:
    1096.97
  
    Return on account:
    89.25 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    988.26
     
    Bars (days) in test:
    54 (80)
  
    Buy&Hold % return:
    9.88%
     
    System to Buy&Hold index:
    803.06%
  
     
  
    Annual system % return:
    1736.26%
     
    Annual B&H % return:
    53.72%
  
     
  
    System drawdown:
    -54.60
     
    B&H drawdown:
    -2056.60
  
    Max. system drawdown:
    -1404.89
     
    B&H max. drawdown:
    -2111.20
  
    Max. system % drawdown:
    -8.05%
     
    B&H max. % drawdown:
    -21.03%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -1404.00
     
     
     
  
     
  
    Total number of trades:
    36
     
    Percent profitable:
    86.1%
  
    Number winning trades:
    31
     
    Number losing trades:
    5
  
    Profit of winners:
    8877.55
     
    Loss of losers:
    -107.57
  
    Total # of bars in winners:
    31
     
    Total # of bars in losers:
    5
  
    Commissions paid in winners:
    952.51
     
    Commissions paid in losers:
    144.46
  
     
  
    Largest winning trade:
    858.06
     
    Largest losing trade:
    -39.50
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    36.38
     
    Commission paid in largest loser:
    39.50
  
     
  
    Average winning trade:
    286.37
     
    Average losing trade:
    -21.51
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    30.73
     
    Avg. commission paid in loser:
    28.89
  
    Max consec. winners:
    16
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    19
     
    Interest earned:
    154.62
  
     
  
    Exposure:
    64.8%
     
    Risk adjusted ann. return:
    2574.72%
  
    Ratio avg win/avg loss:
    13.31
     
    Avg. trade (win & loss):
    243.61
  
    Profit factor:
    82.53
     
    
    



  
  
    Performance for MXIM 
  
     
  
    Total net profit:
    10169.11
     
    Total commissions paid:
    692.47
  
    Return on account:
    101.69 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    3175.04
     
    Bars (days) in test:
    54 (80)
  
    Buy&Hold % return:
    31.75%
     
    System to Buy&Hold index:
    220.28%
  
     
  
    Annual system % return:
    2355.46%
     
    Annual B&H % return:
    251.86%
  
     
  
    System drawdown:
    -524.47
     
    B&H drawdown:
    -562.59
  
    Max. system drawdown:
    -1667.82
     
    B&H max. drawdown:
    -2115.00
  
    Max. system % drawdown:
    -11.98%
     
    B&H max. % drawdown:
    -16.43%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -1169.28
     
     
     
  
     
  
    Total number of trades:
    54
     
    Percent profitable:
    98.1%
  
    Number winning trades:
    53
     
    Number losing trades:
    1
  
    Profit of winners:
    10023.45
     
    Loss of losers:
    -8.88
  
    Total # of bars in winners:
    53
     
    Total # of bars in losers:
    1
  
    Commissions paid in winners:
    677.26
     
    Commissions paid in losers:
    15.22
  
     
  
    Largest winning trade:
    647.61
     
    Largest losing trade:
    -8.88
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    16.97
     
    Commission paid in largest loser:
    15.22
  
     
  
    Average winning trade:
    189.12
     
    Average losing trade:
    -8.88
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    12.78
     
    Avg. commission paid in loser:
    15.22
  
    Max consec. winners:
    44
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    2
     
    Interest earned:
    154.54
  
     
  
    Exposure:
    96.3%
     
    Risk adjusted ann. return:
    2358.12%
  
    Ratio avg win/avg loss:
    21.30
     
    Avg. trade (win & loss):
    185.45
  
    Profit factor:
    1129.14
     
    
    



  
  
    Performance for NTAP 
  
     
  
    Total net profit:
    22709.08
     
    Total commissions paid:
    2263.20
  
    Return on account:
    227.09 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    3126.49
     
    Bars (days) in test:
    54 (80)
  
    Buy&Hold % return:
    31.26%
     
    System to Buy&Hold index:
    626.34%
  
     
  
    Annual system % return:
    22193.29%
     
    Annual B&H % return:
    245.98%
  
     
  
    System drawdown:
    -442.08
     
    B&H drawdown:
    -1768.32
  
    Max. system drawdown:
    -1863.18
     
    B&H max. drawdown:
    -3143.68
  
    Max. system % drawdown:
    -8.25%
     
    B&H max. % drawdown:
    -28.49%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -2032.50
     
     
     
  
     
  
    Total number of trades:
    42
     
    Percent profitable:
    92.9%
  
    Number winning trades:
    39
     
    Number losing trades:
    3
  
    Profit of winners:
    22579.66
     
    Loss of losers:
    -102.07
  
    Total # of bars in winners:
    39
     
    Total # of bars in losers:
    3
  
    Commissions paid in winners:
    2123.35
     
    Commissions paid in losers:
    139.85
  
     
  
    Largest winning trade:
    1590.86
     
    Largest losing trade:
    -65.04
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    75.46
     
    Commission paid in largest loser:
    65.04
  
     
  
    Average winning trade:
    578.97
     
    Average losing trade:
    -34.02
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    54.44
     
    Avg. commission paid in loser:
    46.62
  
    Max consec. winners:
    15
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    13
     
    Interest earned:
    231.48
  
     
  
    Exposure:
    75.9%
     
    Risk adjusted ann. return:
    28294.00%
  
    Ratio avg win/avg loss:
    17.02
     
    Avg. trade (win & loss):
    535.18
  
    Profit factor:
    221.22
     
    
    



  
  
    Performance for NTES 
  
     
  
    Total net profit:
    15788.85
     
    Total commissions paid:
    1293.31
  
    Return on account:
    157.89 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    3579.01
     
    Bars (days) in test:
    54 (80)
  
    Buy&Hold % return:
    35.79%
     
    System to Buy&Hold index:
    341.15%
  
     
  
    Annual system % return:
    7436.31%
     
    Annual B&H % return:
    303.84%
  
     
  
    System drawdown:
    -105.62
     
    B&H drawdown:
    -4770.90
  
    Max. system drawdown:
    -5890.24
     
    B&H max. drawdown:
    -4678.83
  
    Max. system % drawdown:
    -25.96%
     
    B&H max. % drawdown:
    -47.11%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -4787.40
     
     
     
  
     
  
    Total number of trades:
    34
     
    Percent profitable:
    97.1%
  
    Number winning trades:
    33
     
    Number losing trades:
    1
  
    Profit of winners:
    15594.32
     
    Loss of losers:
    -7.11
  
    Total # of bars in winners:
    33
     
    Total # of bars in losers:
    1
  
    Commissions paid in winners:
    1250.64
     
    Commissions paid in losers:
    42.67
  
     
  
    Largest winning trade:
    1420.72
     
    Largest losing trade:
    -7.11
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    41.28
     
    Commission paid in largest loser:
    42.67
  
     
  
    Average winning trade:
    472.56
     
    Average losing trade:
    -7.11
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    37.90
     
    Avg. commission paid in loser:
    42.67
  
    Max consec. winners:
    23
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    21
     
    Interest earned:
    201.65
  
     
  
    Exposure:
    61.1%
     
    Risk adjusted ann. return:
    11734.64%
  
    Ratio avg win/avg loss:
    66.45
     
    Avg. trade (win & loss):
    458.45
  
    Profit factor:
    2192.93
     
    
    



  
  
    Performance for OVTI 
  
     
  
    Total net profit:
    13971.44
     
    Total commissions paid:
    1343.33
  
    Return on account:
    139.71 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    12327.33
     
    Bars (days) in test:
    54 (80)
  
    Buy&Hold % return:
    123.27%
     
    System to Buy&Hold index:
    13.34%
  
     
  
    Annual system % return:
    5299.51%
     
    Annual B&H % return:
    3804.52%
  
     
  
    System drawdown:
    -234.97
     
    B&H drawdown:
    -311.55
  
    Max. system drawdown:
    -2277.09
     
    B&H max. drawdown:
    -2834.10
  
    Max. system % drawdown:
    -14.46%
     
    B&H max. % drawdown:
    -15.95%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -2514.50
     
     
     
  
     
  
    Total number of trades:
    49
     
    Percent profitable:
    89.8%
  
    Number winning trades:
    44
     
    Number losing trades:
    5
  
    Profit of winners:
    13924.16
     
    Loss of losers:
    -132.00
  
    Total # of bars in winners:
    44
     
    Total # of bars in losers:
    5
  
    Commissions paid in winners:
    1199.98
     
    Commissions paid in losers:
    143.35
  
     
  
    Largest winning trade:
    874.74
     
    Largest losing trade:
    -33.10
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    31.06
     
    Commission paid in largest loser:
    33.10
  
     
  
    Average winning trade:
    316.46
     
    Average losing trade:
    -26.40
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    27.27
     
    Avg. commission paid in loser:
    28.67
  
    Max consec. winners:
    12
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    7
     
    Interest earned:
    179.28
  
     
  
    Exposure:
    87.0%
     
    Risk adjusted ann. return:
    5879.91%
  
    Ratio avg win/avg loss:
    11.99
     
    Avg. trade (win & loss):
    281.47
  
    Profit factor:
    105.48
     
    
    



  
  
    Performance for SKM 
  
     
  
    Total net profit:
    4065.02
     
    Total commissions paid:
    828.74
  
    Return on account:
    40.65 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    137.81
     
    Bars (days) in test:
    54 (80)
  
    Buy&Hold % return:
    1.38%
     
    System to Buy&Hold index:
    2849.76%
  
     
  
    Annual system % return:
    374.12%
     
    Annual B&H % return:
    6.44%
  
     
  
    System drawdown:
    -164.43
     
    B&H drawdown:
    -3265.11
  
    Max. system drawdown:
    -1749.78
     
    B&H max. drawdown:
    -3429.54
  
    Max. system % drawdown:
    -15.03%
     
    B&H max. % drawdown:
    -33.88%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -443.96
     
     
     
  
     
  
    Total number of trades:
    35
     
    Percent profitable:
    85.7%
  
    Number winning trades:
    30
     
    Number losing trades:
    5
  
    Profit of winners:
    4024.52
     
    Loss of losers:
    -92.90
  
    Total # of bars in winners:
    30
     
    Total # of bars in losers:
    5
  
    Commissions paid in winners:
    710.09
     
    Commissions paid in losers:
    118.66
  
     
  
    Largest winning trade:
    337.02
     
    Largest losing trade:
    -25.15
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    30.41
     
    Commission paid in largest loser:
    25.15
  
     
  
    Average winning trade:
    134.15
     
    Average losing trade:
    -18.58
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    23.67
     
    Avg. commission paid in loser:
    23.73
  
    Max consec. winners:
    17
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    20
     
    Interest earned:
    133.39
  
     
  
    Exposure:
    63.0%
     
    Risk adjusted ann. return:
    562.16%
  
    Ratio avg win/avg loss:
    7.22
     
    Avg. trade (win & loss):
    112.33
  
    Profit factor:
    43.32
     
    
    



  
  
    Performance for XLNX 
  
     
  
    Total net profit:
    14620.96
     
    Total commissions paid:
    1242.82
  
    Return on account:
    146.21 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    3390.28
     
    Bars (days) in test:
    54 (80)
  
    Buy&Hold % return:
    33.90%
     
    System to Buy&Hold index:
    331.26%
  
     
  
    Annual system % return:
    5999.99%
     
    Annual B&H % return:
    278.86%
  
     
  
    System drawdown:
    -168.42
     
    B&H drawdown:
    -1067.65
  
    Max. system drawdown:
    -1533.92
     
    B&H max. drawdown:
    -2410.40
  
    Max. system % drawdown:
    -8.66%
     
    B&H max. % drawdown:
    -18.30%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    -1795.50
     
     
     
  
     
  
    Total number of trades:
    54
     
    Percent profitable:
    90.7%
  
    Number winning trades:
    49
     
    Number losing trades:
    5
  
    Profit of winners:
    14482.64
     
    Loss of losers:
    -44.83
  
    Total # of bars in winners:
    49
     
    Total # of bars in losers:
    5
  
    Commissions paid in winners:
    1132.39
     
    Commissions paid in losers:
    110.42
  
     
  
    Largest winning trade:
    882.31
     
    Largest losing trade:
    -21.48
  
    # of bars in largest winner:
    1
     
    # bars in largest loser:
    1
  
    Commission paid in largest winner:
    27.29
     
    Commission paid in largest loser:
    21.48
  
     
  
    Average winning trade:
    295.56
     
    Average losing trade:
    -8.97
  
    Avg. # of bars in winners:
    1.0
     
    Avg. # bars in losers:
    1.0
  
    Avg. commission paid in winner:
    23.11
     
    Avg. commission paid in loser:
    22.08
  
    Max consec. winners:
    15
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    2
     
    Interest earned:
    183.15
  
     
  
    Exposure:
    96.3%
     
    Risk adjusted ann. return:
    6018.59%
  
    Ratio avg win/avg loss:
    32.96
     
    Avg. trade (win & loss):
    267.37
  
    Profit factor:
    323.03