TRADING SYSTEM PAST PERFORMANCE STRATEGY 4: Maximum Possible - Trades as many contracts as account equity and margin requirements will allow. Return on Equity: 876.39%
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: $20,000.00 Trading Vehicle: Futures Initial Margin: $8,000.00 Round-turn slippage per contract: $0.00 Round-turn commissions and fees per contract: $2.51 Position Sizing Method: Max Possible No. Contracts: Max Possible PROFIT SUMMARY Total Net Profit: $175,277.07 Gross Profit: $1,950,694.66 Gross Loss: -$1,775,417.59 Profit Factor: 1.0987 Highest Closed Trade Equity: $201,965.26 Lowest Closed Trade Equity: $19,105.18 Final Account Equity: $195,277.07 Return on Starting Equity: 876.39% TRADE RESULTS Number of Trades: 4,949 Number of Winning Trades: 2,425 Number of Losing Trades: 2,524 Percent Profitable: 49.00% Max Number of Contracts: 25 Minimum Number of Contracts: 2 Average Number of Contracts: 8 Largest Winning Trade ($): $9,613.78 (5.38%) Largest Winnning Trade (%): 9.30% ($3,228.36) Average Winning Trade ($): $804.41 Average Winning Trade (%): 1.09% Max Number Consecutive Wins: 16 Largest Losing Trade ($): -$8,694.23 (-4.54%) Largest Losing Trade (%): -4.87% (-$8,442.21) Average Losing Trade ($): -$703.41 Average Losing Trade (%): -0.94% Max Number Consecutive Losses: 17 Average Trade ($): $35.42 Average Trade (%): 0.06% Trade Standard Deviation ($): $1,146.64 Trade Standard Deviation (%): 1.36% Win/Loss Ratio ($/$): 1.1436 Win/Loss Ratio (%/%): 1.1609 Return/Drawdown Ratio: 16.4961 Modified Sharpe Ratio: 0.0406 DRAWDOWNS Number of Closed Trade Drawdowns: 86 Average Drawdown ($): -$5,010.36 Average Drawdown (%): 5.68% Average Number of Trades in Drawdowns: 55 Worst Case Drawdown ($): -$62,969.52 (31.18%) Trade Number at Trough: 4,674 Number of Trades in Drawdown: 387 Worst Case Drawdown (%): 53.13% (-$51,311.58) Trade Number at Trough: 3,193 Number of Trades in Drawdown: 1,109
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.
