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Since there is always something to comment on, how about the drawdown.
Profit/Drawdown is 3/1 (8/1 - 12/1 is mostly the range where I start to like
it).
Did you test "out of sample" with other periods and maybe other symbols ?
I especially like system that work on more than one commodity.
Thanks
Robert
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Robert Linders
Orlando, FL
email: mugsnug@xxxxxxxxx
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----- Original Message -----
From: <mark.keenan@xxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Wednesday, December 12, 2001 10:39 AM
Subject: Opinions on this system??
>
> Built this little system the other day and these are its results on WTI -
> (the system uses no stops)
>
> Being relatively unfamiliar with the Tradestation system report is there
> anything obviously wrong with this system or does it look promising
> (obviously with further refinement)
>
>
> Mark
>
>
>
> TradeStation Strategy Performance Report - MK Oscillator US@xxxxxxxxxx
> (10/01/2000-11/12/2001)
>
> Performance Summary: All Trades
>
> Total Net Profit $128,810.00 Open position P/L
> ($29,370.00)
> Gross Profit $144,450.00 Gross Loss ($15,640.00)
>
> Total # of trades 88 Percent profitable 80.68%
> Number winning trades 71 Number losing trades 17
>
> Largest winning trade $5,180.00 Largest losing trade
> ($2,690.00)
> Average winning trade $2,034.51 Average losing trade
> ($920.00)
> Ratio avg win/avg loss 2.21 Avg trade (win & loss)
> $1,463.75
>
> Max consec. Winners 28 Max consec. losers 6
> Avg # bars in winners 13 Avg # bars in losers 29
>
> Max intraday drawdown ($41,780.00)
> Profit Factor 9.24 Max # contracts held 13
> Account size required $41,780.00 Return on account
> 308.31%
>
>
>
>
> Strategy Analysis
>
> Net Profit $128,810.00 Open Position
> ($30,470.00)
> Gross Profit $144,450.00 Interest Earned
> $4,753.46
> Gross Loss ($15,640.00) Commission Paid
> $0.00
>
> Percent profitable 80.68% Profit factor 9.24
>
> Ratio avg. win/avg. loss 2.21 Adjusted profit factor
> 6.55
>
> Annual Rate of Return 73.90% Sharpe Ratio
> N/A
> Return on Initial Capital 128.81% Return Retracement
> Ratio 5.83
> Return on Max. Drawdown 274.88% K-Ratio N/A
>
> Buy/Hold return -33.80% RINA Index
> 86.14
> Cumulative return 466.70% Percent in the market
> 68.95%
>
> Adjusted Net Profit $107,873.68 Select Net Profit
> $128,810.00
> Adjusted Gross Profit $127,306.94 Select Gross
Profit
> $144,450.00
> Adjusted Gross Loss ($19,433.26) Select Gross Loss
> ($15,640.00)
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