ANDROMEDA DETAILS

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 $4000 maximum 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.

Andromeda Equity Curve 20 Market Portfolio (single contracts)

 
Net Win Loss $1,013,774
Max Drawdown $59,997 on 040723
Percent Wins 43.4%
Trades, Trades Rejected 1218 0
Wins 529 $1,939,448
Losses 689 $59,997
Long Wins $1,103,185 $435,405
Long Losses 323 $435,405
Short Wins 257 $836,263
Short Losses 366 $490,271
Max Consecutive Wins 9
Max Consecutive Losses 15
Largest Winning Trade $18,420
Largest Losing Trade $5,575
Average Winning Trade $3,666
Average Losing Trade $1,344
Avg $Win to Avg $Loss 2.73
Longest Drawdown 1.81 years 030311 to 041231
Total Slpg + Commssn $91,350
Start Up Capital 50,000
Margin Calls, Max 0 0
Max Items Held 17 990311
Days Winning, Losing 3525 2891
Expectation, Kelly 62% 22.7%
Start Date, End Date 800108 041231
Total Items Traded 1218
New Highs, Percent 837 13%


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