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:Just from looking at charts.. I have been watching gaps... I put this idea
:on 60 minute charts..Was wondering if someone could test it on 60 minute
:data and see how it holds up...I am open to any suggestions...thanks
Suggest you use 10 points rather than 100.
Test SPX-90 min 06/05/96 - 12/01/98
Performance Summary: All Trades
Total net profit $ 123780.00 Open position P/L $ 2850.00
Gross profit $ 338715.00 Gross loss $-214935.00
Total # of trades 266 Percent profitable 33%
Number winning trades 88 Number losing trades 178
Largest winning trade $ 20387.50 Largest losing trade $ -4385.00
Average winning trade $ 3849.03 Average losing trade $ -1207.50
Ratio avg win/avg loss 3.19 Avg trade(win & loss) $ 465.34
Max consec. winners 4 Max consec. losers 13
Avg # bars in winners 18 Avg # bars in losers 4
Max intraday drawdown $ -20887.50
Profit factor 1.58 Max # contracts held 1
Account size required $ 33587.50 Return on account 369%
Performance Summary: Long Trades
Total net profit $ 120165.00 Open position P/L $ 2850.00
Gross profit $ 231312.50 Gross loss $-111147.50
Total # of trades 151 Percent profitable 34%
Number winning trades 52 Number losing trades 99
Largest winning trade $ 15347.50 Largest losing trade $ -3780.00
Average winning trade $ 4448.32 Average losing trade $ -1122.70
Ratio avg win/avg loss 3.96 Avg trade(win & loss) $ 795.79
Max consec. winners 3 Max consec. losers 10
Avg # bars in winners 22 Avg # bars in losers 4
Max intraday drawdown $ -15757.50
Profit factor 2.08 Max # contracts held 1
Account size required $ 28457.50 Return on account 422%
Performance Summary: Short Trades
Total net profit $ 3615.00 Open position P/L $ 0.00
Gross profit $ 107402.50 Gross loss $-103787.50
Total # of trades 115 Percent profitable 31%
Number winning trades 36 Number losing trades 79
Largest winning trade $ 20387.50 Largest losing trade $ -4385.00
Average winning trade $ 2983.40 Average losing trade $ -1313.77
Ratio avg win/avg loss 2.27 Avg trade(win & loss) $ 31.43
Max consec. winners 6 Max consec. losers 11
Avg # bars in winners 12 Avg # bars in losers 4
Max intraday drawdown $ -28067.50
Profit factor 1.03 Max # contracts held 1
Account size required $ 40767.50 Return on account 9%
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