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In general such long term test results dont have any value for me as you cant
see what happenend during the time - i.e. this system below MIGHT have made
1 million in first 5 years and then continously keep on loosing - you cant judge
from those numbers. I like to look at an equity curve.
rgds hans
> the following results are old contract values. not a bad system . it loses
> a little on the short side but is willing to short using the same rules as
> its long side so you might expect it to do o.k. in a prolonged bear market
> if we ever get one. whether or not you can trade this from a psych
> perspective is a personal decision.
>
> Dale
>
>
>
>
> vsts S&P 500 IndexDa 4600 46/00-Daily 06/14/82 - 05/13/98
>
> Performance Summary: All Trades
>
> Total net profit $ 240135.00 Open position P/L $ 58740.00
> Gross profit $ 341415.00 Gross loss $-101280.00
>
> Total # of trades 32 Percent profitable 56%
> Number winning trades 18 Number losing trades 14
>
> Largest winning trade $ 95345.00 Largest losing trade $ -23725.00
> Average winning trade $ 18967.50 Average losing trade $ -7234.29
> Ratio avg win/avg loss 2.62 Avg trade(win & loss) $ 7504.22
>
> Max consec. winners 5 Max consec. losers 5
> Avg # bars in winners 126 Avg # bars in losers 42
>
> Max intraday drawdown $ -34200.00
> Profit factor 3.37 Max # contracts held 1
> Account size required $ 34200.00 Return on account 702%
>
>
> Performance Summary: Long Trades
>
> Total net profit $ 249980.00 Open position P/L $ 58740.00
> Gross profit $ 313490.00 Gross loss $ -63510.00
>
> Total # of trades 23 Percent profitable 65%
> Number winning trades 15 Number losing trades 8
>
> Largest winning trade $ 95345.00 Largest losing trade $ -23725.00
> Average winning trade $ 20899.33 Average losing trade $ -7938.75
> Ratio avg win/avg loss 2.63 Avg trade(win & loss) $ 10868.70
>
> Max consec. winners 5 Max consec. losers 2
> Avg # bars in winners 138 Avg # bars in losers 51
>
> Max intraday drawdown $ -34200.00
> Profit factor 4.94 Max # contracts held 1
> Account size required $ 34200.00 Return on account 731%
>
>
> Performance Summary: Short Trades
>
> Total net profit $ -9845.00 Open position P/L $ 0.00
> Gross profit $ 27925.00 Gross loss $ -37770.00
>
> Total # of trades 9 Percent profitable 33%
> Number winning trades 3 Number losing trades 6
>
> Largest winning trade $ 26520.00 Largest losing trade $ -13240.00
> Average winning trade $ 9308.33 Average losing trade $ -6295.00
> Ratio avg win/avg loss 1.48 Avg trade(win & loss) $ -1093.89
>
> Max consec. winners 1 Max consec. losers 4
> Avg # bars in winners 67 Avg # bars in losers 29
>
> Max intraday drawdown $ -21590.00
> Profit factor 0.74 Max # contracts held 1
> Account size required $ 21590.00 Return on account -46%
>
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