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This variation shows what happen when you don't take trades until after 1100
EST rather than 0930. That is the only variation I made for illustration
purposes, but you can get better results by experimenting with a mirror
image declining issues signal (to reduce trade frequency). Also in the post
split market if you change the parameters from 3 and 1 to 0, you will have
net profits of $670,000+, even though 1999 is a crappy year.
ODDBALL TIME CHANGE PRE SPLIT
TradeStation Strategy Performance Report - Oddball - SP500P~2.TXT-60 min.
(11/2/87-10/31/97)
Performance Summary: All Trades
Total Net Profit $452,225.00 Open position P/L $3,875.00
Gross Profit $1,805,125.00 Gross Loss ($1,352,900.00)
Total # of trades 2,099 Percent profitable 45.55%
Number winning trades 956 Number losing trades 1,143
Largest winning trade $21,250.00 Largest losing trade ($7,550.00)
Average winning trade $1,888.21 Average losing trade ($1,183.64)
Ratio avg win/avg loss 1.60 Avg trade (win & loss) $215.45
Max consec. Winners 10 Max consec. losers 12
Avg # bars in winners 12 Avg # bars in losers 7
Max intraday drawdown ($57,725.00)
Profit Factor 1.33 Max # contracts held 1
Account size required $57,725.00 Return on account 783.41%
ODDBALL TIME CHANGE POST SPLIT
TradeStation Strategy Performance Report - Oddball - SP500P~1.TXT-60 min.
Performance Summary: All Trades
Total Net Profit $578,875.00 Open position P/L ($725.00)
Gross Profit $1,685,250.00 Gross Loss ($1,106,375.00)
Total # of trades 872 Percent profitable 49.08%
Number winning trades 428 Number losing trades 444
Largest winning trade $25,875.00 Largest losing trade ($11,625.00)
Average winning trade $3,937.50 Average losing trade ($2,491.84)
Ratio avg win/avg loss 1.58 Avg trade (win & loss) $663.85
Max consec. Winners 6 Max consec. losers 7
Avg # bars in winners 12 Avg # bars in losers 7
Max intraday drawdown ($55,175.00)
Profit Factor 1.52 Max # contracts held 1
Account size required $55,175.00 Return on account 1049.16%
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