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It would not surprise me if all of the difference in percent profitable
could be accounted for by the slippage and commission deduction.
I suspect that with $200 rather than $100 deducted, the percent profitable
would be substantially worse than the unimpressive 33.7 percent in Pruitt's
article, and the equity curve would look substantially uglier.
Interestingly, R-Mesa is the best of the "top" commercially available
short-term trading systems surveyed by Pruitt earlier this year.
If T-Mesa can perform in real trading as it does in Ehlers' website, it
would be impressive. With $200 deducted for commission and slippage, and an
account value of three times margin, using Ehlers' data, it would earn 97%
return on capital per year, with a maximum drawdown of 23% of capital after
increasing the maximum drawdown from $11,000 to $15,000 as a guess of what
it might look like with commission and slippage. This ratio of return to
drawdown is hard to attain in live trading over a substantial period of
time.
-----Original Message-----
From: M. Simms [mailto:prosys@xxxxxxxxxxxxxxxx]
Sent: Thursday, December 06, 2001 9:14 PM
To: Charles Johnson
Cc: Omega-List
Subject: RE: Asking too much ??
re : "I'm not sure how plausibly the slightly different time periods can
account
for the significant difference in average profit per trade, but the average
profit per year and drawdown figures are comparable."
Exactly.....and the % profitable were much different as well.....as I
recall.
> -----Original Message-----
> From: Charles Johnson [mailto:cmjohnsonxx@xxxxxxxxx]
> Sent: Thursday, December 06, 2001 8:01 PM
> To: prosys@xxxxxxxxxxxxxxxx
> Cc: omega-list@xxxxxxxxxx
> Subject: RE: Asking too much ??
>
>
> Much of the apparent discrepancy appears to be due to Pruitt
> deducting $100
> per trade for commission and slippage, and Ehlers not deducting anything.
>
> Adjusting the data on Ehlers' website by $100 per trade, here are some
> comparative numbers:
>
> Average profit per trade: Ehlers: $214.56; Pruitt: $176.
>
> Average profit per year: Ehlers: $40,336; Pruitt: $42,839.
>
> Note that this is out of sample trading, after the system was released.
>
> The time periods are slightly different; Ehlers' is September 1996 to
> September 2001; Pruitt's is January 1997 to an unspecified date which
> appears to be in the spring of 2001. Pruitt's maximum drawdown, including
> the $100 deduction, is $24,600; Ehlers', without the deduction,
> is $22,607.
>
> I'm not sure how plausibly the slightly different time periods can account
> for the significant difference in average profit per trade, but
> the average
> profit per year and drawdown figures are comparable.
>
> One problem with R-Mesa is that the average profit per trade is quite low
> after you deduct a reasonable amount for commission and slippage. T-Mesa
> claims a per trade profit high enough to overcome this problem. Another
> problem is that Ehlers recommends a $30,000 account for trading R-Mesa,
> which sounds inappropriately low.
>
> Assuming Pruitt's figures are correct, deducting a more realistic $200 per
> trade yields an average profit of $76 per trade, which when multiplied by
> 242 trades (average) per year gives an average profit per year of $18,392.
> Using the Futures Truth formula of return on three times margin,
> and using a
> margin figure for the S&P contract of $21,563, R-Mesa has returned on
> average 28 percent per year on capital, with a maximum historical drawdown
> of 38 percent of capital.
>
> Ehlers' T-Mesa numbers would look better than this because of the higher
> average trade, but it was just recently released, so there is no
> significant
> period of post-release performance to judge it by.
>
> -----Original Message-----
> From: M. Simms [mailto:prosys@xxxxxxxxxxxxxxxx]
> Sent: Thursday, December 06, 2001 1:54 PM
> To: Charles Johnson
> Cc: omega-list@xxxxxxxxxx
> Subject: RE: Asking too much ??
>
>
> See attached....heated discussion and words.....with no resolution.
> Granted, this was not the T-MESA system, but the previously highly-touted
> R-MESA system.
>
> Futures Truth / Futures published one set of results; Website had
> completely
> DIFFERENT results...supposedly the same system.
>
> _________________________________________________________ Do You
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