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Even so, if the expectation of profit for any one trade is of the order of
$200 you'll need an awfully long time to dig yourself out of a $22,000
drawdown hole. That's what would put *me* off that system.
Regards,
Stefan Schulz
At 20:01 06/12/01 -0500, Charles Johnson wrote:
>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.
>
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