|
Testing Details
Testing Dates: 01/01/1980 thru 12/31/04
Data Used: CSI Back
Adjusted Contracts (day only when possible)
Position Sizing:
Single Contracts with max risk filters
Slippage and Commissions: $75
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.
|
Fusion
& Checkmate & Interplay Combined Equity Curve 20 Market Portfolio (single contracts)

|
| |
|
Net Win Loss |
$1,881,253 |
|
|
Max Drawdown |
$36,069 |
on 041004 |
|
Percent Wins |
40.5% |
|
|
Trades |
3859 |
2442 |
|
Average Winning Trade |
|
$2,415 |
|
Average Losing Trade |
|
$823 |
|
Avg $Win to Avg $Loss |
2.93 |
|
|
Longest Drawdown |
0.77 years 010110 to 011019 |
|
Total Slpg + Commssn |
$289,425 |
|
|
Start Up Capital |
50,000 |
|
|
Max Items Held |
36 |
960221 |
|
Days Winning, Losing |
3498 |
2907 |
|
Expectation, Kelly |
59.2% |
20% |
|
Start Date, End Date |
800204 |
041231 |
|
New Highs, Percent |
834 |
13% |
|