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I have come up with a better system than the 4% system but I don't have time
to give the details. Check out these STATS:
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KR UP&DN S&P INDEX ///-Daily 01/05/91 - 08/07/98
Performance Summary: All Trades
Total net profit $ 479.14 Open position P/L $ 8.02
Gross profit $ 521.86 Gross loss $ -42.72
Total # of trades 54 Percent profitable 70%
Number winning trades 38 Number losing trades 16
Largest winning trade $ 91.26 Largest losing trade $ -7.40
Average winning trade $ 13.73 Average losing trade $ -2.67
Ratio avg win/avg loss 5.14 Avg trade(win & loss) $ 8.87
Max consec. winners 7 Max consec. losers 3
Avg # bars in winners 3 Avg # bars in losers 3
Max intraday drawdown $ -23.00
Profit factor 12.22 Max # contracts held 1
Account size required $ 23.00 Return on account 2083%
Performance Summary: Long Trades
Total net profit $ 234.12 Open position P/L $ 8.02
Gross profit $ 235.73 Gross loss $ -1.61
Total # of trades 21 Percent profitable 90%
Number winning trades 19 Number losing trades 2
Largest winning trade $ 27.68 Largest losing trade $ -1.36
Average winning trade $ 12.41 Average losing trade $ -0.81
Ratio avg win/avg loss 15.41 Avg trade(win & loss) $ 11.15
Max consec. winners 13 Max consec. losers 2
Avg # bars in winners 4 Avg # bars in losers 2
Max intraday drawdown $ -21.36
Profit factor 146.42 Max # contracts held 1
Account size required $ 21.36 Return on account 1096%
Performance Summary: Short Trades
Total net profit $ 245.02 Open position P/L $ 0.00
Gross profit $ 286.13 Gross loss $ -41.11
Total # of trades 33 Percent profitable 58%
Number winning trades 19 Number losing trades 14
Largest winning trade $ 91.26 Largest losing trade $ -7.40
Average winning trade $ 15.06 Average losing trade $ -2.94
Ratio avg win/avg loss 5.13 Avg trade(win & loss) $ 7.42
Max consec. winners 4 Max consec. losers 4
Avg # bars in winners 3 Avg # bars in losers 3
Max intraday drawdown $ -20.04
Profit factor 6.96 Max # contracts held 1
Account size required $ 20.04 Return on account 1223%
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I'll post it when I get some time. (Have you ever seen a Profit Factor of
146?)
Best regards,
Jerry Rehert (grehert@xxxxxxx)
Check out my WebPage (UPDATED 8/2/98): http://members.aol.com/grehert/
August 8th, 1998 @ 07:42 pm
Atlanta,GA
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