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Much of the apparent discrepancy appears to be due to Pruitt deducting $100
per trade for commission and slippage, and Ehlers not deducting anything.
Adjusting the data on Ehlers' website by $100 per trade, here are some
comparative numbers:
Average profit per trade: Ehlers: $214.56; Pruitt: $176.
Average profit per year: Ehlers: $40,336; Pruitt: $42,839.
Note that this is out of sample trading, after the system was released.
The time periods are slightly different; Ehlers' is September 1996 to
September 2001; Pruitt's is January 1997 to an unspecified date which
appears to be in the spring of 2001. Pruitt's maximum drawdown, including
the $100 deduction, is $24,600; Ehlers', without the deduction, is $22,607.
I'm not sure how plausibly the slightly different time periods can account
for the significant difference in average profit per trade, but the average
profit per year and drawdown figures are comparable.
One problem with R-Mesa is that the average profit per trade is quite low
after you deduct a reasonable amount for commission and slippage. T-Mesa
claims a per trade profit high enough to overcome this problem. Another
problem is that Ehlers recommends a $30,000 account for trading R-Mesa,
which sounds inappropriately low.
Assuming Pruitt's figures are correct, deducting a more realistic $200 per
trade yields an average profit of $76 per trade, which when multiplied by
242 trades (average) per year gives an average profit per year of $18,392.
Using the Futures Truth formula of return on three times margin, and using a
margin figure for the S&P contract of $21,563, R-Mesa has returned on
average 28 percent per year on capital, with a maximum historical drawdown
of 38 percent of capital.
Ehlers' T-Mesa numbers would look better than this because of the higher
average trade, but it was just recently released, so there is no significant
period of post-release performance to judge it by.
-----Original Message-----
From: M. Simms [mailto:prosys@xxxxxxxxxxxxxxxx]
Sent: Thursday, December 06, 2001 1:54 PM
To: Charles Johnson
Cc: omega-list@xxxxxxxxxx
Subject: RE: Asking too much ??
See attached....heated discussion and words.....with no resolution.
Granted, this was not the T-MESA system, but the previously highly-touted
R-MESA system.
Futures Truth / Futures published one set of results; Website had completely
DIFFERENT results...supposedly the same system.
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