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Here's another system that I've just finished curve fitting-oops!! I mean,
optimized.
Perhaps someone out there will have more success with ideas behind it than
me. ELA file attached.
Using S&P index with big point value of $250 to simulate a continuous
futures contract, $20 commision, $250 slippage.
CANNAE S&P SPX-60 min 08/29/94 - 11/06/98
Performance Summary: All Trades
Total net profit $ 207417.50 Open position P/L $ 18010.00
Gross profit $ 295842.50 Gross loss $ -88425.00
Total # of trades 50 Percent profitable 52%
Number winning trades 26 Number losing trades 24
Largest winning trade $ 54055.00 Largest losing trade $ -9340.00
Average winning trade $ 11378.56 Average losing trade $ -3684.38
Ratio avg win/avg loss 3.09 Avg trade(win & loss) $ 4148.35
Max consec. winners 6 Max consec. losers 5
Avg # bars in winners 134 Avg # bars in losers 49
Max intraday drawdown $ -21655.00
Profit factor 3.35 Max # contracts held 2
Account size required $ 46655.00 Return on account 445%
Performance Summary: Long Trades
Total net profit $ 168767.50 Open position P/L $ 18010.00
Gross profit $ 233287.50 Gross loss $ -64520.00
Total # of trades 29 Percent profitable 48%
Number winning trades 14 Number losing trades 15
Largest winning trade $ 54055.00 Largest losing trade $ -9340.00
Average winning trade $ 16663.39 Average losing trade $ -4301.33
Ratio avg win/avg loss 3.87 Avg trade(win & loss) $ 5819.57
Max consec. winners 3 Max consec. losers 3
Avg # bars in winners 211 Avg # bars in losers 48
Max intraday drawdown $ -23715.00
Profit factor 3.62 Max # contracts held 2
Account size required $ 48715.00 Return on account 346%
Performance Summary: Short Trades
Total net profit $ 38650.00 Open position P/L $ 0.00
Gross profit $ 62555.00 Gross loss $ -23905.00
Total # of trades 21 Percent profitable 57%
Number winning trades 12 Number losing trades 9
Largest winning trade $ 19235.00 Largest losing trade $ -7960.00
Average winning trade $ 5212.92 Average losing trade $ -2656.11
Ratio avg win/avg loss 1.96 Avg trade(win & loss) $ 1840.48
Max consec. winners 9 Max consec. losers 5
Avg # bars in winners 44 Avg # bars in losers 51
Max intraday drawdown $ -17970.00
Profit factor 2.62 Max # contracts held 2
Account size required $ 42970.00 Return on account 90%
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