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John, i think this is wrong. you don't need 100 trades to see if a system works or is stable. for example some trend-following systems applied to the treasury future 10yr daily data for the past 15 years have only 15 closed trades. Is this a weak system? I
don't think so because one key element to profits is commision, so keep them low.
"John Manasco" <john@xxxxxxxxxxx>@metastock.com on 06/11/2001 01:42:45 PM
Please respond to metastock@xxxxxxxxxxxxx
Sent by: owner-metastock@xxxxxxxxxxxxx
To: <metastock@xxxxxxxxxxxxx>
cc:
Subject: Re: QQQ system test
Your number of tests are statistically insignificant and therefore useless in determining the worth of your system. Show me a report with at least 100 trades that have occurred in both up and down markets.
John Manasco
----- Original Message -----
From: Taylan Sekerci
To: metastock@xxxxxxxxxxxxx
Sent: Sunday, June 10, 2001 8:22 AM
Subject: QQQ system test
HI, HERE AT BELOW I'D CREATED THREE SLOW ACTING SYSTEM TESTS FOR QQQ. IF ANY ONE INTERESTS ONE OF THESE TESTS I CAN WRITE THE DETAILS.
YOURS,
TAYLAN SEKERCI,
System Report - 1_QQQ____28.5.2001
Item Value Item Value
Total net profit 1431.98 Open position value 576.12
Percent gain/loss 143.2 Annual percent gain/loss 64.69
Initial investment 1000 Interest earned 0
Current position Long Date position entered 05.04.2001
Buy/Hold profit -42.5 Days in test 808
Buy/Hold pct gain/loss -4.25 Annual B/H pct gain/loss -1.92
Total closed trades 8 Commissions paid 50.27
Avg profit per trade 106.98 Avg Win/Avg Loss ratio 178.59
Total long trades 8 Total short trades 0
Winning long trades 5 Winning short trades 0
Total winning trades 5 Total losing trades 3
Amount of winning trades 858.75 Amount of losing trades -2.89
Average win 171.75 Average loss -0.96
Largest win 403.65 Largest loss -2.05
Average length of win 21.6 Average length of loss 9.33
Longest winning trade 40 Longest losing trade 21
Most consecutive wins 3 Most consecutive losses 1
Total bars out 404 Average length out 44.89
Longest out period 70
System close drawdown -0.58 Profit/Loss index 99.8
System open drawdown -0.58 Reward/Risk index 99.96
Max open trade drawdown -145.33 Buy/Hold index 4824.66
__________________________________________________________
System Report - 2_QQQ___28.5.2001
Item Value Item Value
Total net profit 2328.2 Open position value 227.51
Percent gain/loss 232.82 Annual percent gain/loss 105.17
Initial investment 1000 Interest earned 0
Current position Long Date position entered 11.05.2001
Buy/Hold profit -425 Days in test 808
Buy/Hold pct gain/loss -4.25 Annual B/H pct gain/loss -1.92
Total closed trades 17 Commissions paid 128.45
Avg profit per trade 123.57 Avg Win/Avg Loss ratio 2.2
Total long trades 17 Total short trades 0
Winning long trades 13 Winning short trades 0
Total winning trades 13 Total losing trades 4
Amount of winning trades 2442.12 Amount of losing trades -341.43
Average win 187.86 Average loss -85.36
Largest win 707.87 Largest loss -169.08
Average length of win 12.62 Average length of loss 12.25
Longest winning trade 28 Longest losing trade 17
Most consecutive wins 7 Most consecutive losses 1
Total bars out 370 Average length out 20.56
Longest out period 45
System close drawdown 0 Profit/Loss index 87.21
System open drawdown -55.63 Reward/Risk index 97.67
Max open trade drawdown -164.29 Buy/Hold index 6113.08
System Report - 3_QQQ___4.6.2001
Item Value Item Value
Total net profit 1734.27 Open position value 55.49
Percent gain/loss 173.43 Annual percent gain/loss 78.34
Initial investment 1000 Interest earned 0
Current position Long Date position entered 17.05.2001
Buy/Hold profit -42.5 Days in test 808
Buy/Hold pct gain/loss -4.25 Annual B/H pct gain/loss -1.92
Total closed trades 24 Commissions paid 175.06
Avg profit per trade 69.95 Avg Win/Avg Loss ratio 4.94
Total long trades 24 Total short trades 0
Winning long trades 11 Winning short trades 0
Total winning trades 11 Total losing trades 13
Amount of winning trades 2207.3 Amount of losing trades -528.52
Average win 200.66 Average loss -40.66
Largest win 665.05 Largest loss -171.93
Average length of win 17.36 Average length of loss 6.38
Longest winning trade 31 Longest losing trade 17
Most consecutive wins 3 Most consecutive losses 3
Total bars out 327 Average length out 13.08
Longest out period 41
System close drawdown -17.11 Profit/Loss index 76.64
System open drawdown -71.2 Reward/Risk index 96.06
Max open trade drawdown -267.9 Buy/Hold index 4310.94
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(See attached file: Mısır Arkaplan.jpg)
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