Trading Systems Research & Development
System Comparisons
In the following examples
performance has been sorted by MAR Ratios (lowest to highest). MAR Ratio is a
popular performance statistic that divides the compounded annual return by the
maximum drawdown. In these examples we used $100,000 as the starting equity.
21 Markets Tested "Full Size Portfolio":
Corn, Rough Rice, Kansas City Wheat, Live Cattle, Cotton, Sugar, Lumber, Coffee,
Palladium, London Aluminum Alloy, London Copper, Crude Oil, Natural Gas,
Propane, the Dollar Index, Japanese Yen, Swiss Franc, T-Notes, Swiss Govt. Bond,
Euro-Bund, and the Nikkei.
Systems Tested: Turtle Trading Type, Aberration, Synergy &
Checkmate
Test Period: 01/01/1992 thru 09/15/2003
Data Used: CSI Back Adjusted Contracts (day only when possible)
Slippage and Commissions: $75
Results computed with Trading Recipes™ Software
TURTLE TYPE TRADING
The reason we call this Turtle "type" trading is because there are many variations of what is commonly referred to as Turtle Trading. In this example we are using the core elements that a Turtle Trader would, channel breakouts (20/10) with dynamic market based position sizing and compounded growth.
(Risking 1.5%* of equity per trade)
(risk computed as approximate distance to trade exit)
| Compounded Annual ROI | 32.5% | Max Drawdown | 34.14% |
| Trades Accepted | 2350 | Avg $Win to Avg $Loss | 1.91 |
| Percent Win Trades | 39.0% | MAR Ratio | 0.95 |
LONGEST PERIOD BETWEEN NEW EQUITY HIGHS 1.45 YEARS
TURTLE TRADING TYPE
COMPOUNDED GROWTH EQUITY CURVE
Equity Curve (logarithmic)
Logarithmic chart
ABERRATION
(Risking 1.5%* of equity per trade)
(risk computed as approximate distance to trade exit)
| Compounded Annual Return | 42.9% | Max Drawdown | 32.26% |
| Trades Accepted | 548 | Avg $Win to Avg $Loss | 1.79 |
| Percent Win Trades | 46.9% | MAR Ratio | 1.33 |
LONGEST PERIOD BETWEEN NEW EQUITY HIGHS 0.85 YEARS
ABERRATION COMPOUNDED
GROWTH EQUITY CURVE
Equity Curve (logarithmic)
Logarithmic chart
FOR MORE ABERRATION COMPARISONS CLICK HERE
SYNERGY
(Risking 1.5%* of equity per trade)
(risk computed as approximate distance to trade exit)
| Compounded Annual Return | 78.7% | Max Drawdown | 32.18% |
| Trades Accepted | 656 | Avg $Win to Avg $Loss | 2.72 |
| Percent Win Trades | 36.3% | MAR Ratio | 2.45 |
LONGEST PERIOD BETWEEN NEW EQUITY HIGHS 0.62 YEARS
SYNERGY COMPOUNDED
GROWTH EQUITY CURVE
Equity Curve (logarithmic)
Logarithmic chart
SYNERGY & CHECKMATE COMBINED
(Checkmate with 18 market portfolio)
(Risking 1%* of equity per trade per system or
minimum of 1 contract if risk was less than $1,500)
(risk computed as approximate distance to trade exit)
| Compounded Annual Return | 82.2% | Max Drawdown | 23.79% |
| Trades Accepted | 1236 | Avg $Win to Avg $Loss | 2.50 |
| Percent Win Trades | 39.2% | MAR Ratio | 3.46 |
LONGEST PERIOD BETWEEN NEW EQUITY HIGHS 0.56 YEARS
SYNERGY & CHECKMATE
COMPOUNDED GROWTH EQUITY CURVE
Equity Curve (logarithmic)
Logarithmic chart
