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here's my contribution to the snake oil system of the month club.
beats the hell out of rjp's. nothing more than a momentum crossover
system with a stochastic like filter to keep you in the trend
i thought i'd found the grail, but the smell quickly reminded me that
i had stepped into a cow pie instead
oh, preston, this one "only" nets $15 mil in 5 years. never mind that
the backtest period is only 2 weeks.
and never mind that the current 2 week period with the same parameter
set shows, well, more minus signs with zeros behind them than i care
to see again
TJ
let the bidding begin
TJ's Cow Pie SP8M-30 Tick Bars 04/15/98 - 04/28/98
Performance Summary: All Trades
Total net profit $ 125425.00 Open position P/L $ -25.00
Gross profit $ 131425.00 Gross loss $ -6000.00
Total # of trades 31 Percent profitable 77%
Number winning trades 24 Number losing trades 7
Largest winning trade $ 11850.00 Largest losing trade $ -1700.00
Average winning trade $ 5476.04 Average losing trade $ -857.14
Ratio avg win/avg loss 6.39 Avg trade(win & loss) $ 4045.97
Max consec. winners 19 Max consec. losers 4
Avg # bars in winners 277 Avg # bars in losers 104
Max intraday drawdown $ -4725.00
Profit factor 21.90 Max # contracts held 12
Account size required $ 4725.00 Return on account 2654%
Performance Summary: Long Trades
Total net profit $ 16075.00 Open position P/L $ -25.00
Gross profit $ 19250.00 Gross loss $ -3175.00
Total # of trades 14 Percent profitable 71%
Number winning trades 10 Number losing trades 4
Largest winning trade $ 4350.00 Largest losing trade $ -1700.00
Average winning trade $ 1925.00 Average losing trade $ -793.75
Ratio avg win/avg loss 2.43 Avg trade(win & loss) $ 1148.21
Max consec. winners 5 Max consec. losers 2
Avg # bars in winners 219 Avg # bars in losers 136
Max intraday drawdown $ -6075.00
Profit factor 6.06 Max # contracts held 5
Account size required $ 6075.00 Return on account 265%
Performance Summary: Short Trades
Total net profit $ 109350.00 Open position P/L $ 0.00
Gross profit $ 112175.00 Gross loss $ -2825.00
Total # of trades 17 Percent profitable 82%
Number winning trades 14 Number losing trades 3
Largest winning trade $ 11850.00 Largest losing trade $ -1550.00
Average winning trade $ 8012.50 Average losing trade $ -941.67
Ratio avg win/avg loss 8.51 Avg trade(win & loss) $ 6432.35
Max consec. winners 14 Max consec. losers 3
Avg # bars in winners 319 Avg # bars in losers 61
Max intraday drawdown $ -3625.00
Profit factor 39.71 Max # contracts held 12
Account size required $ 3625.00 Return on account 3017%
---Mark Brown wrote:
http://www.markbrowm.com/fool.htm RJP's entire private post, look at
this system and what do you see?
I am a dangerous person when it comes to systems.
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