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At 05:22 PM 8/30/98 -0700, David Fenstemaker wrote:
Nice numbers but nasty drawdown, this is a big boy system for sure.
Robert
>Vel ROC System STANDARD & POORS DEP a-Daily 04/29/88 - 08/28/98
>
> Performance Summary: All Trades
>
>Total net profit $1038885.03 Open position P/L $ -59912.30
>Gross profit $1364299.00 Gross loss $-325413.97
>
>Total # of trades 165 Percent profitable 76%
>Number winning trades 126 Number losing trades 39
>
>Largest winning trade $ 67265.13 Largest losing trade $ -52782.72
>Average winning trade $ 10827.77 Average losing trade $ -8343.95
>Ratio avg win/avg loss 1.30 Avg trade(win & loss)$ 6296.27
>
>Max consec. winners 11 Max consec. losers 4
>Avg # bars in winners 8 Avg # bars in losers 8
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>Max intraday drawdown $-175071.61
>Profit factor 4.19 Max # contracts held 13464
>Account size required $ 175071.61 Return on account 593%
>
>********************************************************
>
>Vel %K System STANDARD & POORS DEP a-Daily 04/29/88 - 08/28/98
>Performance Summary: All Trades
>
>Total net profit $ 713776.69 Open position P/L $ 0.00
>Gross profit $1196630.25 Gross loss $-482853.56
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>Total # of trades 173 Percent profitable 72%
>Number winning trades 124 Number losing trades 49
>
>Largest winning trade $ 35642.88 Largest losing trade $ -56271.54
>Average winning trade $ 9650.24 Average losing trade$ -9854.15
>Ratio avg win/avg loss 0.98 Avg trade(win & loss)$ 4125.88
>
>Max consec. winners 13 Max consec. losers 3
>Avg # bars in winners 7 Avg # bars in losers 9
>
>Max intraday drawdown $ -80541.64
>Profit factor 2.48 Max # contracts held 13821
>Account size required $80541.64 Return on account 886%
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