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Dennis: I think you may have not set the margin requirement to $5,000 -
7,500 under the system cost section. This would change the ROA, which is
what I use to quickly compare system returns. You can also see that the
min. account size required should equal the margin + max drawdown, not just
the max intraday drawdown.
Thanks for posting your work,
Jay Poswolsky
-----Original Message-----
From: Dennis Holverstott <dennis@xxxxxxxxxx>
To: Omega List <omega-list@xxxxxxxxxx>
Date: Monday, March 16, 1998 6:17 PM
Subject: Re: PROPOSITION: a thread on system testing
>Continuing with the trailing stop thread, astute readers may have
>noticed that my dhScam1 system gave *unbelievable* results. Well,
>here's what might happen if you tried to trade this thing (Buy MOO
>and trail a $450 stop). I didn't get fancy with the code and I'm
>missing some data for this period so the results are only an
>example. There is no allowance for slip/comm so, in spite of the
>strong up trend, the system is a clear loser in real-world trading.
>
>=============
>
>{
>system: dhScam2
>
>Similar to dhScam1 except it runs on 2 minute SP data
>and uses coded $450 stops instead of the built-in stops.
>}
>
>input: trail(1.80);
>var: ts(0),hh(0);
>
>if d>d[1] then begin
> buy;
> hh = h;
>end;
>
>if h>hh then hh=h;
>
>ts = hh-trail;
>
>exitlong ts stop;
>
>===============
>
>dhScam2 DSP8H-2 min 12/19/97 - 03/12/98
>
> Performance Summary: All Trades
>
>Total net profit $ 1000.00 Open position P/L $ 0.00
>Gross profit $ 9100.00 Gross loss $ -8100.00
>
>Total # of trades 55 Percent profitable 33%
>Number winning trades 18 Number losing trades 37
>
>Largest winning trade $ 1625.00 Largest losing trade $ -450.00
>Average winning trade $ 505.56 Average losing trade $ -218.92
>Ratio avg win/avg loss 2.31 Avg trade(win & loss) $ 18.18
>
>Max consec. winners 2 Max consec. losers 8
>Avg # bars in winners 18 Avg # bars in losers 3
>
>Max intraday drawdown $ -3150.00
>Profit factor 1.12 Max # contracts held 1
>Account size required $ 3150.00 Return on account 32%
>
>--
> Dennis
>
>
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