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my, my... were you to post your code, you probably could actually discover
the emmense talent available among subscribers to tune it up... & a few
others who might use it without any contribution to its development. you
might also even be able to adapt it to dealing with a bear market (if we
were ever to have one again!), & effectively limiting drawdown to some
amount acceptable to an actual trader.
preston
----- Original Message -----
From: mark.keenan@xxxxxxxxxxxxxx
To: omega-list@xxxxxxxxxx
Sent: Wednesday, December 12, 2001 9:39 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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