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Chuck,
The attached report is with no 1 day delay, .5%
commision, still seems unreal.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 19, 2003 11:49
PM
Subject: RE: [amibroker] Re: Help -
Unrealistic Results (for Stewart)
I
didn't comment before, but in my opinion, using a one cent commission rate is
not very realistic. Many in this group tend to use 0.5%. I
use 1.0% to make sure that I include adequate slippage on trades that enter at
the next open.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Another thing... I don't know about anyone else, but I ALWAYS have my
interest rate set to zero. Otherwise, a system that isn't in the
market very often or uses a small percentage of available capital can make
enough money on interest to cover up deficiencies in the trading
system. After deciding that the system has merit and
selecting parameters, etc., I may set the interest to some value to see how a
fund using the system might fare.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Stewart
[mailto:stewart@xxxxxxxxxxxxxxxx]Sent: Saturday, April 19, 2003
6:37 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Re: Help - Unrealistic Results (for
Stewart)
The defaults as shown, give the results:<FONT color=#0000ff
size=1>
ApplyStop(<FONT color=#0000ff
size=1>Optimize( <FONT color=#ff00ff
size=1>"Type", <FONT color=#ff00ff
size=1>1, <FONT face="Courier New" color=#ff00ff
size=1>1, <FONT face="Courier New" color=#ff00ff
size=1>1, <FONT color=#ff00ff
size=1>1 ),<FONT color=#0000ff
size=1>Optimize( <FONT color=#ff00ff
size=1>"Mode", <FONT color=#ff00ff
size=1>1,<FONT face="Courier New" color=#ff00ff
size=1>1, <FONT face="Courier New" color=#ff00ff
size=1>1, <FONT color=#ff00ff
size=1>1 )
,Optimize(
"Amount", <FONT
color=#ff00ff size=1>0, <FONT color=#ff00ff
size=1>0, <FONT face="Courier New" color=#ff00ff
size=1>0, <FONT color=#ff00ff
size=1>1 ),<FONT color=#ff00ff
size=1>1,1<FONT
size=1>);
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 19, 2003 11:35
PM
Subject: RE: [amibroker] Re: Help -
Unrealistic Results (for Stewart)
<FONT face=Arial color=#0000ff
size=2>No worries... we are all just trying to help and we don't expect
you to divulge your system... especially one that looks that
good!
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>The problem is that it is hard to debug a problem when the system
supplied isn't the same system that produced the results
supplied.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>As you can see from the other posts, several of us ran your system,
either on our own basket(s) of stocks or your specific stocks and (I
think) we all got negative returns. There must be some sort of
"future leak" involved in one or more of your settings. As you
can see in your results, every trade lasted exactly one day... highly
suspicious and possibly suggesting future leak
somewhere.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>I'll have a closer look later today and I think others are looking
as well.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>The system you supplied was set up for optimisation. Your
performance figures were based on only one set of parameters derived from
your optimisation. It would be a HUGE benefit to anyone trying to
help you to know exactly which stop parameters were used to derive the
spectacular results.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Cheers
<FONT face=Arial color=#0000ff
size=2>
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Stewart
[mailto:stewart@xxxxxxxxxxxxxxxx]Sent: Saturday, April 19,
2003 6:19 PMTo: amibroker@xxxxxxxxxxxxxxxSubject:
Re: [amibroker] Re: Help - Unrealistic Results
Chuck (and Anyone Else that
missunderstood),
I sincerely apologize if my post was
misleading. My original message did say "similiar", and I assumed the
people helping had seen that. I've been following this group for awhile
(although silently until fairly recently), and it seems fairly common
not to divulge the system specifics when trying to debug something.
Having said that, my actual system was almost exactly as my example,
however, the prices were actual composite prices that I built (e.g.
Close of MSFT + Close of Cisco)/2. I am fairly certain that the issue
isn't with the system conditions, but with the stop or other system
settings, which is what I was trying to highlight.
Regards,
Stewart
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 19, 2003
9:45 PM
Subject: RE: [amibroker] Re: Help
- Unrealistic Results
<FONT face=Arial color=#0000ff
size=2>Like a lot of people on this board, I spent some time looking
at this particular post in an effort to help someone with a
problem.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Also, like a lot of others, I found that the system (as
presented) lost money no matter which stocks I tested it
on.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Then... we get a message that the system (as presented) was
only "similar" to the one with the problem.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>It's one thing to not divulge a good system to
the group and another to let us waste our time debugging a
non-existent system.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>The original post did say it was "similar", so I'll confess to
reading too much into it.Send BUG
REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
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Title: AmiBroker System Test Report
Overall performance summary
Total net profit:
197153.98
Total commissions paid:
12734.16
Return on account:
123.22 %
Open position gain/loss
0.00
Buy&Hold profit:
31605.13
Bars (avg. days) in test:
874 (80)
Buy&Hold % return:
19.75%
System to Buy&Hold index:
523.80%
Annual system % return:
3800.37%
Annual B&H % return:
127.61%
System drawdown:
-1257.98
B&H drawdown:
-4575.62
Max. system drawdown:
-3601.64
B&H max. drawdown:
-4465.86
Max. system % drawdown:
-16.95%
B&H max. % drawdown:
-45.15%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-2750.65
Total number of trades:
815
Percent profitable:
89.7%
Number winning trades:
731
Number losing trades:
84
Profit of winners:
198094.64
Loss of losers:
-940.67
Total # of bars in winners:
731
Total # of bars in losers:
84
Commissions paid in winners:
11519.12
Commissions paid in losers:
1215.04
Largest winning trade:
2460.20
Largest losing trade:
-29.83
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
32.55
Commission paid in largest loser:
29.83
Average winning trade:
270.99
Average losing trade:
-11.20
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
15.76
Avg. commission paid in loser:
14.46
Max consec. winners:
42
Max consec. losers:
3
Bars out of the market:
88
Interest earned:
0.00
Exposure:
89.9%
Risk adjusted ann. return:
4225.86%
Ratio avg win/avg loss:
24.20
Avg. trade (win & loss):
241.91
Profit factor:
210.59
Performance for ADRX
Total net profit:
0.00
Total commissions paid:
0.00
Return on account:
0.00 %
Open position gain/loss
0.00
Buy&Hold profit:
291.70
Bars (days) in test:
56 (80)
Buy&Hold % return:
2.92%
System to Buy&Hold index:
-100.00%
Annual system % return:
0.00%
Annual B&H % return:
14.02%
System drawdown:
0.00
B&H drawdown:
-4575.62
Max. system drawdown:
0.00
B&H max. drawdown:
-4465.86
Max. system % drawdown:
0.00%
B&H max. % drawdown:
-45.15%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
0.00
Total number of trades:
0
Percent profitable:
N/A
Number winning trades:
0
Number losing trades:
0
Profit of winners:
0.00
Loss of losers:
0.00
Total # of bars in winners:
0
Total # of bars in losers:
0
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
0.00
Largest losing trade:
0.00
# of bars in largest winner:
0
# bars in largest loser:
0
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
N/A
Average losing trade:
N/A
Avg. # of bars in winners:
N/A
Avg. # bars in losers:
N/A
Avg. commission paid in winner:
N/A
Avg. commission paid in loser:
N/A
Max consec. winners:
0
Max consec. losers:
0
Bars out of the market:
55
Interest earned:
0.00
Exposure:
1.8%
Risk adjusted ann. return:
0.00%
Ratio avg win/avg loss:
N/A
Avg. trade (win & loss):
N/A
Profit factor:
N/A
Performance for ALTR
Total net profit:
18343.75
Total commissions paid:
993.76
Return on account:
183.44 %
Open position gain/loss
0.00
Buy&Hold profit:
4050.94
Bars (days) in test:
54 (80)
Buy&Hold % return:
40.51%
System to Buy&Hold index:
352.83%
Annual system % return:
11496.76%
Annual B&H % return:
371.96%
System drawdown:
-285.12
B&H drawdown:
-329.67
Max. system drawdown:
-2079.33
B&H max. drawdown:
-1479.06
Max. system % drawdown:
-10.41%
B&H max. % drawdown:
-10.91%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1087.83
Total number of trades:
54
Percent profitable:
96.3%
Number winning trades:
52
Number losing trades:
2
Profit of winners:
18361.25
Loss of losers:
-17.50
Total # of bars in winners:
52
Total # of bars in losers:
2
Commissions paid in winners:
966.91
Commissions paid in losers:
26.85
Largest winning trade:
1176.91
Largest losing trade:
-15.72
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
27.75
Commission paid in largest loser:
15.72
Average winning trade:
353.10
Average losing trade:
-8.75
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
18.59
Avg. commission paid in loser:
13.42
Max consec. winners:
37
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
0.00
Exposure:
96.3%
Risk adjusted ann. return:
11938.94%
Ratio avg win/avg loss:
40.36
Avg. trade (win & loss):
339.70
Profit factor:
1049.40
Performance for BRCM
Total net profit:
14175.78
Total commissions paid:
933.27
Return on account:
141.76 %
Open position gain/loss
0.00
Buy&Hold profit:
-373.91
Bars (days) in test:
56 (80)
Buy&Hold % return:
-3.74%
System to Buy&Hold index:
3891.23%
Annual system % return:
5512.72%
Annual B&H % return:
-15.96%
System drawdown:
-634.97
B&H drawdown:
-1497.66
Max. system drawdown:
-1125.52
B&H max. drawdown:
-2603.73
Max. system % drawdown:
-7.71%
B&H max. % drawdown:
-23.44%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1414.53
Total number of trades:
56
Percent profitable:
91.1%
Number winning trades:
51
Number losing trades:
5
Profit of winners:
14222.28
Loss of losers:
-46.50
Total # of bars in winners:
51
Total # of bars in losers:
5
Commissions paid in winners:
837.93
Commissions paid in losers:
95.34
Largest winning trade:
1151.60
Largest losing trade:
-22.78
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
18.52
Commission paid in largest loser:
22.78
Average winning trade:
278.87
Average losing trade:
-9.30
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
16.43
Avg. commission paid in loser:
19.07
Max consec. winners:
18
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
0.00
Exposure:
96.4%
Risk adjusted ann. return:
5716.89%
Ratio avg win/avg loss:
29.99
Avg. trade (win & loss):
253.14
Profit factor:
305.86
Performance for CCU
Total net profit:
4542.72
Total commissions paid:
680.41
Return on account:
45.43 %
Open position gain/loss
0.00
Buy&Hold profit:
-64.74
Bars (days) in test:
56 (80)
Buy&Hold % return:
-0.65%
System to Buy&Hold index:
7116.84%
Annual system % return:
452.17%
Annual B&H % return:
-2.92%
System drawdown:
-268.92
B&H drawdown:
-1932.24
Max. system drawdown:
-1038.48
B&H max. drawdown:
-1932.24
Max. system % drawdown:
-7.86%
B&H max. % drawdown:
-19.32%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-677.98
Total number of trades:
56
Percent profitable:
71.4%
Number winning trades:
40
Number losing trades:
16
Profit of winners:
4720.78
Loss of losers:
-178.06
Total # of bars in winners:
40
Total # of bars in losers:
16
Commissions paid in winners:
489.60
Commissions paid in losers:
190.81
Largest winning trade:
325.61
Largest losing trade:
-13.99
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
12.79
Commission paid in largest loser:
13.99
Average winning trade:
118.02
Average losing trade:
-11.13
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
12.24
Avg. commission paid in loser:
11.93
Max consec. winners:
6
Max consec. losers:
2
Bars out of the market:
2
Interest earned:
0.00
Exposure:
96.4%
Risk adjusted ann. return:
468.91%
Ratio avg win/avg loss:
10.60
Avg. trade (win & loss):
81.12
Profit factor:
26.51
Performance for CMVT
Total net profit:
17593.51
Total commissions paid:
971.93
Return on account:
175.94 %
Open position gain/loss
0.00
Buy&Hold profit:
3059.01
Bars (days) in test:
56 (80)
Buy&Hold % return:
30.59%
System to Buy&Hold index:
475.14%
Annual system % return:
10160.82%
Annual B&H % return:
237.94%
System drawdown:
0.00
B&H drawdown:
-1334.16
Max. system drawdown:
-1093.50
B&H max. drawdown:
-1402.83
Max. system % drawdown:
-6.85%
B&H max. % drawdown:
-13.93%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-967.73
Total number of trades:
56
Percent profitable:
96.4%
Number winning trades:
54
Number losing trades:
2
Profit of winners:
17617.39
Loss of losers:
-23.88
Total # of bars in winners:
54
Total # of bars in losers:
2
Commissions paid in winners:
948.05
Commissions paid in losers:
23.88
Largest winning trade:
1500.77
Largest losing trade:
-12.98
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
18.85
Commission paid in largest loser:
12.98
Average winning trade:
326.25
Average losing trade:
-11.94
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
17.56
Avg. commission paid in loser:
11.94
Max consec. winners:
42
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
0.00
Exposure:
96.4%
Risk adjusted ann. return:
10537.15%
Ratio avg win/avg loss:
27.33
Avg. trade (win & loss):
314.17
Profit factor:
737.83
Performance for DCLK
Total net profit:
27169.10
Total commissions paid:
1102.76
Return on account:
271.69 %
Open position gain/loss
0.00
Buy&Hold profit:
4028.27
Bars (days) in test:
56 (80)
Buy&Hold % return:
40.28%
System to Buy&Hold index:
574.46%
Annual system % return:
39844.37%
Annual B&H % return:
368.50%
System drawdown:
-15.66
B&H drawdown:
-595.08
Max. system drawdown:
-1926.93
B&H max. drawdown:
-1581.66
Max. system % drawdown:
-6.49%
B&H max. % drawdown:
-12.09%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-2054.28
Total number of trades:
56
Percent profitable:
96.4%
Number winning trades:
54
Number losing trades:
2
Profit of winners:
27215.73
Loss of losers:
-46.63
Total # of bars in winners:
54
Total # of bars in losers:
2
Commissions paid in winners:
1056.14
Commissions paid in losers:
46.63
Largest winning trade:
2460.20
Largest losing trade:
-29.83
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
32.55
Commission paid in largest loser:
29.83
Average winning trade:
503.99
Average losing trade:
-23.31
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
19.56
Avg. commission paid in loser:
23.31
Max consec. winners:
27
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
0.00
Exposure:
96.4%
Risk adjusted ann. return:
41320.09%
Ratio avg win/avg loss:
21.62
Avg. trade (win & loss):
485.16
Profit factor:
583.69
Performance for FD
Total net profit:
8454.71
Total commissions paid:
755.67
Return on account:
84.55 %
Open position gain/loss
0.00
Buy&Hold profit:
1681.33
Bars (days) in test:
54 (80)
Buy&Hold % return:
16.81%
System to Buy&Hold index:
402.86%
Annual system % return:
1537.25%
Annual B&H % return:
103.20%
System drawdown:
-0.62
B&H drawdown:
-676.86
Max. system drawdown:
-978.52
B&H max. drawdown:
-980.28
Max. system % drawdown:
-5.93%
B&H max. % drawdown:
-9.51%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-962.22
Total number of trades:
54
Percent profitable:
87.0%
Number winning trades:
47
Number losing trades:
7
Profit of winners:
8527.87
Loss of losers:
-73.16
Total # of bars in winners:
47
Total # of bars in losers:
7
Commissions paid in winners:
648.04
Commissions paid in losers:
107.63
Largest winning trade:
535.40
Largest losing trade:
-18.21
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
17.95
Commission paid in largest loser:
18.21
Average winning trade:
181.44
Average losing trade:
-10.45
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
13.79
Avg. commission paid in loser:
15.38
Max consec. winners:
15
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
0.00
Exposure:
96.3%
Risk adjusted ann. return:
1596.37%
Ratio avg win/avg loss:
17.36
Avg. trade (win & loss):
156.57
Profit factor:
116.57
Performance for GLG
Total net profit:
13574.66
Total commissions paid:
814.28
Return on account:
135.75 %
Open position gain/loss
0.00
Buy&Hold profit:
-1848.27
Bars (days) in test:
54 (80)
Buy&Hold % return:
-18.48%
System to Buy&Hold index:
834.45%
Annual system % return:
4903.60%
Annual B&H % return:
-60.64%
System drawdown:
-448.40
B&H drawdown:
-3047.60
Max. system drawdown:
-1699.98
B&H max. drawdown:
-2895.60
Max. system % drawdown:
-7.04%
B&H max. % drawdown:
-29.40%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-877.36
Total number of trades:
53
Percent profitable:
92.5%
Number winning trades:
49
Number losing trades:
4
Profit of winners:
13593.62
Loss of losers:
-18.96
Total # of bars in winners:
49
Total # of bars in losers:
4
Commissions paid in winners:
749.63
Commissions paid in losers:
64.66
Largest winning trade:
1543.62
Largest losing trade:
-14.61
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
19.00
Commission paid in largest loser:
14.61
Average winning trade:
277.42
Average losing trade:
-4.74
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
15.30
Avg. commission paid in loser:
16.16
Max consec. winners:
18
Max consec. losers:
1
Bars out of the market:
3
Interest earned:
0.00
Exposure:
94.4%
Risk adjusted ann. return:
5192.04%
Ratio avg win/avg loss:
58.53
Avg. trade (win & loss):
256.13
Profit factor:
717.03
Performance for GSF
Total net profit:
9556.27
Total commissions paid:
775.83
Return on account:
95.56 %
Open position gain/loss
0.00
Buy&Hold profit:
-311.76
Bars (days) in test:
54 (80)
Buy&Hold % return:
-3.12%
System to Buy&Hold index:
3165.23%
Annual system % return:
2033.01%
Annual B&H % return:
-13.46%
System drawdown:
-310.80
B&H drawdown:
-1087.80
Max. system drawdown:
-1026.04
B&H max. drawdown:
-1172.16
Max. system % drawdown:
-7.59%
B&H max. % drawdown:
-11.57%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-677.70
Total number of trades:
54
Percent profitable:
92.6%
Number winning trades:
50
Number losing trades:
4
Profit of winners:
9587.08
Loss of losers:
-30.80
Total # of bars in winners:
50
Total # of bars in losers:
4
Commissions paid in winners:
716.27
Commissions paid in losers:
59.56
Largest winning trade:
531.40
Largest losing trade:
-14.95
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
18.80
Commission paid in largest loser:
14.95
Average winning trade:
191.74
Average losing trade:
-7.70
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
14.33
Avg. commission paid in loser:
14.89
Max consec. winners:
18
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
0.00
Exposure:
96.3%
Risk adjusted ann. return:
2111.20%
Ratio avg win/avg loss:
24.90
Avg. trade (win & loss):
176.97
Profit factor:
311.25
Performance for MCD
Total net profit:
8178.03
Total commissions paid:
711.53
Return on account:
81.78 %
Open position gain/loss
0.00
Buy&Hold profit:
814.82
Bars (days) in test:
54 (80)
Buy&Hold % return:
8.15%
System to Buy&Hold index:
903.66%
Annual system % return:
1428.21%
Annual B&H % return:
42.96%
System drawdown:
0.00
B&H drawdown:
-1541.32
Max. system drawdown:
-1381.76
B&H max. drawdown:
-1582.24
Max. system % drawdown:
-7.46%
B&H max. % drawdown:
-15.76%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-639.65
Total number of trades:
52
Percent profitable:
86.5%
Number winning trades:
45
Number losing trades:
7
Profit of winners:
8261.90
Loss of losers:
-83.87
Total # of bars in winners:
45
Total # of bars in losers:
7
Commissions paid in winners:
618.45
Commissions paid in losers:
93.08
Largest winning trade:
574.88
Largest losing trade:
-17.59
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
16.07
Commission paid in largest loser:
17.59
Average winning trade:
183.60
Average losing trade:
-11.98
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
13.74
Avg. commission paid in loser:
13.30
Max consec. winners:
14
Max consec. losers:
2
Bars out of the market:
4
Interest earned:
0.00
Exposure:
92.6%
Risk adjusted ann. return:
1542.46%
Ratio avg win/avg loss:
15.32
Avg. trade (win & loss):
157.27
Profit factor:
98.51
Performance for MXIM
Total net profit:
6532.89
Total commissions paid:
686.15
Return on account:
65.33 %
Open position gain/loss
0.00
Buy&Hold profit:
2375.84
Bars (days) in test:
54 (80)
Buy&Hold % return:
23.76%
System to Buy&Hold index:
174.97%
Annual system % return:
891.33%
Annual B&H % return:
164.47%
System drawdown:
-399.64
B&H drawdown:
-421.61
Max. system drawdown:
-1129.97
B&H max. drawdown:
-1585.00
Max. system % drawdown:
-9.13%
B&H max. % drawdown:
-12.31%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-767.80
Total number of trades:
54
Percent profitable:
96.3%
Number winning trades:
52
Number losing trades:
2
Profit of winners:
6544.46
Loss of losers:
-11.58
Total # of bars in winners:
52
Total # of bars in losers:
2
Commissions paid in winners:
661.03
Commissions paid in losers:
25.13
Largest winning trade:
397.53
Largest losing trade:
-10.95
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
16.07
Commission paid in largest loser:
14.99
Average winning trade:
125.86
Average losing trade:
-5.79
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
12.71
Avg. commission paid in loser:
12.56
Max consec. winners:
42
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
0.00
Exposure:
96.3%
Risk adjusted ann. return:
925.61%
Ratio avg win/avg loss:
21.74
Avg. trade (win & loss):
120.98
Profit factor:
565.34
Performance for NTAP
Total net profit:
15025.51
Total commissions paid:
873.06
Return on account:
150.26 %
Open position gain/loss
0.00
Buy&Hold profit:
2468.95
Bars (days) in test:
54 (80)
Buy&Hold % return:
24.69%
System to Buy&Hold index:
508.58%
Annual system % return:
6470.86%
Annual B&H % return:
173.67%
System drawdown:
-9.34
B&H drawdown:
-1327.68
Max. system drawdown:
-1510.15
B&H max. drawdown:
-2360.32
Max. system % drawdown:
-8.25%
B&H max. % drawdown:
-21.39%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1063.96
Total number of trades:
54
Percent profitable:
88.9%
Number winning trades:
48
Number losing trades:
6
Profit of winners:
15089.31
Loss of losers:
-63.80
Total # of bars in winners:
48
Total # of bars in losers:
6
Commissions paid in winners:
789.34
Commissions paid in losers:
83.72
Largest winning trade:
1127.50
Largest losing trade:
-19.84
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
17.75
Commission paid in largest loser:
19.84
Average winning trade:
314.36
Average losing trade:
-10.63
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
16.44
Avg. commission paid in loser:
13.95
Max consec. winners:
14
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
0.00
Exposure:
96.3%
Risk adjusted ann. return:
6719.73%
Ratio avg win/avg loss:
29.56
Avg. trade (win & loss):
278.25
Profit factor:
236.51
Performance for NTES
Total net profit:
23466.41
Total commissions paid:
1061.71
Return on account:
234.66 %
Open position gain/loss
0.00
Buy&Hold profit:
3191.21
Bars (days) in test:
54 (80)
Buy&Hold % return:
31.91%
System to Buy&Hold index:
635.34%
Annual system % return:
24647.36%
Annual B&H % return:
253.83%
System drawdown:
-860.36
B&H drawdown:
-3579.60
Max. system drawdown:
-3601.64
B&H max. drawdown:
-3510.52
Max. system % drawdown:
-16.95%
B&H max. % drawdown:
-35.35%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-2750.65
Total number of trades:
54
Percent profitable:
92.6%
Number winning trades:
50
Number losing trades:
4
Profit of winners:
23543.44
Loss of losers:
-77.03
Total # of bars in winners:
50
Total # of bars in losers:
4
Commissions paid in winners:
984.68
Commissions paid in losers:
77.03
Largest winning trade:
1333.26
Largest losing trade:
-24.45
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
25.80
Commission paid in largest loser:
24.45
Average winning trade:
470.87
Average losing trade:
-19.26
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
19.69
Avg. commission paid in loser:
19.26
Max consec. winners:
16
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
0.00
Exposure:
96.3%
Risk adjusted ann. return:
25595.34%
Ratio avg win/avg loss:
24.45
Avg. trade (win & loss):
434.56
Profit factor:
305.64
Performance for OVTI
Total net profit:
14135.18
Total commissions paid:
894.69
Return on account:
141.35 %
Open position gain/loss
0.00
Buy&Hold profit:
9297.25
Bars (days) in test:
54 (80)
Buy&Hold % return:
92.97%
System to Buy&Hold index:
52.04%
Annual system % return:
5469.84%
Annual B&H % return:
1907.12%
System drawdown:
-171.92
B&H drawdown:
-233.74
Max. system drawdown:
-1950.42
B&H max. drawdown:
-2126.28
Max. system % drawdown:
-13.55%
B&H max. % drawdown:
-11.97%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1878.00
Total number of trades:
54
Percent profitable:
92.6%
Number winning trades:
50
Number losing trades:
4
Profit of winners:
14190.59
Loss of losers:
-55.41
Total # of bars in winners:
50
Total # of bars in losers:
4
Commissions paid in winners:
819.41
Commissions paid in losers:
75.28
Largest winning trade:
776.41
Largest losing trade:
-19.45
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
15.11
Commission paid in largest loser:
19.45
Average winning trade:
283.81
Average losing trade:
-13.85
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
16.39
Avg. commission paid in loser:
18.82
Max consec. winners:
26
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
0.00
Exposure:
96.3%
Risk adjusted ann. return:
5680.22%
Ratio avg win/avg loss:
20.49
Avg. trade (win & loss):
261.76
Profit factor:
256.12
Performance for SKM
Total net profit:
4578.45
Total commissions paid:
654.32
Return on account:
45.78 %
Open position gain/loss
0.00
Buy&Hold profit:
171.90
Bars (days) in test:
54 (80)
Buy&Hold % return:
1.72%
System to Buy&Hold index:
2563.44%
Annual system % return:
458.38%
Annual B&H % return:
8.09%
System drawdown:
-1257.98
B&H drawdown:
-2447.79
Max. system drawdown:
-1381.25
B&H max. drawdown:
-2571.06
Max. system % drawdown:
-13.64%
B&H max. % drawdown:
-25.40%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1248.00
Total number of trades:
54
Percent profitable:
75.9%
Number winning trades:
41
Number losing trades:
13
Profit of winners:
4735.29
Loss of losers:
-156.84
Total # of bars in winners:
41
Total # of bars in losers:
13
Commissions paid in winners:
497.48
Commissions paid in losers:
156.84
Largest winning trade:
399.90
Largest losing trade:
-14.34
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
12.30
Commission paid in largest loser:
14.34
Average winning trade:
115.49
Average losing trade:
-12.06
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
12.13
Avg. commission paid in loser:
12.06
Max consec. winners:
13
Max consec. losers:
3
Bars out of the market:
2
Interest earned:
0.00
Exposure:
96.3%
Risk adjusted ann. return:
476.01%
Ratio avg win/avg loss:
9.57
Avg. trade (win & loss):
84.79
Profit factor:
30.19
Performance for XLNX
Total net profit:
11827.01
Total commissions paid:
824.79
Return on account:
118.27 %
Open position gain/loss
0.00
Buy&Hold profit:
2772.60
Bars (days) in test:
54 (80)
Buy&Hold % return:
27.73%
System to Buy&Hold index:
326.57%
Annual system % return:
3420.96%
Annual B&H % return:
205.42%
System drawdown:
-211.05
B&H drawdown:
-800.33
Max. system drawdown:
-1400.43
B&H max. drawdown:
-1806.88
Max. system % drawdown:
-9.67%
B&H max. % drawdown:
-13.72%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1033.60
Total number of trades:
54
Percent profitable:
88.9%
Number winning trades:
48
Number losing trades:
6
Profit of winners:
11883.68
Loss of losers:
-56.66
Total # of bars in winners:
48
Total # of bars in losers:
6
Commissions paid in winners:
736.17
Commissions paid in losers:
88.61
Largest winning trade:
717.78
Largest losing trade:
-19.74
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
20.86
Commission paid in largest loser:
19.74
Average winning trade:
247.58
Average losing trade:
-9.44
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
15.34
Avg. commission paid in loser:
14.77
Max consec. winners:
22
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
0.00
Exposure:
96.3%
Risk adjusted ann. return:
3552.54%
Ratio avg win/avg loss:
26.22
Avg. trade (win & loss):
219.02
Profit factor:
209.72
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