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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.
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Fusion
& Interplay Combined Equity Curve 20 Market Portfolio (single contracts)

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Net Win Loss |
$1,455,390 |
|
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Max Drawdown |
$28,190 |
on 010905 |
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Percent Wins |
40.7% |
|
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Trades |
2951 |
3350 |
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Average Winning Trade |
|
$2446 |
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Average Losing Trade |
|
$849 |
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Avg $Win to Avg $Loss |
2.88 |
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Longest Drawdown |
0.77 years 010110 to 011018 |
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Total Slpg + Commssn |
$221,325 |
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Start Up Capital |
50,000 |
|
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Max Items Held |
25 |
980603 |
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Days Winning, Losing |
3501 |
2903 |
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Expectation, Kelly |
58.1% |
20.2% |
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Start Date, End Date |
800204 |
041231 |
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New Highs, Percent |
841 |
13.1% |
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