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this is the same system tested on the sp500, the only adjustment that i
made was that of margin, i set it to 20,000 per contract, im surpsised as
i havent even raised the stops etc to take account of the higher value of
the sp500. ill have a look this week sometime. JSD
S&P 500 INDEX-Daily 07/01/88 - 07/17/98
Performance Summary: All Trades
Total net profit $ 288600.00 Open position P/L $ 0.00
Gross profit $ 343060.00 Gross loss $ -54460.00
Total # of trades 257 Percent profitable 84%
Number winning trades 215 Number losing trades 42
Largest winning trade $ 11795.00 Largest losing trade $ -2195.00
Average winning trade $ 1595.63 Average losing trade $ -1296.67
Ratio avg win/avg loss 1.23 Avg trade(win & loss) $ 1122.96
Max consec. winners 28 Max consec. losers 2
Avg # bars in winners 1 Avg # bars in losers 1
Max intraday drawdown $ -5015.00
Profit factor 6.30 Max # contracts held 2
Account size required $ 45015.00 Return on account 641%
Performance Summary: Long Trades
Total net profit $ 147785.00 Open position P/L $ 0.00
Gross profit $ 172115.00 Gross loss $ -24330.00
Total # of trades 128 Percent profitable 83%
Number winning trades 106 Number losing trades 22
Largest winning trade $ 11080.00 Largest losing trade $ -2195.00
Average winning trade $ 1623.73 Average losing trade $ -1105.91
Ratio avg win/avg loss 1.47 Avg trade(win & loss) $ 1154.57
Max consec. winners 21 Max consec. losers 3
Avg # bars in winners 1 Avg # bars in losers 1
Max intraday drawdown $ -5405.00
Profit factor 7.07 Max # contracts held 2
Account size required $ 45405.00 Return on account 325%
Performance Summary: Short Trades
Total net profit $ 140815.00 Open position P/L $ 0.00
Gross profit $ 170945.00 Gross loss $ -30130.00
Total # of trades 129 Percent profitable 84%
Number winning trades 109 Number losing trades 20
Largest winning trade $ 11795.00 Largest losing trade $ -1695.00
Average winning trade $ 1568.30 Average losing trade $ -1506.50
Ratio avg win/avg loss 1.04 Avg trade(win & loss) $ 1091.59
Max consec. winners 22 Max consec. losers 3
Avg # bars in winners 1 Avg # bars in losers 1
Max intraday drawdown $ -4760.00
Profit factor 5.67 Max # contracts held 2
Account size required $ 44760.00 Return on account 315%
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