Trading Blox Summary Test Results

**Stepped Parameter Summary Performance**
Test	Ending Balance	CAGR%	MAR	Modified Sharpe	Annual Sharpe	Max Total Equity DD	Longest Drawdown	# Trades	RAR	R3	R Sharpe

1	13,019,490.18	33.08%	0.90	1.01	0.71	36.9%	21.1	2,170	31.79	1.22	0.94

**Yearly Performance Summary**
Year	Days	Closed Balance	End Total Equity	Total Equity Gain	Gain %	# Trades

1996	366	324,529.00	349,469.40	99,469.40	39.8%	128
1997	365	546,931.85	647,675.73	298,206.33	85.3%	148
1998	365	988,827.02	1,119,783.42	472,107.69	72.9%	151
1999	365	962,209.81	1,028,509.81	-91,273.61	-8.2%	163
2000	366	1,153,026.58	1,453,880.33	425,370.52	41.4%	167
2001	365	2,296,369.75	2,537,352.25	1,083,471.92	74.5%	158
2002	365	2,492,892.15	3,004,333.90	466,981.64	18.4%	153
2003	365	4,218,866.48	5,077,344.98	2,073,011.09	69.0%	149
2004	366	5,918,926.87	6,201,409.37	1,124,064.38	22.1%	162
2005	365	5,858,789.35	6,108,337.35	-93,072.01	-1.5%	154
2006	365	5,336,051.54	5,658,406.79	-449,930.56	-7.4%	167
2007	365	6,413,978.14	6,771,523.64	1,113,116.85	19.7%	164
2008	366	13,730,072.01	15,348,267.33	8,576,743.69	126.7%	158
2009	303	13,019,490.18	13,019,490.18	-2,328,777.15	-15.2%	148

Trading Performance

RAR %	31.79%
R-Cubed	1.22
Average Max Drawdown %	32.04%
Average Max Drawdown Length	9.75
Robust Sharpe Ratio	0.94

CAGR %	33.08%
Maximum Total Equity Drawdown %	36.87%
MAR Ratio	0.90

Margin to Equity Ratio	52.83%
Daily Return %	0.1308%
Daily Geometric Return %	0.1096%
Daily Standard Deviation %	2.06%
Daily Downside Deviation %	1.42%
Daily Sharpe %	0.06
Daily Sortino %	0.09

Modified Sharpe Ratio	1.01
Annual Sharpe Ratio	0.71
Annual Sortino Ratio	5.38
Monthly Sharpe Ratio	0.27
Monthly Sortino Ratio	0.59
Calmar Ratio	1.22
R-Squared	0.957

Longest Total Equity Drawdown (months)	21.14
Maximum Monthly Total Equity Drawdown %	27.02%
Maximum Monthly Closed Equity Drawdown %	24.20%
Maximum Closed Equity Drawdown %	29.36%
Average Closed Equity Drawdown %	6.71%

Round Turns Per Million	3,172
Round Turns	156,433
Total Trades	2,170

Start Account Balance	250,000.00
Total Win Dollars	57,776,971.61
Total Loss Dollars	47,215,600.54
Total Profit	10,561,371.07
Earned Interest	2,208,119.11
Margin Interest	0.00
End Account Balance	13,019,490.18
End Open Equity	0.00
End Total Equity	13,019,490.18

Highest Total Equity	16,183,822.34
Highest Closed Equity	14,168,355.87

Total Commissions	1,955,412.50
Commission per Round Turn	12.50
Total Slippage	4,106,728.13
Slippage per Round Turn	26.25
Total Forex Carry	0.00
Total Dividends	0.00
Total Other Expenses	0.00

Monte Carlo Confidence Level Statistics

90% Return	19.70%
90% Sharpe	-0.05
90% MAR	0.38
90% R Squared	0.832
90% Maximum Drawdown	55.34%
90% Second Largest Drawdown	43.75%
90% Third Largest Drawdown	37.91%
90% Longest Drawdown	36.6
90% Second Longest Drawdown	18.6
90% Third Longest Drawdown	13.2

Test Period

First Test Date	1996-01-01
Last Test Date	2009-10-30

Custom Statistics

RAR	31.79
R3	1.22
R Sharpe	0.94

Win/Loss Statistics

Wins	824	38.0%
Losses	1346	62.0%

Total	2170	100.0%

Winning Months	92	55.4%
Losing Months	74	44.6%

Total	166	100.0%

Average Risk Percent	1.00%
Average Win Percent	1.85%
Average Loss Percent	0.83%
Average Win Dollars	70,117.68
Average Loss Dollars	35,078.46
Average Trade Percent	0.19%
Average Trade Dollars	4,866.99

Profit Factor	1.22
Percent Profit Factor	1.37
Expectation	0.19

Equity Management


Test Starting Equity	250,000.00
Order Generation Equity	0.00
Order Generation Equity High	0.00
Leverage (fraction)	1.00
Trading Equity Base	Total Equity
Drawdown Reduction Threshold (%)	0.00%
Drawdown Reduction Amount (%)	0.00%

Global Simulation Parameters

Earn Interest	TRUE
Earn Dividends	FALSE
Pay Margin on Stocks	TRUE
Commission per Stock Trade	0.00
Commission per Stock Share	0.01
Commission per Contract	12.50
Commission by Stock Value (%)	0.00%
Slippage Percent	5.00%
Minimum Slippage	0.00
Forex Trade Size	1,000.00
Account for Forex Carry	FALSE
Use Pip Based Slippage	FALSE

Account for Contract Rolls	TRUE
Roll Slippage in % of ATR	5.00%

Minimum Stock Volume	10,000
Minimum Futures Volume	1,000
Max Percent Volume Per Trade	25.00%
Entry Day Retracement	0.00%
Max Margin Equity	100.00%
Trade on Lock Days	FALSE
Convert Profit by Stock Split	TRUE
Trade Always on Tick	TRUE
Smart Fill Exit	FALSE
Use Start Date Stepping	FALSE
Use Broker Positions	FALSE

Preferences

Risk Free Rate	3.00%
Load Volume	TRUE
Load Unadjusted Close	TRUE
Raise Negative Data	TRUE
Process Weekly Bars	TRUE
Process Monthly Bars	TRUE
Process Daily Bars	TRUE
Process Weekends	TRUE
Additional Years of Data	5.00

**Instrument Performance Summary**
Symbol	Wins	%	Losses	%	Trades	Win Months	%	Loss Months	%	Avg. Win %	Avg. Loss %	Avg. Trade %	% Proft Factor

HG	27	33.8%	53	66.3%	80	87	52.4%	79	47.6%	2.40%	0.88%	0.23%	1.39
US	31	40.8%	45	59.2%	76	92	55.4%	74	44.6%	1.40%	0.70%	0.16%	1.38
S	29	36.7%	50	63.3%	79	88	53.0%	78	47.0%	1.95%	0.81%	0.20%	1.39
HU	30	37.0%	51	63.0%	81	92	55.4%	74	44.6%	1.74%	0.69%	0.21%	1.47
CD	23	28.7%	57	71.3%	80	83	50.0%	83	50.0%	2.39%	0.79%	0.13%	1.23
W	38	45.2%	46	54.8%	84	90	54.2%	76	45.8%	1.19%	0.78%	0.11%	1.27
KC	28	31.8%	60	68.2%	88	90	54.2%	76	45.8%	1.22%	0.76%	-0.13%	0.75
GC	36	46.2%	42	53.8%	78	91	54.8%	75	45.2%	1.82%	0.83%	0.40%	1.89
CL	32	45.7%	38	54.3%	70	99	59.6%	67	40.4%	1.92%	0.75%	0.47%	2.15
EC	33	45.8%	39	54.2%	72	89	53.6%	77	46.4%	1.64%	0.74%	0.35%	1.89
TY	32	49.2%	33	50.8%	65	101	60.8%	65	39.2%	1.80%	0.71%	0.52%	2.46
JY	30	39.0%	47	61.0%	77	91	54.8%	75	45.2%	1.85%	0.74%	0.27%	1.60
AD	28	37.8%	46	62.2%	74	96	57.8%	70	42.2%	2.34%	0.87%	0.35%	1.65
MP	33	42.3%	45	57.7%	78	100	60.2%	66	39.8%	1.48%	0.93%	0.09%	1.17
NG	37	46.8%	42	53.2%	79	89	53.6%	77	46.4%	1.54%	0.80%	0.29%	1.69
SB	2	22.2%	7	77.8%	9	158	95.2%	8	4.8%	2.52%	0.91%	-0.15%	0.79
LC	25	30.1%	58	69.9%	83	86	51.8%	80	48.2%	1.70%	0.88%	-0.10%	0.84
FC	23	29.5%	55	70.5%	78	93	56.0%	73	44.0%	2.20%	0.95%	-0.02%	0.97
HO	34	41.5%	48	58.5%	82	90	54.2%	76	45.8%	1.72%	0.80%	0.24%	1.51
ED	36	46.8%	41	53.2%	77	100	60.2%	66	39.8%	2.54%	0.93%	0.69%	2.39
CC	27	29.0%	66	71.0%	93	78	47.0%	88	53.0%	1.64%	0.89%	-0.15%	0.76
SF	35	41.2%	50	58.8%	85	89	53.6%	77	46.4%	1.43%	0.85%	0.09%	1.17
C	28	32.6%	58	67.4%	86	89	53.6%	77	46.4%	2.06%	0.88%	0.08%	1.13
CT	30	37.5%	50	62.5%	80	90	54.2%	76	45.8%	1.77%	0.76%	0.19%	1.40
SI	30	35.7%	54	64.3%	84	89	53.6%	77	46.4%	1.46%	0.82%	-0.00%	0.99
LH	30	38.5%	48	61.5%	78	93	56.0%	73	44.0%	2.17%	0.79%	0.35%	1.72
EM	28	31.8%	60	68.2%	88	90	54.2%	76	45.8%	3.42%	1.08%	0.35%	1.48
BP	29	33.7%	57	66.3%	86	82	49.4%	84	50.6%	1.71%	0.75%	0.08%	1.15

System Parameter Settings

Donchian Parameters

Allocation Percent	100.00%


Risk Per Trade (%)	1.00%


Entry Breakout (days)	22
Entry Offset (ATR)	-0.40
Stop (ATR)	1.80
Exit Breakout (days)	14
Exit Offset (ATR)	0.00
ATR (days)	39

Portfolio	Futures:All Liquid
MACD Long Average (days)	275
MACD Short Average (days)	75