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Just from looking at these numbers, I see you enter and exit the same day? Any
such system has to be tested intraday, as daily bars are virtual bars, not
reflecting real price action, which means trades registered as winners could
have been losers. If 20% of these are losers, one could "guess-timate" profits
at 344-70=274 and losses at 54+70=124 or 150 net profit or half your number at
best.
As long as you haven't tested with intraday data on a 30min or less timeframe,
these numbers remain fully theoretical.
Best to you
Gwenn
Jonathan Stewart Dempster a écrit:
> 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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