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Whew......52% wins ?
That stinks..
I've seen 20 lines of TS code do better than that.
> -----Original Message-----
> From: pierre.orphelin [mailto:pierre.orphelin@xxxxxxxxxx]
> Sent: Thursday, January 06, 2000 7:08 PM
> To: Andy; Omega-List
> Subject: Re: Yk2 TS4 realtime report
>
>
>
> ----- Message d'origine -----
> De : Andy <ronin@xxxxxxxxxxx>
> À : Omega-List <Omega-List@xxxxxxxxxx>
> Envoyé : lundi 3 janvier 2000 00:41
> Objet : Re: Yk2 TS4 realtime report
>
>
> > Hell Pierre, without using any slippage or commision, all
> you're peddling
> > here is snakeoil. Besides, 21 'trades' isn't statistically
> significant. You
> > know better than that.
> >
>
> Slippage and commission is roughly 15 Euro per contract this month.
> You may deduct 315 Euro from the 5155 grand total if you want for
> the 21 trades
> Means 6% of the result.
> ( average trade is really 230 Euro with commisssion and slippage,
> instead of 245).
>
> The system has been tested on 25 years of unseen data.
> I just posted the result of the last month.
>
> Sincerely,
>
> -Pierre Orphelin
> Neurofuzzy Logic tools for TradeStation
> Free evaluation versions and competitive upgrades available
> web: http://www.sirtrade.com
>
>
> > > Here are the result of the current trading systems really traded here,
> > > TS4, realtime, Comstock Feed and Safir-X neurofuzzy logic.
> > > (CAC 40 future, december 99).
> > >
> > > Now , take the lesson for what it is.
> > >
> > > ___CAC Z5___ BFCEZ99-30 min 11/29/1999 - 12/30/1999
> > >
> > > Performance Summary: All Trades
> > >
> > > Total net profit $ 5155.00 Open position P/L $ 990.00
> > > Gross profit $ 7145.00 Gross loss $ -1990.00
> > >
> > > Total # of trades 21 Percent profitable 52%
> > > Number winning trades 11 Number losing trades 10
> > >
> > > Largest winning trade $ 3610.00 Largest losing trade $ -490.00
> > > Average winning trade $ 649.55 Average losing trade $ -199.00
> > > Ratio avg win/avg loss 3.26 Avg trade(win & loss) $ 245.48
> > >
> > > Max consec. winners 3 Max consec. losers 4
> > > Avg # bars in winners 23 Avg # bars in losers 8
> > >
> > > Max intraday drawdown $ -1090.00
> > > Profit factor 3.59 Max # contracts held 1
> > > Account size required $ 1090.00 Return on account 473%
> > >
>
>
>
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