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My opinion is that if this is optimized results then it means one thing if
it is forward
tested it means something else.
-----Original Message-----
From: Douglas Dubell [mailto:ddubell@xxxxxxxxxxx]
Sent: Wednesday, September 22, 2004 6:27 PM
To: omega-list@xxxxxxxxxx
Subject: Opinions on system results if so inclined - TIA
SPY - 100 shares per trade
also ran on e-mini with similar results
>TradeStation Performance Summary - 07/01/1998-09/22/2004
>
> All Trades Long Trades Short Trades
>Total Net Profit $9,458.00 $4,895.00 $4,563.00
>Gross Profit $11,591.00 $6,170.00 $5,421.00
>Gross Loss ($2,133.00) ($1,275.00) ($858.00)
>Profit Factor 5.43 4.84 6.32
>
>Open Position P/L $0.00 $0.00 $0.00
>
>Select Total Net Profit$6,676.00 $3,277.00 $3,399.00
>Select Gross Profit $8,809.00 $4,552.00 $4,257.00
>Select Gross Loss ($2,133.00)($1,275.00)($858.00)
>Select Profit Factor 4.13 4.96
>
>Adjusted Total Net Profit$7,740.01 $3,654.95 $3,368.44
>Adjusted Gross Profit $10,362.36 $5,314.37 $4,529.79
>Adjusted Gross Loss ($2,622.34) ($1,659.43) ($1,161.35)
>Adjusted Profit Factor 3.2 3.9
>
>Total Number of Trades 108 63 45
>Percent Profitable 82.41% 82.54% 82.22%
>Winning Trades 89 52 37
>Losing Trades 19 11 8
>Even Trades 0 0 0
>
>Avg. Trade Net Profit $87.57 $77.70 $101.40
>Avg. Winning Trade $130.24 $118.65 $146.51
>Avg. Losing Trade ($112.26) ($115.91) ($107.25)
>Ratio Avg. Winning:Avg. Losing 1.16 1.02 1.37
>Largest Winning Trade $1,164.00 $913.00 $1,164.00
>Largest Losing Trade ($319.00) ($319.00) ($311.00)
>Largest Winner as % of Gross Profit 10.04% 14.80% 21.47%
>Largest Loser as % of Gross Loss 14.96% 25.02% 36.25%
>
>Net Profit as % of Largest Loss 1534.48% 1467.20%
>Select Net Profit as % of Largest Loss 2092.79% 1027.27% 1092.93%
>Adjusted Net Profit as % of Largest Loss 2426.34% 1145.75% 1083.10%
>
>Max. Consecutive Winning Trades25 19 24
>Max. Consecutive Losing Trades 2 1 2
>Avg. Bars in Total Trades 33.11 33.76 32.2
>Avg. Bars in Winning Trades 34.11 34.79 33.16
>Avg. Bars in Losing Trades 28.42 28.91 27.75
>Avg. Bars in Even Trades 0 0 0
>
>Max. Shares/Contracts Held 100 100 100
>Account Size Required $323.00 $319.00 $323.00
>Total Slippage $0.00 $0.00 $0.00
>Total Commission $0.00 $0.00 $0.00
>
>Return on Initial Capital 9.46%
>Annual Rate of Return 1.46%
>Buy & Hold Return -9.19%
>Return on Account 2928.17%
>Avg. Monthly Return $129.28
>Std. Deviation of Monthly Return $227.36
>
>Return Retracement Ratio 0.25
>RINA Index 331.68
>Sharpe Ratio -0.07
>K-Ratio n/a
>
>Trading Period 6 Yrs, 2 Mths, 1 Dy, 4 Hrs, 15 Mins
>Percent of Time in the Market 15.57%
>Time in the Market 11 Mths, 16 Dys
>Longest Flat Period 85 Dys, 1 Hr, 30 Mins
>
>Max. Equity Run-up $10,235.00
>Date of Max. Equity Run-up 7/22/2004 9:00
>Max. Equity Run-up as % of Initial Capital 10.24%
>
>Max. Drawdown (Intra-day Peak to Valley)
>Value ($1,188.00) ($1,069.00) ($1,188.00)
>Date 10/26/2001 11:30
>as % of Initial Capital 1.19% 1.19% 1.07%
>Net Profit as % of Drawdown 796.13% 457.90% 384.09%
>Select Net Profit as % of Drawdown 561.95% 306.55% 286.11%
>Adjusted Net Profit as % of Drawdown 651.52% 341.90%
>
>Max. Drawdown (Trade Close to Trade Close)
>Value ($323.00) ($319.00) ($323.00)
>Date 2/11/2003 11:00
>as % of Initial Capital 0.32% 0.32% 0.32%
>Net Profit as % of Drawdown 2928.17% 1534.48% 1412.69%
>Select Net Profit as % of Drawdown 2066.87% 1027.27% 1052.32%
>Adjusted Net Profit as % of Drawdown 2396.29% 1145.75% 1042.86%
>
>Max. Trade Drawdown ($885.00) ($885.00) ($399.00)
>
>
>
>All Trades
>
>Total Net Profit $9,458.00 Profit Factor 5.43
>Gross Profit $11,591.00 Gross Loss ($2,133.00)
>
>Open Position Profit/Loss $0.00
>
>Select Total Net Profit $6,676.00 Select Profit Factor 4.13
>Select Gross Profit $8,809.00 Select Gross Loss ($2,133.00)
>
>Adjusted Total Net Profit $7,740.01 Adjusted Profit Factor
>Adjusted Gross Profit $10,362.36 Adjusted Gross Loss ($2,622.34)
>
>Total Number of Trades 108 Percent Profitable 82.41%
>Winning Trades 89 Losing Trades 19
>Even Trades 0
>
>Avg. Trade Net Profit $87.57 Ratio Avg. Win:Avg. Loss 1.16
>Avg. Winning Trade $130.24 Avg. Losing Trade ($112.26)
>Largest Winning Trade $1,164.00 Largest Losing Trade ($319.00)
>Largest Winner as % of Gross Profit 10.04% Largest Loser as % of Gross
>Loss 14.96%
>
>Net Profit as % of Largest Loss
>Slct. Net Profit as % of Largest Loss 2092.79% Adj. Net Profit as % of
>Largest Loss 2426.34%
>
>Max. Consecutive Winning Trades 25 Max. Consecutive Losing Trades 2
>Avg. Bars in Winning Trades 34.11 Avg. Bars in Losing Trades 28.42
>Avg. Bars in Total Trades 33.11
>
>Max. Shares/Contracts Held 100 Account Size Required $323.00
>Total Commission $0.00 Total Slippage $0.00
>
>Return on Initial Capital 9.46% Annual Rate of Return 1.46%
>Buy and Hold Return -9.19% Return on Account 2928.17%
>Avg. Monthly Return $129.28 Std. Deviation of Monthly Return $227.36
>
>Return Retracement Ratio 0.25 RINA Index 331.68
>Sharpe Ratio -0.07 K-Ratio n/a
>
>Trading Period 6 Yrs, 2 Mths, 1 Dy, 4 Hrs, 15 Mins Percent of Time in
>the Market 15.57%
>Time in the Market 11 Mths, 16 Dys Longest Flat Period 85 Dys, 1 Hr, 30
>Mins
>
>Max. Equity Run-up $10,235.00
>Date of Max. E. Run-up 7/22/2004 9:00 Max. E. Run-up as % of Initial
>Capital 10.24%
>
>Max. Drawdown (Intra-day Peak to Valley) Max. Drawdown (Trade Close to
>Trade Close)
>Value ($1,188.00) Value ($323.00)
>Date 10/26/2001 11:30 Date 2/11/2003 11:00
>as % of Initial Capital 1.19% as % of Initial Capital 0.32%
>Net Profit as % of Drawdown 796.13% Net Profit as % of Drawdown 2928.17%
>Slct. Net Profit as % of Drawdown 561.95% Slct. Net Profit as % of
>Drawdown 2066.87%
>Adj. Net Prof as % of Drawdown 651.52% Adj. Net Profit as % of
>Drawdown 2396.29%
>
>Max. Trade Drawdown ($885.00)
>
>Long Trades
>
>Total Net Profit $4,895.00 Profit Factor 4.84
>Gross Profit $6,170.00 Gross Loss ($1,275.00)
>
>Open Position Profit/Loss $0.00
>
>Select Total Net Profit $3,277.00 Select Profit Factor
>Select Gross Profit $4,552.00 Select Gross Loss ($1,275.00)
>
>Adjusted Total Net Profit $3,654.95 Adjusted Profit Factor 3.2
>Adjusted Gross Profit $5,314.37 Adjusted Gross Loss ($1,659.43)
>
>Total Number of Trades 63 Percent Profitable 82.54%
>Winning Trades 52 Losing Trades 11
>Even Trades 0
>
>Avg. Trade Net Profit $77.70 Ratio Avg. Win:Avg. Loss 1.02
>Avg. Winning Trade $118.65 Avg. Losing Trade ($115.91)
>Largest Winning Trade $913.00 Largest Losing Trade ($319.00)
>Largest Winner as % of Gross Profit 14.80% Largest Loser as % of Gross
>Loss 25.02%
>
>Max. Consecutive Winning Trades 19 Max. Consecutive Losing Trades 1
>Avg. Bars in Winning Trades 34.79 Avg. Bars in Losing Trades 28.91
>Avg. Bars in Total Trades 33.76
>
>Max. Shares/Contracts Held 100 Account Size Required $319.00
>Total Commission $0.00 Total Slippage $0.00
>
>Net Profit as % of Largest Loss 1534.48%
>Slct. Net Profit as % of Largest Loss 1027.27% Adj. Net Profit as % of
>Largest Loss 1145.75%
>
>Max. Drawdown (Intra-day Peak to Valley) Max. Drawdown (Trade Close to
>Trade Close)
>Value ($1,069.00) Value ($319.00)
>as % of Initial Capital 1.19% as % of Initial Capital 0.32%
>Net Profit as % of Drawdown 457.90% Net Profit as % of Drawdown 1534.48%
>Slct. Net Profit as % of Drawdown 306.55% Slct. Net Profit as % of
>Drawdown 1027.27%
>Adj. Net Prof as % of Drawdown 341.90% Adj. Net Profit as % of
>Drawdown 1027.27%
>
>Max. Trade Drawdown ($885.00)
>
>Short Trades
>
>Total Net Profit $4,563.00 Profit Factor 6.32
>Gross Profit $5,421.00 Gross Loss ($858.00)
>
>Open Position Profit/Loss $0.00
>
>Select Total Net Profit $3,399.00 Select Profit Factor 4.96
>Select Gross Profit $4,257.00 Select Gross Loss ($858.00)
>
>Adjusted Total Net Profit $3,368.44 Adjusted Profit Factor 3.9
>Adjusted Gross Profit $4,529.79 Adjusted Gross Loss ($1,161.35)
>
>Total Number of Trades 45 Percent Profitable 82.22%
>Winning Trades 37 Losing Trades 8
>Even Trades 0
>
>Avg. Trade Net Proft $101.40 Ratio Avg. Win:Avg. Loss 1.37
>Avg. Winning Trade $146.51 Avg. Losing Trade ($107.25)
>Largest Winning Trade $1,164.00 Largest Losing Trade ($311.00)
>Largest Winner as % of Gross Profit 21.47% Largest Loser as % of Gross
>Loss 25.02%
>
>Max. Consecutive Winning Trades 24 Max. Consecutive Losing Trades 2
>Avg. Bars in Winning Trades 33.16 Avg. Bars in Losing Trades 27.75
>Avg. Bars in Total Trades 32.2
>
>Max. Shares/Contracts Held 100 Account Size Required $323.00
>Total Slippage $0.00 Total Commission $0.00
>
>Net Profit as % of Largest Loss 1467.20%
>Slct. Net Profit as % of Largest Loss 1092.93% Adj. Net Profit as % of
>Largest Loss 1083.10%
>
>Max. Drawdown (Intra-day Peak to Valley) Max. Drawdown (Trade Close to
>Trade Close)
>Value ($1,188.00) Value ($323.00)
>as % of Initial Capital 1.07% as % of Initial Capital 0.32%
>Net Profit as % of Drawdown 384.09% Net Profit as % of Drawdown 1412.69%
>Slct. Net Profit as % of Drawdown 286.11% Slct. Net Profit as % of
>Drawdown 1052.32%
>Adj. Net Prof as % of Drawdown Adj. Net Prof as % of Drawdown 1042.86%
>
>Max. Trade Drawdown ($399.00)
>
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