TRADING SYSTEM PAST PERFORMANCE STRATEGY 1: Fixed size - 1 Contract per market per trade. Return on Equity: 118.26%
TESTING PARAMETERS Back testing Period: December 1, 2003 - March 3 2006 Forward testing Period: March 6, 2006 - May 31, 2006 Traded Markets: DJIA, NASDAQ, NASDAQ100, SP500 Stop Loss: Fixed at the same level as target gain. Contracts: Maximum Possible - Trades as many contracts as account equity and margin requirements will allow. Minimum Target Gain: DJIA: 20 pts.
TRADING PARAMETERS
Initial Account Equity: $20,000 Trading Vehicle: Futures Initial Margin: $8,000 Round-turn slippage per contract: 0 Round-turn commissions and fees per contract: $2.51 Position Sizing Method: Fixed Contracts No. Contracts: 1 PROFIT SUMMARY Total Net Profit: $23,651.27 Gross Profit: $227,554.2 Gross Loss: -$203,902.93 Profit Factor: 1.116 Highest Closed Trade Equity: $43,752.78 Lowest Closed Trade Equity: $19,552.59 Final Account Equity: $43,651.27 Return on Starting Equity: 118.26% TRADE RESULTS Number of Trades: 4,949 Number of Winning Trades: 2,425 Number of Losing Trades: 2,524 Percent Profitable: 49% Max Number of Contracts: 1 Minimum Number of Contracts: 1 Average Number of Contracts: 1 Largest Winning Trade ($): $807.09 (3.12%) Largest Winnning Trade (%): 3.12% ($807.09) Average Winning Trade ($): $93.84 Average Winning Trade (%): 0.3% Max Number Consecutive Wins: 16 Largest Losing Trade ($): -$402.01 (-0.94%) Largest Losing Trade (%): -1.42% (-$362.01) Average Losing Trade ($): -$80.79 Average Losing Trade (%): -0.25% Max Number Consecutive Losses: 17 Average Trade ($): $4.78 Average Trade (%): 0.02% Trade Standard Deviation ($): $117 Trade Standard Deviation (%): 0.38% Win/Loss Ratio ($/$): 1.1616 Win/Loss Ratio (%/%): 1.1742 Return/Drawdown Ratio: 7.4723 Modified Sharpe Ratio: 0.0439 DRAWDOWNS Number of Closed Trade Drawdowns: 100 Average Drawdown ($): -$532.92 Average Drawdown (%): 1.62% Average Number of Trades in Drawdowns: 47 Worst Case Drawdown ($): -$5,672.31 (15.83%) Trade Number at Trough: 3,193 Number of Trades in Drawdown: 927 Worst Case Drawdown (%): 15.83% (-$5,672.31) Trade Number at Trough: 3,193 Number of Trades in Drawdown: 927
HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER- OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.
