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----- 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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