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ABERRATION DETAILS
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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 risk filter
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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Aberration Equity Curve 20 Market Portfolio (single contracts)
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| Net Win Loss |
$680,822 |
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| Max Drawdown |
$39,002 |
on 040913 |
| Percent Wins |
46.6% |
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| Trades, Trades Rejected |
721 |
291 |
| Wins |
336 |
$1,122,509 |
| Losses |
385 |
$441,686 |
| Long Wins |
177 |
$716,497 |
| Long Losses |
195 |
$222,625 |
| Short Wins |
159 |
$406,012 |
| Short Losses |
190 |
$219,061 |
| Max Consecutive Wins |
11 |
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| Max Consecutive Losses |
15 |
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| Largest Winning Trade |
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$40,463 |
| Largest Losing Trade |
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$4,350 |
| Average Winning Trade |
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$3,341 |
| Average Losing Trade |
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$1,147 |
| Avg $Win to Avg $Loss |
2.91 |
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| Longest Drawdown |
1.94 years
880715 to 900622 |
| Total Slpg + Commssn |
$54,075 |
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| Start Up Capital |
50,000 |
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| Margin Calls, Max |
0 |
0 |
| Max Items Held |
4 |
940513 |
| Days Winning, Losing |
3482 |
2911 |
| Expectation, Kelly |
82.3% |
28.3% |
| Start Date, End Date |
800109 |
041231 |
| Total Items Traded |
721 |
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| New Highs, Percent |
625 |
9.8% |
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