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Same as for SP printout:
Test on intraday. here I would estimate real results to be:
winnings(190-40=150) - losses(40+40=80) = 70
Average trade per cotract is now 70.000/250/2= $140 or about 11 ticks if I am
correct.
Slippage will then become an issue to monitor very carefully.
But before everything check with intraday testing.
Gwenn
Jonathan Stewart Dempster a écrit:
> im sending it like this rather than as a file as some of you are having
> trouble opening the file...
>
> things to note.. no pyramiding, just a flat two contract buy and sell, i
> would look to scale up to 4 contracts etc,, with the increased equity but i
> havent Figured how to program that in....
> max intra day draw downs...????.
> its a relatively primtive first attempt for me,
> but i havent tried it on any others, i realise its not millions per annum
> but the equity stream was steady and consistent.
> my eyes ache.. all comments welcomed. JSD.
>
> data used bridge end of day,
>
>
> BRITISH POUND-Daily 07/01/88 - 07/17/98
>
> Performance Summary: All Trades
>
> Total net profit $ 149712.50 Open position P/L $ 0.00
> Gross profit $ 189600.00 Gross loss $ -39887.50
>
> Total # of trades 251 Percent profitable 83%
> Number winning trades 208 Number losing trades 43
>
> Largest winning trade $ 6987.50 Largest losing trade $ -1662.50
> Average winning trade $ 911.54 Average losing trade $ -927.62
> Ratio avg win/avg loss 0.98 Avg trade(win & loss)$ 596.46
>
> Max consec. winners 23 Max consec. losers 3
> Avg # bars in winners 1 Avg # bars in losers 1
>
> Max intraday drawdown $ -5787.50
> Profit factor 4.75 Max # contracts held 2
> Account size required $ 9787.50 Return on account 1530%
>
> Performance Summary: Long Trades
>
> Total net profit $ 59250.00 Open position P/L $ 0.00
> Gross profit $ 86700.00 Gross loss $ -27450.00
>
> Total # of trades 125 Percent profitable 78%
> Number winning trades 98 Number losing trades 27
>
> Largest winning trade $ 5412.50 Largest losing trade $ -1662.50
> Average winning trade $ 884.69 Average losing trade $ -1016.67
> Ratio avg win/avg loss 0.87 Avg trade(win & loss)$ 474.00
>
> Max consec. winners 15 Max consec. losers 3
> Avg # bars in winners 1 Avg # bars in losers 1
>
> Max intraday drawdown $ -4237.50
> Profit factor 3.16 Max # contracts held 2
> Account size required $ 8237.50 Return on account 719%
>
> Performance Summary: Short Trades
>
> Total net profit $ 90462.50 Open position P/L $ 0.00
> Gross profit $ 102900.00 Gross loss $ -12437.50
>
> Total # of trades 126 Percent profitable 87%
> Number winning trades 110 Number losing trades 16
>
> Largest winning trade $ 6987.50 Largest losing trade $ -1662.50
> Average winning trade $ 935.45 Average losing trade $ -777.34
> Ratio avg win/avg loss 1.20 Avg trade(win & loss)$ 717.96
>
> Max consec. winners 22 Max consec. losers 2
> Avg # bars in winners 1 Avg # bars in losers 1
>
> Max intraday drawdown $ -2462.50
> Profit factor 8.27 Max # contracts held 2
> Account size required $ 6462.50 Return on account 1400%
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