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Hello Johan,
Can you please give us a TS performance report on the
actual futures symbol SP or ND, instead of the cash.
Then we can get an accurate idea of how this system of
yours performs. Using the cash index can be very
misleading as we all know.
Thanks,
Todd Hoff
<
<Date: Wed, 15 May 2002 08:22:14 -0500
From: "Johan Revor" <johan_revor@xxxxxxxxxxx>
To: omega-list@xxxxxxxxxx
Subject: New Market Breadth System Buries AudBall
AudBallers:
Too bad there is not a crystal ball that told AudBall
followers to use
inputs 6,3,3 on original AudBall for 2002 (my system
gives 8 bars per
day
SPX). They woulda made about $50K so far.
But still nothing to compare to my latest creation:
TradeStation Strategy Performance Report - Midas
INX-60 min.
1-01-02 to 5-14-02 using exact same inputs as ALL year
2001
Performance Summary: All Trades
Total Net Profit $82,960.00 Open position
P/L$8,162.50
Gross Profit$121,497.50 Gross Loss($38,537.50)
Total # of trades 91 Percent profitable 39.56%
Number winning trades 36 Number losing trades 55
Largest winning trade $9,430.00 Largest losing
trade($4,945.00)
Average winning trade $3,374.93 Average losing
trade($700.68)
Ratio avg win/avg loss 4.82 Avg trade (win & loss)
$911.65
Max consec. Winners 7 Max consec. losers 8
Avg # bars in winners 14 Avg # bars in losers 4
Max intraday drawdown ($6,640.00)
Profit Factor 3.15 Max # contracts held 1
Account size required $26,328.00 Return on account
315.10%
Performance Summary: Long Trades
Total Net Profit $30,122.50 Open position P/L
$8,162.50
Gross Profit $51,147.50 Gross Loss ($21,025.00)
Total # of trades 45 Percent profitable 35.56%
Number winning trades 16 Number losing trades 29
Largest winning trade $6,937.50 Largest losing trade
($4,945.00)
Average winning trade $3,196.72 Average losing trade
($725.00)
Ratio avg win/avg loss 4.41 Avg trade (win & loss
$669.39
Max consec. Winners 5 Max consec. losers 6
Avg # bars in winners 11 Avg # bars in losers 4
Max intraday drawdown ($9,932.50)
Profit Factor 2.43 Max # contracts held 1
Account size required $29,620.50 Return on account
101.69%
Performance Summary: Short Trades
Total Net Profit $52,837.50 Open position P/L $0.00
Gross Profit $70,350.00 Gross Loss($17,512.50)
Total # of trades 46 Percent profitable 43.48%
Number winning trades 20 Number losing trades 26
Largest winning trade $9,430.00 Largest losing trade
($2,890.00)
Average winning trade $3,517.50 Average losing
trade($673.56)
Ratio avg win/avg loss 5.22 Avg trade (win & loss)
$1,148.64
Max consec. Winners 4 Max consec. losers 5
Avg # bars in winners 16 Avg # bars in losers 4
Max intraday drawdown ($7,010.00)
Profit Factor 4.02 Max # contracts held 1
Account size required$26,698.00 Return on account
197.91%
Johan
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