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Doug:
The answer is: NO.
Do not trade this.
Try running this with some realistic Slippage and Commission
numbers and you will see why. If the system takes ALL entries
and ALL exits on LIMIT orders than book minimum round turn of
$25. (NO STOP LOSS. ALL means ALL !!!)
If you have stop loss orders plus market entries/ exits or stop
order entries and exits, then try $150 to $250 for slippage and
commission. (I would test with $250 unless you are a genius at
execution.)
ONce you take out S+C this system would bleed money.
Also, for a system that took 442 trades, your largest winner at
7.7% of net is a bit suspect. Try removing the ten largest
WINNING trades and see how you like the system. (Ten trades = 2 %
of trades or about +2 Std Dev.)
Leslie
Douglas Dubell wrote:
>
> Hi List,
> Sorry if this is a repeat - having trouble with attachment sizes.
>
> I would like to get some expert eyes on the following report to get an
> opinion if you think it is worth trading and understand the pros and cons of
> it. I would send the full report, but can't attach it, if you are so
> inclinded to review, I can send you a formatted version if you reply to my
> email.
>
> Thanks (emini s&p500, 1 contract, no comm, no slip)
>
> I did'nt even attach the equity curve because of size worries
>
> =================
>
> TradeStation Strategy Performance Report: Summary @ES.D, 10 min, 2/12/2001
> 5:40:00 AM - 5/23/2003 12:10:00 PM
>
> TradeStation Strategy Performance Summary
>
> All Trades Long Trades Short Trades
>
> Total Net Profit $26,212.50 $10,525.00 $15,687.50
> Gross Profit $57,612.50 $20,737.50 $36,875.00
> Gross Loss ($31,400.00) ($10,212.50) ($21,187.50)
> Profit Factor 1.83 2.03 1.74
> Open Position P/L $0.00 $0.00 $0.00
>
> Select Total Net Profit $22,437.50 $8,900.00 $13,537.50
> Select Gross Profit $49,887.50 $19,112.50 $30,775.00
> Select Gross Loss ($27,450.00) ($10,212.50) ($17,237.50)
> Select Profit Factor 1.82 1.87 1.79
>
> Adjusted Total Net Profit $19,830.54 $7,403.24 $9,715.13
> Adjusted Gross Profit $53,257.40 $18,631.93 $32,699.73
> Adjusted Gross Loss ($33,426.86) ($11,228.68) ($22,984.60)
> Adjusted Profit Factor 1.59 1.66 1.42
>
> Total Number of Trades 442 217 225
> Percent Profitable 39.59% 44.70% 34.67%
> Winning Trades 175 97 78
> Losing Trades 240 101 139
> Even Trades 27 19 8
>
> Avg. Trade Profit/Loss $59.30 $48.50 $69.72
> Avg. Winning Trade $329.21 $213.79 $472.76
> Avg. Losing Trade ($130.83) ($101.11) ($152.43)
> Ratio Avg. Win/Avg. Loss 2.52 2.11 3.10
> Largest Winning Trade $2,512.50 $1,625.00 $2,512.50
> Largest Losing Trade ($1,287.50) ($412.50) ($1,287.50)
> Largest Winner as % of Gross Profit 4.36% 7.84% 6.81%
> Largest Loser as % of Gross Loss 4.10% 4.04% 6.08%
>
> Max. Consecutive Winning Trades 8 5 5
> Max. Consecutive Losing Trades 10 6 12
> Avg. Bars in Winning Trades 21 11 34
> Avg. Bars in Losing Trades 7 3 9
>
> Max. Shares/Contracts Held 1 1 1
> Total Slippage $0.00 $0.00 $0.00
> Total Commission $0.00 $0.00 $0.00
>
> Max. Trade Drawdown ($1,500.00) ($800.00) ($1,500.00)
> Max. Equity Drawdown ($2,900.00) ($2,400.00) ($3,112.50)
>
> Annual Rate of Return 10.25%
> Return on Initial Capital 26.21%
> Buy & Hold Return (21.62%)
> Return on Max. Equity Drawdown 903.88%
> Avg. Monthly Return $970.83
> Std. Deviation of Monthly Return $1,399.44
>
> Percent of Time in the Market 19.80%
>
> RINA Index 662.85
> Net Profit / Largest Loss 20.36
> Net Profit / Max. Equity Drawdown 9.04
> Select Net Profit / Largest Loss 17.43
> Select Net Profit / Max. Equity Drawdown 7.74
> Adjusted Net Profit / Largest Loss 15.40
> Adjusted Net Profit / Max. Equity Drawdown 6.84
>
> Amount Date % of Init. Capital
> Max. Equity Run-up $28,712.50 3/12/2003 22.75%
> Max. Equity Drawdown ($2,900.00) 5/7/2001 2.30%
--
Regards,
Leslie Walko
610-688-2442
--
"Life is a tragedy for those who feel, a comedy for those who
think"
Horace Walpole, 4th earl of Orford, in a letter dated about 1770
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