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The results of a very simple mechanical system for daily data on the US
dollar versus the Mark (Forex market) is shown below. I am interested to
know what size account most people think would be needed to begin trading
this system.
Considering the stop loss and drawdown size, my impression is that an
account size of at least US$ 20,000 preferable close to $30,000 would be
needed. Do others think this is not enough, about right or excessively large?
Please assume that the system suits my psychology etc. All costs etc are
included in the results.
System is based on each trade of size US$100,000 (about 1 contract in futures)
Margin requirement = US$ 4,000
Stop loss at 210 points from entry - about US$ 1,300
Please note that what is represented as $ is actually points. Therefore
Total net profit - about US$ 30,000
Max drawdown - about US$ 4,500
First trade - march 1993 - till present
High-Low USDDEM-Daily 12/01/92 - 11/05/97
Performance Summary: All Trades
Total net profit $ 4829.00 Open position P/L $ 687.00
Gross profit $ 7848.00 Gross loss $ -3019.00
Total # of trades 31 Percent profitable 39%
Number winning trades 12 Number losing trades 19
Largest winning trade $ 1573.00 Largest losing trade $ -170.00
Average winning trade $ 654.00 Average losing trade $ -158.89
Ratio avg win/avg loss 4.12 Avg trade(win & loss) $ 155.77
Max consec. winners 3 Max consec. losers 4
Avg # bars in winners 72 Avg # bars in losers 7
Max intraday drawdown $ -716.00
Profit factor 2.60 Max # contracts held 1
Account size required $ 716.00 Return on account 674%
Performance Summary: Long Trades
Total net profit $ 3056.00 Open position P/L $ 0.00
Gross profit $ 4302.00 Gross loss $ -1246.00
Total # of trades 15 Percent profitable 47%
Number winning trades 7 Number losing trades 8
Largest winning trade $ 1365.00 Largest losing trade $ -170.00
Average winning trade $ 614.57 Average losing trade $ -155.75
Ratio avg win/avg loss 3.95 Avg trade(win & loss) $ 203.73
Max consec. winners 2 Max consec. losers 3
Avg # bars in winners 67 Avg # bars in losers 9
Max intraday drawdown $ -546.00
Profit factor 3.45 Max # contracts held 1
Account size required $ 546.00 Return on account 560%
Performance Summary: Short Trades
Total net profit $ 1773.00 Open position P/L $ 687.00
Gross profit $ 3546.00 Gross loss $ -1773.00
Total # of trades 16 Percent profitable 31%
Number winning trades 5 Number losing trades 11
Largest winning trade $ 1573.00 Largest losing trade $ -170.00
Average winning trade $ 709.20 Average losing trade $ -161.18
Ratio avg win/avg loss 4.40 Avg trade(win & loss) $ 110.81
Max consec. winners 1 Max consec. losers 3
Avg # bars in winners 78 Avg # bars in losers 6
Max intraday drawdown $ -745.00
Profit factor 2.00 Max # contracts held 1
Account size required $ 745.00 Return on account 238%
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