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The "4% System" gave a BUY signal at the close on Friday. As usual ( I repeat
AS USUAL ) I am extremely pessimistic about this signal. Incidentally, I have
been very pessimistic about the last three signals. ( This pessimism captures
the beauty of a mechanical trading system.)
The system stats are as follows (equity is in S&P points):
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4% SYSTEM S&P INDEX -Daily 01/05/84 - 07/24/98
Performance Summary: All Trades
Total net profit $ 627.43 Open position P/L $ 0.00
Gross profit $ 805.60 Gross loss $ -178.18
Total # of trades 65 Percent profitable 78%
Number winning trades 51 Number losing trades 14
Largest winning trade $ 45.29 Largest losing trade $ -26.01
Average winning trade $ 15.80 Average losing trade $ -12.73
Ratio avg win/avg loss 1.24 Avg trade(win & loss) $ 9.65
Max consec. winners 11 Max consec. losers 2
Avg # bars in winners 21 Avg # bars in losers 15
Max intraday drawdown $ -61.11
Profit factor 4.52 Max # contracts held 1
Account size required $ 61.11 Return on account 1027%
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The last three trades were:
01/12/98 Buy 1 939.210
01/21/98 LExit 1 978.600 $ 39.39
04/29/98 Buy 1 1094.620
05/28/98 LExit 1 1092.230 $ -2.39
06/16/98 Buy 1 1087.590
06/25/98 LExit 1 1132.880 $ 45.29
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The EasyLanguage Code has previously been reported here.
Best Regards,
Jerry Rehert (grehert@xxxxxxx)
Atlanta, GA
@ 05:31 pm, July 25th, 1998
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