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Testing Details
ABERRATION
Testing Dates: 01/01/1980 thru 12/31/04
I-MASTER
Testing Dates: 01/01/1996 thru 2/17/05
Data Used: CSI Back
Adjusted Contracts (day only when possible)
ABERRATION
Position Sizing:
Single Contracts with max risk filters
I-MASTER
Position Sizing: Single Contracts
Slippage and Commissions: $75
ABERRATION:
20 Market Portfolio: Corn, Rough Rice, Kansas City Wheat, Live Cattle, Cotton, Sugar, Lumber, Coffee, Palladium, London Aluminum, London Copper, Crude Oil, Natural Gas, the Dollar Index, Japanese Yen, Swiss Franc, T-Notes, Swiss Govt. Bond, Euro-Bund, and the Nikkei.
I-MASTER:
2 Market Portfolio:
Mini S&P, Mini NASDAQ
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Aberration & I-Master
Combined (single contracts)

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| |
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Net Win Loss |
$960,435 |
|
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Max Drawdown |
$63,863 |
on 040908 |
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Percent Wins |
50.3% |
|
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Trades |
2148 |
|
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Average Winning Trade |
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$1734 |
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Average Losing Trade |
|
$854 |
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Avg $Win to Avg $Loss |
2.03 |
|
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Longest Drawdown |
1.95 years 030310 to 050217 |
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Total Slpg + Commssn |
$161,100 |
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Start Up Capital |
100,000 |
|
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Max Items Held |
17 |
970225 |
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Days Winning, Losing |
3520 |
2906 |
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Expectation, Kelly |
52.3% |
25.8% |
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Start Date, End Date |
800204 |
041231 |
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New Highs, Percent |
783 |
12.2% |
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