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Thanks for testing this and posting the results. While we're talking about
measuring performance, a couple of things stand out on the long side test
results (ignoring the huge drawdown relative to profit and the # of consecutive
losers which are psychological issues):
1) the largest winner accounts for about 30% of the total profit - generally a
sign that the results are heavily skewed to one trade and therefore unlikely to
repeat
2) the average win/loss is probably too small to cover an adverse run -
especially likely considering #1. I generally want to see something on the order
of 4.00 or better.
On the subject of long vs short side testing, I also find that what works well
long does poorly short and vice versa - undoubtably because many declines are
steeper than advances. I generally include an option switch in my systems which
allows me to run long or short or both long and short. The option allows me to
observe the characteristics of each side independently.
Earl
-----Original Message-----
From: Patrick Wahl <pwahl@xxxxxxxxxxxxxxxxxxxxxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Monday, March 16, 1998 6:48 PM
Subject: Bond System
I tested the following system, posted by The Code, on bonds from '88
to '97. Original name was xe3 bonds. It did quite well on the Long
side, not so well on the short side. This is pretty typical of
everything I have tested on bonds - works ok long, barely profitable
or lose money on the short side.
Performance Summary: Long Trades
Total net profit $ 41372.00 Open position P/L $ 0.00
Gross profit $ 62685.00 Gross loss $ -21313.00
Total # of trades 25 Percent profitable 60%
Number winning trades 15 Number losing trades 10
Largest winning trade $ 11718.00 Largest losing trade $ -5937.00
Average winning trade $ 4179.00 Average losing trade $ -2131.30
Ratio avg win/avg loss 1.96 Avg trade(win & loss) $ 1654.88
Max consec. winners 5 Max consec. losers 3
Avg # bars in winners 65 Avg # bars in losers 28
Max intraday drawdown $ -10406.00
Profit factor 2.94 Max # contracts held 1
Account size required $ 10406.00 Return on account 398%
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