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JD,
For one thing all you should be looking at a system
that can go both short and long. What do you plan on
doing in a bear market? Put it in Cash?
What if you were to buy and hold the DOW for 3 years?
What would the return have been? 28 trades is not a
lot for three years, is it?
Just some thoughts.
JS
--- Jonathan s Dempster <jd@xxxxxxxxxxxxxxxxxxxxx>
wrote:
> Group, find attached summary of END OF DAY
> trading system on Dow, i would like those who take
> an interest to highlight the Weakness and any
> potential strenghts. I realise the data is only 3
> years duration, and the bull run, and there is
> also a 6 (month due to theft ) gap in that, so
> effectively there is 30 months of daily price
> activity on which these hypothectical results are
> based, so if anyone has a end of day o,h,l,c
> data for the DAILY dow and they could send it that
> would be great, say from todays close going back
> 12 months, that would fill the gap in my data and
> enable me to see how it did on on the missing
> months, until i get a new data supplier arranged,
>
>
>
> Data used is END OF DAY,
> Omega supercharts.
>
> DA----Y-Daily 10/02/96 - 06/30/99
>
> Performance Summary: All Trades
>
> Total net profit $ 42040.00 Open position P/L $
> 0.00
> Gross profit $ 47680.00 Gross loss $
> -5640.00
>
> Total # of trades 28 Percent profitable
> 57%
> Number winning trades 16 Number losing trades
> 12
>
> Largest winning trade $ 2980.00 Largest losing
> trade $ -2220.00
> Average winning trade $ 2980.00 Average losing
> trade $ -470.00
> Ratio avg win/avg loss 6.34 Avg trade(win &
> loss) $ 1501.43
>
> Max consec. winners 4 Max consec. losers
> 4
> Avg # bars in winners 9 Avg # bars in losers
> 4
>
> Max intraday drawdown $ -4176.80
> Profit factor 8.45 Max # contracts held
> 1
> Account size required $ 4176.80 Return on account
> 1007%
>
>
> Performance Summary: Long Trades
>
> Total net profit $ 42040.00 Open position P/L $
> 0.00
> Gross profit $ 47680.00 Gross loss $
> -5640.00
>
> Total # of trades 28 Percent profitable
> 57%
> Number winning trades 16 Number losing trades
> 12
>
> Largest winning trade $ 2980.00 Largest losing
> trade $ -2220.00
> Average winning trade $ 2980.00 Average losing
> trade $ -470.00
> Ratio avg win/avg loss 6.34 Avg trade(win &
> loss) $ 1501.43
>
> Max consec. winners 4 Max consec. losers
> 4
> Avg # bars in winners 9 Avg # bars in losers
> 4
>
> Max intraday drawdown $ -4176.80
> Profit factor 8.45 Max # contracts held
> 1
> Account size required $ 4176.80 Return on account
> 1007%
>
>
---------------------------------------------------------------------------------------------------------------------------------------------------------------------------
>
> 2 trades exited on money management stops, the
> other 10 being break even stops (less 120.
> slippage, comm.) with floor @ $ 550.
>
> bouncing ticks @ 30%
> $120. slippage & commission allowance.
>
> if anyone can provide any "general rules of
> thumb" for evaluating simulated trading results,
> or if anyone knows of any sources of good
> information regarding pro's /con's of system
> trading etc, that would be welcomed.
>
>
> Any comments, data assistance , appreciated.
>
> Jonathan.
>
>
>
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