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Here is a trading system for coffee. I developed this using end of day data
on super charts. It uses a 2 cents money management stop ($750), and $100 for
slippage and commissions. No other assumptions used. I began paper trading
it today and the actual results were very similar to results given by
supercharts. There is a slight difference due to rounding. Let me know what
you think of the system. I think it look pretty good when you look at overall
profitability in relation to drawdown. Question is whether you could sit
through 6 losing trades in a row. Possibly.
I've given result for two time periods.
Marc'sCoffee Coffee 03/98-Daily 03/03/97 - 12/05/97
Performance Summary: All Trades
Total net profit $ 43917.13 Open position P/L $ 0.00
Gross profit $ 137910.88 Gross loss $ -93993.75
Total # of trades 286 Percent profitable 42%
Number winning trades 121 Number losing trades 165
Largest winning trade $ 6052.63 Largest losing trade $ -850.00
Average winning trade $ 1139.76 Average losing trade $ -569.66
Ratio avg win/avg loss 2.00 Avg trade(win & loss) $ 153.56
Max consec. winners 5 Max consec. losers 6
Avg # bars in winners 0 Avg # bars in losers 0
Max intraday drawdown $ -7036.13
Profit factor 1.47 Max # contracts held 1
Account size required $ 9286.13 Return on account 473%
Performance Summary: Long Trades
Total net profit $ 13264.50 Open position P/L $ 0.00
Gross profit $ 66976.13 Gross loss $ -53711.63
Total # of trades 159 Percent profitable 42%
Number winning trades 66 Number losing trades 93
Largest winning trade $ 3213.13 Largest losing trade $ -850.00
Average winning trade $ 1014.79 Average losing trade $ -577.54
Ratio avg win/avg loss 1.76 Avg trade(win & loss) $ 83.42
Max consec. winners 5 Max consec. losers 7
Avg # bars in winners 0 Avg # bars in losers 0
Max intraday drawdown $ -9622.13
Profit factor 1.25 Max # contracts held 1
Account size required $ 11872.13 Return on account 112%
Performance Summary: Short Trades
Total net profit $ 30652.63 Open position P/L $ 0.00
Gross profit $ 70934.75 Gross loss $ -40282.13
Total # of trades 127 Percent profitable 43%
Number winning trades 55 Number losing trades 72
Largest winning trade $ 6052.63 Largest losing trade $ -850.00
Average winning trade $ 1289.72 Average losing trade $ -559.47
Ratio avg win/avg loss 2.31 Avg trade(win & loss) $ 241.36
Max consec. winners 3 Max consec. losers 6
Avg # bars in winners 0 Avg # bars in losers 0
Max intraday drawdown $ -7720.00
Profit factor 1.76 Max # contracts held 1
Account size required $ 9970.00 Return on account 307%
Marc'sCoffee CFCONT.PRN-Daily 05/10/93 - 04/07/95
Performance Summary: All Trades
Total net profit $ 118442.50 Open position P/L $ 0.00
Gross profit $ 276567.50 Gross loss $-158125.00
Total # of trades 755 Percent profitable 46%
Number winning trades 346 Number losing trades 409
Largest winning trade $ 7643.75 Largest losing trade $ -850.00
Average winning trade $ 799.33 Average losing trade $ -386.61
Ratio avg win/avg loss 2.07 Avg trade(win & loss) $ 156.88
Max consec. winners 5 Max consec. losers 9
Avg # bars in winners 0 Avg # bars in losers 0
Max intraday drawdown $ -6395.00
Profit factor 1.75 Max # contracts held 1
Account size required $ 8645.00 Return on account 1370%
Performance Summary: Long Trades
Total net profit $ 57637.50 Open position P/L $ 0.00
Gross profit $ 135261.25 Gross loss $ -77623.75
Total # of trades 381 Percent profitable 48%
Number winning trades 182 Number losing trades 199
Largest winning trade $ 5843.75 Largest losing trade $ -850.00
Average winning trade $ 743.19 Average losing trade $ -390.07
Ratio avg win/avg loss 1.91 Avg trade(win & loss) $ 151.28
Max consec. winners 6 Max consec. losers 8
Avg # bars in winners 0 Avg # bars in losers 0
Max intraday drawdown $ -4790.00
Profit factor 1.74 Max # contracts held 1
Account size required $ 7040.00 Return on account 819%
Performance Summary: Short Trades
Total net profit $ 60805.00 Open position P/L $ 0.00
Gross profit $ 141306.25 Gross loss $ -80501.25
Total # of trades 374 Percent profitable 44%
Number winning trades 164 Number losing trades 210
Largest winning trade $ 7643.75 Largest losing trade $ -850.00
Average winning trade $ 861.62 Average losing trade $ -383.34
Ratio avg win/avg loss 2.25 Avg trade(win & loss) $ 162.58
Max consec. winners 5 Max consec. losers 8
Avg # bars in winners 0 Avg # bars in losers 0
Max intraday drawdown $ -6185.00
Profit factor 1.76 Max # contracts held 1
Account size required $ 8435.00 Return on account 721%
Marc
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