Stepped Parameter Summary Performance
Test Ending Balance CAGR% MAR Modified Sharpe Annual Sharpe Max Total Equity DD Longest Drawdown # Trades RAR R3 R Sharpe
113,019,490.1833.08%0.901.010.7136.9%21.12,170 31.79 1.22 0.94

  




























Yearly Performance Summary
Year  Days  Closed Balance  End Total Equity  Total Equity Gain  Gain % # Trades
1996366324,529.00349,469.4099,469.4039.8%128
1997365546,931.85647,675.73298,206.3385.3%148
1998365988,827.021,119,783.42472,107.6972.9%151
1999365962,209.811,028,509.81-91,273.61-8.2%163
20003661,153,026.581,453,880.33425,370.5241.4%167
20013652,296,369.752,537,352.251,083,471.9274.5%158
20023652,492,892.153,004,333.90466,981.6418.4%153
20033654,218,866.485,077,344.982,073,011.0969.0%149
20043665,918,926.876,201,409.371,124,064.3822.1%162
20053655,858,789.356,108,337.35-93,072.01-1.5%154
20063655,336,051.545,658,406.79-449,930.56-7.4%167
20073656,413,978.146,771,523.641,113,116.8519.7%164
200836613,730,072.0115,348,267.338,576,743.69126.7%158
200930313,019,490.1813,019,490.18-2,328,777.15-15.2%148

Trading Performance
RAR %31.79%
R-Cubed1.22
Average Max Drawdown %32.04%
Average Max Drawdown Length9.75
Robust Sharpe Ratio0.94
CAGR %33.08%
Maximum Total Equity Drawdown %36.87%
MAR Ratio0.90
Margin to Equity Ratio52.83%
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 Ratio1.01
Annual Sharpe Ratio0.71
Annual Sortino Ratio5.38
Monthly Sharpe Ratio0.27
Monthly Sortino Ratio0.59
Calmar Ratio1.22
R-Squared0.957
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 Million3,172
Round Turns156,433
Total Trades2,170
Start Account Balance250,000.00
Total Win Dollars57,776,971.61
Total Loss Dollars47,215,600.54
Total Profit10,561,371.07
Earned Interest2,208,119.11
Margin Interest0.00
End Account Balance13,019,490.18
End Open Equity0.00
End Total Equity13,019,490.18
Highest Total Equity16,183,822.34
Highest Closed Equity14,168,355.87
Total Commissions1,955,412.50
Commission per Round Turn12.50
Total Slippage4,106,728.13
Slippage per Round Turn26.25
Total Forex Carry0.00
Total Dividends0.00
Total Other Expenses0.00

Monte Carlo Confidence Level Statistics
90% Return19.70%
90% Sharpe-0.05
90% MAR0.38
90% R Squared0.832
90% Maximum Drawdown55.34%
90% Second Largest Drawdown43.75%
90% Third Largest Drawdown37.91%
90% Longest Drawdown36.6
90% Second Longest Drawdown18.6
90% Third Longest Drawdown13.2

Test Period
First Test Date1996-01-01
Last Test Date2009-10-30

Custom Statistics
RAR31.79
R31.22
R Sharpe0.94

Win/Loss Statistics
Wins82438.0%
Losses134662.0%
Total2170100.0%
Winning Months9255.4%
Losing Months7444.6%
Total166100.0%
Average Risk Percent1.00%
Average Win Percent1.85%
Average Loss Percent0.83%
Average Win Dollars70,117.68
Average Loss Dollars35,078.46
Average Trade Percent0.19%
Average Trade Dollars4,866.99
Profit Factor1.22
Percent Profit Factor1.37
Expectation0.19

Equity Management
Test Starting Equity250,000.00
Order Generation Equity0.00
Order Generation Equity High0.00
Leverage (fraction)1.00
Trading Equity BaseTotal Equity
Drawdown Reduction Threshold (%)0.00%
Drawdown Reduction Amount (%)0.00%

Global Simulation Parameters
Earn InterestTRUE
Earn DividendsFALSE
Pay Margin on StocksTRUE
Commission per Stock Trade0.00
Commission per Stock Share0.01
Commission per Contract12.50
Commission by Stock Value (%)0.00%
Slippage Percent5.00%
Minimum Slippage0.00
Forex Trade Size1,000.00
Account for Forex CarryFALSE
Use Pip Based SlippageFALSE
Account for Contract RollsTRUE
Roll Slippage in % of ATR5.00%
Minimum Stock Volume10,000
Minimum Futures Volume1,000
Max Percent Volume Per Trade25.00%
Entry Day Retracement0.00%
Max Margin Equity100.00%
Trade on Lock DaysFALSE
Convert Profit by Stock SplitTRUE
Trade Always on TickTRUE
Smart Fill ExitFALSE
Use Start Date SteppingFALSE
Use Broker PositionsFALSE

Preferences
Risk Free Rate3.00%
Load VolumeTRUE
Load Unadjusted CloseTRUE
Raise Negative DataTRUE
Process Weekly BarsTRUE
Process Monthly BarsTRUE
Process Daily BarsTRUE
Process WeekendsTRUE
Additional Years of Data5.00

Instrument Performance Summary
Symbol  Wins  %  Losses  %  Trades  Win Months  %  Loss Months  %  Avg. Win %  Avg. Loss %  Avg. Trade %  % Proft Factor
HG2733.8%5366.3%808752.4%7947.6%2.40%0.88%0.23%1.39
US3140.8%4559.2%769255.4%7444.6%1.40%0.70%0.16%1.38
S2936.7%5063.3%798853.0%7847.0%1.95%0.81%0.20%1.39
HU3037.0%5163.0%819255.4%7444.6%1.74%0.69%0.21%1.47
CD2328.7%5771.3%808350.0%8350.0%2.39%0.79%0.13%1.23
W3845.2%4654.8%849054.2%7645.8%1.19%0.78%0.11%1.27
KC2831.8%6068.2%889054.2%7645.8%1.22%0.76%-0.13%0.75
GC3646.2%4253.8%789154.8%7545.2%1.82%0.83%0.40%1.89
CL3245.7%3854.3%709959.6%6740.4%1.92%0.75%0.47%2.15
EC3345.8%3954.2%728953.6%7746.4%1.64%0.74%0.35%1.89
TY3249.2%3350.8%6510160.8%6539.2%1.80%0.71%0.52%2.46
JY3039.0%4761.0%779154.8%7545.2%1.85%0.74%0.27%1.60
AD2837.8%4662.2%749657.8%7042.2%2.34%0.87%0.35%1.65
MP3342.3%4557.7%7810060.2%6639.8%1.48%0.93%0.09%1.17
NG3746.8%4253.2%798953.6%7746.4%1.54%0.80%0.29%1.69
SB222.2%777.8%915895.2%84.8%2.52%0.91%-0.15%0.79
LC2530.1%5869.9%838651.8%8048.2%1.70%0.88%-0.10%0.84
FC2329.5%5570.5%789356.0%7344.0%2.20%0.95%-0.02%0.97
HO3441.5%4858.5%829054.2%7645.8%1.72%0.80%0.24%1.51
ED3646.8%4153.2%7710060.2%6639.8%2.54%0.93%0.69%2.39
CC2729.0%6671.0%937847.0%8853.0%1.64%0.89%-0.15%0.76
SF3541.2%5058.8%858953.6%7746.4%1.43%0.85%0.09%1.17
C2832.6%5867.4%868953.6%7746.4%2.06%0.88%0.08%1.13
CT3037.5%5062.5%809054.2%7645.8%1.77%0.76%0.19%1.40
SI3035.7%5464.3%848953.6%7746.4%1.46%0.82%-0.00%0.99
LH3038.5%4861.5%789356.0%7344.0%2.17%0.79%0.35%1.72
EM2831.8%6068.2%889054.2%7645.8%3.42%1.08%0.35%1.48
BP2933.7%5766.3%868249.4%8450.6%1.71%0.75%0.08%1.15
System Parameter Settings
Donchian Parameters
Allocation Percent100.00%
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
PortfolioFutures:All Liquid
MACD Long Average (days)275
MACD Short Average (days)75

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