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Same system from 12/01/01 until 12/18/02
and it's not the DOW30...
Overall performance summary
Total net profit: 26744941.70 Total commissions paid: 4022369.00
Return on account: 16715.59 % Open position gain/loss 0.00
Buy&Hold profit: 151825.82 Bars (avg. days) in test: 4175 (379)
Buy&Hold % return: 94.89% System to Buy&Hold index: 17515.54%
Annual system % return: 13815.40% Annual B&H % return: 90.15%
System drawdown: -4865.28 B&H drawdown: -11113.40
Max. system drawdown: -980377.19 B&H max. drawdown: -41108.56
Max. system % drawdown: -49.75% B&H max. % drawdown: -111.76%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -1136542.07
Total number of trades: 2891 Percent profitable: 85.9%
Number winning trades: 2483 Number losing trades: 408
Profit of winners: 26966283.09 Loss of losers: -445636.77
Total # of bars in winners: 2483 Total # of bars in losers: 408
Commissions paid in winners: 3337699.52 Commissions paid in losers:
684669.49
Largest winning trade: 1601231.93 Largest losing trade: -51825.19
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 66718.01 Commission paid in
largest loser: 51825.19
Average winning trade: 10860.36 Average losing trade: -1092.25
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 1344.22 Avg. commission paid in
loser: 1678.11
Max consec. winners: 57 Max consec. losers: 12
Bars out of the market: 1307 Interest earned: 224295.37
Exposure: 68.7% Risk adjusted ann. return: 19948.67%
Ratio avg win/avg loss: 9.94 Avg. trade (win & loss): 9173.52
Profit factor: 60.51
Performance for ADRX
Total net profit: 108530.32 Total commissions paid: 6816.43
Return on account: 1085.30 % Open position gain/loss 0.00
Buy&Hold profit: -10621.80 Bars (days) in test: 261 (381)
Buy&Hold % return: -106.22% System to Buy&Hold index: 1121.77%
Annual system % return: 968.40% Annual B&H % return: N/A
System drawdown: -477.26 B&H drawdown: -11113.40
Max. system drawdown: -15267.87 B&H max. drawdown: -11509.79
Max. system % drawdown: -18.13% B&H max. % drawdown: -111.76%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -14002.96
Total number of trades: 148 Percent profitable: 94.6%
Number winning trades: 140 Number losing trades: 8
Profit of winners: 106610.57 Loss of losers: -306.04
Total # of bars in winners: 140 Total # of bars in losers: 8
Commissions paid in winners: 6473.71 Commissions paid in losers:
342.72
Largest winning trade: 7591.06 Largest losing trade: -146.23
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 250.94 Commission paid in largest
loser: 146.23
Average winning trade: 761.50 Average losing trade: -38.25
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 46.24 Avg. commission paid in loser:
42.84
Max consec. winners: 41 Max consec. losers: 2
Bars out of the market: 113 Interest earned: 2225.79
Exposure: 56.7% Risk adjusted ann. return: 1673.88%
Ratio avg win/avg loss: 19.91 Avg. trade (win & loss): 718.27
Profit factor: 348.36
Performance for ALTR
Total net profit: 2243306.38 Total commissions paid: 198443.88
Return on account: 22433.06 % Open position gain/loss 0.00
Buy&Hold profit: -6375.34 Bars (days) in test: 264 (381)
Buy&Hold % return: -63.75% System to Buy&Hold index: 35287.26%
Annual system % return: 17847.92% Annual B&H % return: -62.18%
System drawdown: 0.00 B&H drawdown: -8204.77
Max. system drawdown: -162872.53 B&H max. drawdown: -10784.59
Max. system % drawdown: -16.96% B&H max. % drawdown: -90.34%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -191290.89
Total number of trades: 210 Percent profitable: 92.4%
Number winning trades: 194 Number losing trades: 16
Profit of winners: 2238718.09 Loss of losers: -11579.51
Total # of bars in winners: 194 Total # of bars in losers: 16
Commissions paid in winners: 181541.09 Commissions paid in losers:
16902.79
Largest winning trade: 120650.42 Largest losing trade: -2978.93
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 4283.45 Commission paid in
largest loser: 2978.93
Average winning trade: 11539.78 Average losing trade: -723.72
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 935.78 Avg. commission paid in
loser: 1056.42
Max consec. winners: 27 Max consec. losers: 2
Bars out of the market: 55 Interest earned: 16167.80
Exposure: 79.2% Risk adjusted ann. return: 22388.88%
Ratio avg win/avg loss: 15.95 Avg. trade (win & loss): 10605.42
Profit factor: 193.33
Performance for BRCM
Total net profit: 240871.23 Total commissions paid: 21476.64
Return on account: 2408.71 % Open position gain/loss 0.00
Buy&Hold profit: -8464.97 Bars (days) in test: 261 (381)
Buy&Hold % return: -84.65% System to Buy&Hold index: 2945.51%
Annual system % return: 2091.20% Annual B&H % return: -83.39%
System drawdown: -298.90 B&H drawdown: -10348.65
Max. system drawdown: -30321.70 B&H max. drawdown: -12727.65
Max. system % drawdown: -20.76% B&H max. % drawdown: -107.97%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -29651.19
Total number of trades: 168 Percent profitable: 89.9%
Number winning trades: 151 Number losing trades: 17
Profit of winners: 239330.94 Loss of losers: -1141.87
Total # of bars in winners: 151 Total # of bars in losers: 17
Commissions paid in winners: 19398.17 Commissions paid in losers:
2078.47
Largest winning trade: 11682.40 Largest losing trade: -241.96
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 331.42 Commission paid in largest
loser: 414.79
Average winning trade: 1584.97 Average losing trade: -67.17
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 128.46 Avg. commission paid in
loser: 122.26
Max consec. winners: 29 Max consec. losers: 2
Bars out of the market: 95 Interest earned: 2682.16
Exposure: 63.6% Risk adjusted ann. return: 3252.67%
Ratio avg win/avg loss: 23.60 Avg. trade (win & loss): 1417.79
Profit factor: 209.60
Performance for CCU
Total net profit: 53428.83 Total commissions paid: 4052.26
Return on account: 534.29 % Open position gain/loss 0.00
Buy&Hold profit: -1964.79 Bars (days) in test: 264 (381)
Buy&Hold % return: -19.65% System to Buy&Hold index: 2819.32%
Annual system % return: 486.94% Annual B&H % return: -18.91%
System drawdown: -159.60 B&H drawdown: -6871.35
Max. system drawdown: -6835.76 B&H max. drawdown: -8937.60
Max. system % drawdown: -20.79% B&H max. % drawdown: -77.37%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -5043.74
Total number of trades: 182 Percent profitable: 78.0%
Number winning trades: 142 Number losing trades: 40
Profit of winners: 53017.28 Loss of losers: -881.74
Total # of bars in winners: 142 Total # of bars in losers: 40
Commissions paid in winners: 3101.47 Commissions paid in losers:
950.78
Largest winning trade: 1394.78 Largest losing trade: -48.26
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 48.10 Commission paid in largest
loser: 48.26
Average winning trade: 373.36 Average losing trade: -22.04
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 21.84 Avg. commission paid in loser:
23.77
Max consec. winners: 13 Max consec. losers: 2
Bars out of the market: 84 Interest earned: 1293.29
Exposure: 68.2% Risk adjusted ann. return: 697.36%
Ratio avg win/avg loss: 16.94 Avg. trade (win & loss): 286.46
Profit factor: 60.13
Performance for CMVT
Total net profit: 1741383.58 Total commissions paid: 219930.55
Return on account: 17413.84 % Open position gain/loss 0.00
Buy&Hold profit: -6849.74 Bars (days) in test: 263 (381)
Buy&Hold % return: -68.50% System to Buy&Hold index: 25522.64%
Annual system % return: 13998.44% Annual B&H % return: -66.93%
System drawdown: -1223.51 B&H drawdown: -8996.46
Max. system drawdown: -205806.26 B&H max. drawdown: -12749.74
Max. system % drawdown: -17.45% B&H max. % drawdown: -99.47%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -162437.66
Total number of trades: 209 Percent profitable: 90.0%
Number winning trades: 188 Number losing trades: 21
Profit of winners: 1740504.07 Loss of losers: -13891.09
Total # of bars in winners: 188 Total # of bars in losers: 21
Commissions paid in winners: 197412.70 Commissions paid in losers:
22517.86
Largest winning trade: 137688.85 Largest losing trade: -2794.87
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 4747.90 Commission paid in
largest loser: 2794.87
Average winning trade: 9258.00 Average losing trade: -661.48
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 1050.07 Avg. commission paid in
loser: 1072.28
Max consec. winners: 44 Max consec. losers: 2
Bars out of the market: 56 Interest earned: 14770.60
Exposure: 78.7% Risk adjusted ann. return: 17640.71%
Ratio avg win/avg loss: 14.00 Avg. trade (win & loss): 8261.31
Profit factor: 125.30
Performance for DCLK
Total net profit: 16489817.25 Total commissions paid: 2948554.25
Return on account: 164898.17 % Open position gain/loss 0.00
Buy&Hold profit: -4901.41 Bars (days) in test: 261 (381)
Buy&Hold % return: -49.01% System to Buy&Hold index: 336530.35%
Annual system % return: 120782.07% Annual B&H % return: -47.55%
System drawdown: -1402.75 B&H drawdown: -6611.13
Max. system drawdown: -980377.19 B&H max. drawdown: -13266.63
Max. system % drawdown: -18.44% B&H max. % drawdown: -88.44%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -1136542.07
Total number of trades: 219 Percent profitable: 87.2%
Number winning trades: 191 Number losing trades: 28
Profit of winners: 16712956.24 Loss of losers: -352434.64
Total # of bars in winners: 191 Total # of bars in losers: 28
Commissions paid in winners: 2389219.34 Commissions paid in losers:
559334.91
Largest winning trade: 1601231.93 Largest losing trade: -51825.19
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 66718.01 Commission paid in
largest loser: 51825.19
Average winning trade: 87502.39 Average losing trade: -12586.95
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 12509.00 Avg. commission paid in
loser: 19976.25
Max consec. winners: 24 Max consec. losers: 2
Bars out of the market: 44 Interest earned: 129295.65
Exposure: 83.1% Risk adjusted ann. return: 144180.79%
Ratio avg win/avg loss: 6.95 Avg. trade (win & loss): 74705.58
Profit factor: 47.42
Performance for FD
Total net profit: 67847.38 Total commissions paid: 6845.64
Return on account: 678.47 % Open position gain/loss 0.00
Buy&Hold profit: -2812.34 Bars (days) in test: 262 (381)
Buy&Hold % return: -28.12% System to Buy&Hold index: 2512.48%
Annual system % return: 614.19% Annual B&H % return: -27.12%
System drawdown: 0.00 B&H drawdown: -3660.00
Max. system drawdown: -7444.74 B&H max. drawdown: -6441.60
Max. system % drawdown: -14.25% B&H max. % drawdown: -53.29%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -5297.60
Total number of trades: 221 Percent profitable: 79.2%
Number winning trades: 175 Number losing trades: 46
Profit of winners: 67824.24 Loss of losers: -1539.79
Total # of bars in winners: 175 Total # of bars in losers: 46
Commissions paid in winners: 5220.79 Commissions paid in losers:
1624.85
Largest winning trade: 1773.16 Largest losing trade: -82.46
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 54.84 Commission paid in largest
loser: 82.46
Average winning trade: 387.57 Average losing trade: -33.47
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 29.83 Avg. commission paid in loser:
35.32
Max consec. winners: 18 Max consec. losers: 4
Bars out of the market: 43 Interest earned: 1562.92
Exposure: 83.6% Risk adjusted ann. return: 718.35%
Ratio avg win/avg loss: 11.58 Avg. trade (win & loss): 299.93
Profit factor: 44.05
Performance for GLG
Total net profit: 84067.83 Total commissions paid: 15829.58
Return on account: 840.68 % Open position gain/loss 0.00
Buy&Hold profit: 29817.28 Bars (days) in test: 262 (381)
Buy&Hold % return: 298.17% System to Buy&Hold index: 181.94%
Annual system % return: 756.17% Annual B&H % return: 275.73%
System drawdown: -806.21 B&H drawdown: 0.00
Max. system drawdown: -11206.41 B&H max. drawdown: -14331.35
Max. system % drawdown: -19.52% B&H max. % drawdown: -47.87%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -9299.68
Total number of trades: 104 Percent profitable: 74.0%
Number winning trades: 77 Number losing trades: 27
Profit of winners: 85634.50 Loss of losers: -3657.81
Total # of bars in winners: 77 Total # of bars in losers: 27
Commissions paid in winners: 11724.60 Commissions paid in losers:
4104.98
Largest winning trade: 7692.29 Largest losing trade: -373.63
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 294.91 Commission paid in largest
loser: 373.63
Average winning trade: 1112.14 Average losing trade: -135.47
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 152.27 Avg. commission paid in
loser: 152.04
Max consec. winners: 13 Max consec. losers: 2
Bars out of the market: 158 Interest earned: 2091.13
Exposure: 39.7% Risk adjusted ann. return: 1859.02%
Ratio avg win/avg loss: 8.21 Avg. trade (win & loss): 788.24
Profit factor: 23.41
Performance for GSF
Total net profit: 117560.96 Total commissions paid: 10024.70
Return on account: 1175.61 % Open position gain/loss 0.00
Buy&Hold profit: 273.30 Bars (days) in test: 262 (381)
Buy&Hold % return: 2.73% System to Buy&Hold index: 42915.94%
Annual system % return: 1046.26% Annual B&H % return: 2.62%
System drawdown: -12.44 B&H drawdown: -2705.41
Max. system drawdown: -15128.65 B&H max. drawdown: -9339.45
Max. system % drawdown: -28.45% B&H max. % drawdown: -62.32%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -10629.90
Total number of trades: 168 Percent profitable: 88.7%
Number winning trades: 149 Number losing trades: 19
Profit of winners: 115860.44 Loss of losers: -879.16
Total # of bars in winners: 149 Total # of bars in losers: 19
Commissions paid in winners: 8882.83 Commissions paid in losers:
1141.87
Largest winning trade: 4999.69 Largest losing trade: -147.48
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 156.65 Commission paid in largest
loser: 147.48
Average winning trade: 777.59 Average losing trade: -46.27
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 59.62 Avg. commission paid in loser:
60.10
Max consec. winners: 37 Max consec. losers: 2
Bars out of the market: 95 Interest earned: 2579.68
Exposure: 63.7% Risk adjusted ann. return: 1606.58%
Ratio avg win/avg loss: 16.80 Avg. trade (win & loss): 684.41
Profit factor: 131.79
Performance for MCD
Total net profit: 96146.18 Total commissions paid: 11495.33
Return on account: 961.46 % Open position gain/loss 0.00
Buy&Hold profit: -5357.00 Bars (days) in test: 262 (381)
Buy&Hold % return: -53.57% System to Buy&Hold index: 1894.78%
Annual system % return: 861.22% Annual B&H % return: -52.05%
System drawdown: 0.00 B&H drawdown: -5345.00
Max. system drawdown: -7989.41 B&H max. drawdown: -7135.00
Max. system % drawdown: -15.25% B&H max. % drawdown: -62.90%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -4723.47
Total number of trades: 191 Percent profitable: 88.0%
Number winning trades: 168 Number losing trades: 23
Profit of winners: 95397.54 Loss of losers: -983.47
Total # of bars in winners: 168 Total # of bars in losers: 23
Commissions paid in winners: 9819.74 Commissions paid in losers:
1675.58
Largest winning trade: 4468.38 Largest losing trade: -184.58
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 166.01 Commission paid in largest
loser: 184.58
Average winning trade: 567.84 Average losing trade: -42.76
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 58.45 Avg. commission paid in loser:
72.85
Max consec. winners: 57 Max consec. losers: 2
Bars out of the market: 73 Interest earned: 1732.11
Exposure: 72.1% Risk adjusted ann. return: 1173.02%
Ratio avg win/avg loss: 13.28 Avg. trade (win & loss): 494.31
Profit factor: 97.00
Performance for MXIM
Total net profit: 87090.85 Total commissions paid: 6286.90
Return on account: 870.91 % Open position gain/loss 0.00
Buy&Hold profit: -4523.56 Bars (days) in test: 264 (381)
Buy&Hold % return: -45.24% System to Buy&Hold index: 2025.27%
Annual system % return: 782.51% Annual B&H % return: -43.83%
System drawdown: -177.84 B&H drawdown: -8054.67
Max. system drawdown: -14507.54 B&H max. drawdown: -9887.41
Max. system % drawdown: -17.92% B&H max. % drawdown: -86.92%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -7495.62
Total number of trades: 193 Percent profitable: 92.7%
Number winning trades: 179 Number losing trades: 14
Profit of winners: 85673.13 Loss of losers: -385.18
Total # of bars in winners: 179 Total # of bars in losers: 14
Commissions paid in winners: 5649.55 Commissions paid in losers:
637.34
Largest winning trade: 2935.87 Largest losing trade: -83.04
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 73.70 Commission paid in largest
loser: 83.04
Average winning trade: 478.62 Average losing trade: -27.51
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 31.56 Avg. commission paid in loser:
45.52
Max consec. winners: 48 Max consec. losers: 2
Bars out of the market: 73 Interest earned: 1802.90
Exposure: 72.3% Risk adjusted ann. return: 1059.88%
Ratio avg win/avg loss: 17.40 Avg. trade (win & loss): 441.91
Profit factor: 222.42
Performance for NTAP
Total net profit: 3054480.88 Total commissions paid: 341841.41
Return on account: 30544.81 % Open position gain/loss 0.00
Buy&Hold profit: -3461.77 Bars (days) in test: 264 (381)
Buy&Hold % return: -34.62% System to Buy&Hold index: 88334.76%
Annual system % return: 23995.89% Annual B&H % return: -33.44%
System drawdown: -1469.50 B&H drawdown: -8303.26
Max. system drawdown: -294159.02 B&H max. drawdown: -18900.14
Max. system % drawdown: -21.21% B&H max. % drawdown: -105.22%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -290787.39
Total number of trades: 212 Percent profitable: 92.9%
Number winning trades: 197 Number losing trades: 15
Profit of winners: 3050119.39 Loss of losers: -21367.81
Total # of bars in winners: 197 Total # of bars in losers: 15
Commissions paid in winners: 312298.15 Commissions paid in losers:
29543.26
Largest winning trade: 171523.27 Largest losing trade: -6911.57
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 5237.35 Commission paid in
largest loser: 6911.57
Average winning trade: 15482.84 Average losing trade: -1424.52
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 1585.27 Avg. commission paid in
loser: 1969.55
Max consec. winners: 37 Max consec. losers: 3
Bars out of the market: 54 Interest earned: 25729.31
Exposure: 79.5% Risk adjusted ann. return: 29922.57%
Ratio avg win/avg loss: 10.87 Avg. trade (win & loss): 14286.56
Profit factor: 142.74
Performance for NTES
Total net profit: 38097.56 Total commissions paid: 26580.26
Return on account: 380.98 % Open position gain/loss 0.00
Buy&Hold profit: 160865.63 Bars (days) in test: 239 (351)
Buy&Hold % return: 1608.66% System to Buy&Hold index: -76.32%
Annual system % return: 412.07% Annual B&H % return: 1813.46%
System drawdown: -4558.82 B&H drawdown: -874.65
Max. system drawdown: -6032.92 B&H max. drawdown: -41108.56
Max. system % drawdown: -48.16% B&H max. % drawdown: -55.65%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -8949.76
Total number of trades: 130 Percent profitable: 48.5%
Number winning trades: 63 Number losing trades: 67
Profit of winners: 49514.47 Loss of losers: -11984.57
Total # of bars in winners: 63 Total # of bars in losers: 67
Commissions paid in winners: 10263.43 Commissions paid in losers:
16316.83
Largest winning trade: 4867.05 Largest losing trade: -394.18
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 126.14 Commission paid in largest
loser: 394.18
Average winning trade: 785.94 Average losing trade: -178.87
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 162.91 Avg. commission paid in
loser: 243.53
Max consec. winners: 11 Max consec. losers: 12
Bars out of the market: 110 Interest earned: 567.66
Exposure: 54.0% Risk adjusted ann. return: 751.81%
Ratio avg win/avg loss: 4.39 Avg. trade (win & loss): 288.69
Profit factor: 4.13
Performance for OVTI
Total net profit: 1944887.40 Total commissions paid: 172224.05
Return on account: 19448.87 % Open position gain/loss 0.00
Buy&Hold profit: 21912.26 Bars (days) in test: 262 (381)
Buy&Hold % return: 219.12% System to Buy&Hold index: 8775.79%
Annual system % return: 15564.14% Annual B&H % return: 203.94%
System drawdown: -4865.28 B&H drawdown: -318.36
Max. system drawdown: -310714.24 B&H max. drawdown: -19510.92
Max. system % drawdown: -49.75% B&H max. % drawdown: -79.87%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -302076.66
Total number of trades: 156 Percent profitable: 85.9%
Number winning trades: 134 Number losing trades: 22
Profit of winners: 1950692.89 Loss of losers: -22267.79
Total # of bars in winners: 134 Total # of bars in losers: 22
Commissions paid in winners: 147782.09 Commissions paid in losers:
24441.96
Largest winning trade: 88906.80 Largest losing trade: -3727.82
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 2680.61 Commission paid in
largest loser: 3727.82
Average winning trade: 14557.41 Average losing trade: -1012.17
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 1102.85 Avg. commission paid in
loser: 1111.00
Max consec. winners: 20 Max consec. losers: 2
Bars out of the market: 107 Interest earned: 16462.30
Exposure: 59.2% Risk adjusted ann. return: 26094.78%
Ratio avg win/avg loss: 14.38 Avg. trade (win & loss): 12361.70
Profit factor: 87.60
Performance for SKM
Total net profit: 34959.65 Total commissions paid: 5462.47
Return on account: 349.60 % Open position gain/loss 0.00
Buy&Hold profit: -109.66 Bars (days) in test: 262 (381)
Buy&Hold % return: -1.10% System to Buy&Hold index: 31978.90%
Annual system % return: 322.09% Annual B&H % return: -1.05%
System drawdown: -47.68 B&H drawdown: -1883.36
Max. system drawdown: -1130.88 B&H max. drawdown: -4458.08
Max. system % drawdown: -4.26% B&H max. % drawdown: -37.36%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -1171.04
Total number of trades: 162 Percent profitable: 86.4%
Number winning trades: 140 Number losing trades: 22
Profit of winners: 34343.68 Loss of losers: -675.81
Total # of bars in winners: 140 Total # of bars in losers: 22
Commissions paid in winners: 4655.21 Commissions paid in losers:
807.26
Largest winning trade: 1361.68 Largest losing trade: -60.48
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 53.93 Commission paid in largest
loser: 60.48
Average winning trade: 245.31 Average losing trade: -30.72
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 33.25 Avg. commission paid in loser:
36.69
Max consec. winners: 40 Max consec. losers: 2
Bars out of the market: 101 Interest earned: 1291.78
Exposure: 61.5% Risk adjusted ann. return: 505.23%
Ratio avg win/avg loss: 7.99 Avg. trade (win & loss): 207.83
Profit factor: 50.82
Performance for XLNX
Total net profit: 342465.41 Total commissions paid: 26504.64
Return on account: 3424.65 % Open position gain/loss 0.00
Buy&Hold profit: -5600.28 Bars (days) in test: 262 (381)
Buy&Hold % return: -56.00% System to Buy&Hold index: 6215.15%
Annual system % return: 2934.91% Annual B&H % return: -54.46%
System drawdown: -280.50 B&H drawdown: -8183.12
Max. system drawdown: -49747.79 B&H max. drawdown: -11986.70
Max. system % drawdown: -19.73% B&H max. % drawdown: -93.25%
Max. trade drawdown: 0.00
Max. trade % drawdown: 0.00%
Trade drawdown: -24716.31
Total number of trades: 218 Percent profitable: 89.4%
Number winning trades: 195 Number losing trades: 23
Profit of winners: 340085.63 Loss of losers: -1660.51
Total # of bars in winners: 195 Total # of bars in losers: 23
Commissions paid in winners: 24256.63 Commissions paid in losers:
2248.01
Largest winning trade: 13859.13 Largest losing trade: -309.91
# of bars in largest winner: 1 # bars in largest loser: 1
Commission paid in largest winner: 347.93 Commission paid in largest
loser: 309.91
Average winning trade: 1744.03 Average losing trade: -72.20
Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
Avg. commission paid in winner: 124.39 Avg. commission paid in
loser: 97.74
Max consec. winners: 36 Max consec. losers: 2
Bars out of the market: 46 Interest earned: 4040.28
Exposure: 82.4% Risk adjusted ann. return: 3519.50%
Ratio avg win/avg loss: 24.16 Avg. trade (win & loss): 1552.41
Profit factor: 204.81
----- Original Message -----
From: "nkis22" <nkishor@xxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, April 19, 2003 7:26 PM
Subject: [amibroker] Re: Help - Unrealistic Results
> Stewart, the code you have produces this on DOW30 starting
> Jan 2002 till last friday, and that is why I can't see the
> "too good to be true" porblem.
>
> nand
>
>
> AmiBroker System Test ReportOverall performance summary
>
> Total net profit:-145877.35 Total commissions paid:80031.44
> Return on account:-48.63 % Open position gain/loss-36.07
> Buy&Hold profit:-53466.63 Bars (avg. days) in test:9780 (471)
> Buy&Hold % return:-17.82% System to Buy&Hold index:-172.84%
>
> Annual system % return:-40.32% Annual B&H % return:-14.11%
>
> System drawdown:-8609.98 B&H drawdown:-8267.70
> Max. system drawdown:-10253.87 B&H max. drawdown:-8682.99
> Max. system % drawdown:-86.17% B&H max. % drawdown:-83.36%
> Max. trade drawdown:-5122.56
> Max. trade % drawdown:-57.37%
> Trade drawdown:-4563.20
>
> Total number of trades:9654 Percent profitable:44.4%
> Number winning trades:4287 Number losing trades:5367
> Profit of winners:561880.48 Loss of losers:-707815.48
> Total # of bars in winners:8253 Total # of bars in losers:8367
> Commissions paid in winners:35548.72 Commissions paid in
> losers:44482.72
>
> Largest winning trade:2173.05 Largest losing trade:-3556.80
> # of bars in largest winner:2 # bars in largest loser:2
> Commission paid in largest winner:19.80 Commission paid in
> largest
> loser:4.56
>
> Average winning trade:131.07 Average losing trade:-131.88
> Avg. # of bars in winners:1.9 Avg. # bars in losers:1.6
> Avg. commission paid in winner:8.29 Avg. commission paid in
> loser:8.29
> Max consec. winners:10 Max consec. losers:13
>
> Bars out of the market:31 Interest earned:0.00
>
> Exposure:99.7% Risk adjusted ann. return:-40.45%
> Ratio avg win/avg loss:0.99 Avg. trade (win & loss):-15.12
> Profit factor:0.79
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "nkis22" <nkishor@xxxx> wrote:
> > Not to me, not unrealistic, cos most systems lose a
> > a lot and so does what u have coded.
> >
> > For unrelaistic means an outrageously high profit, which is
> > typical of forward looking codes.
> >
> >
> > nand
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Stewart <stewart@xxxx> wrote:
> > > this doesn't look unrealistic?
> > >
> > >
> > > ----- Original Message -----
> > > From: "nkis22" <nkishor@xxxx>
> > > 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@xxxx
> > > > Send SUGGESTIONS to suggest@xxxx
> > > > -----------------------------------------
> > > > 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/
> > > >
> > > >
>
>
>
> 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:
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>
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>
>
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