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Fred got my curiosity up. I've never been inclined to backtest against
Mutual Funds before... so I did a HeadsUp test against my Mutual Fund
Database. Same backtest period as the stock backtest.
Results:
LONG
First Trade Jan 2 2003
Last Trade Jun 5 2003
Days in Test 154
Trades 21,582
% Profitable 75.86%
Net P/L 2,276,658
Rate of Annual Return 21.79%
Avg Profit / Winner 168
Avg Days Held - Winners 31
Avg Loss / Loser 90
Avg Days Held - Losers 31
Avg PositionSize 5,562
Avg Market Exposure 24,423,175
Max Market Exposure 58,055,140
Initial Equity 500,000
Lowest Account Value 499,768
Maximum Account Value 2,776,659
Ending Account Value 2,776,659
Max DD as a % of Account Value 1.94%
Just FWIW.
Phsst
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