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

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Net Win Loss |
$2,223,865 |
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Max Drawdown |
$48,855 |
on 010905 |
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Percent Wins |
39% |
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Trades |
3788 |
1286 |
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Average Winning Trade |
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$2,801 |
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Average Losing Trade |
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$828 |
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Avg $Win to Avg $Loss |
3.38 |
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Longest Drawdown |
0.81 years 010110 to 011031 |
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Total Slpg + Commssn |
$284,100 |
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Start Up Capital |
100,000 |
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Max Items Held |
37 |
980603 |
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Days Winning, Losing |
3523 |
2892 |
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Expectation, Kelly |
70.9% |
21.2% |
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Start Date, End Date |
800204 |
041231 |
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New Highs, Percent |
806 |
12.6% |
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