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IMASTER DETAILS
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Testing
Details
Testing Dates: 01/01/1996 thru 02/17/05
Data Used: CSI Back
Adjusted Contracts (day only when possible)
Position Sizing:
Single Contracts with risk filter
Slippage and Commissions:
$75
2 Market Portfolio:
Mini S&P and Mini Nasdaq
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| Net
Win Loss |
$279,614 |
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| Max
Drawdown |
$38305 |
on
050210 |
| Percent
Wins |
52.1% |
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| Trades,
Trades Rejected |
1427 |
0 |
| Wins |
744 |
$750,260 |
| Losses |
683 |
$470,646 |
| Long
Wins |
390 |
$365,717 |
| Long
Losses |
322 |
$228,666 |
| Short
Wins |
354 |
$384,543 |
| Short
Losses |
361 |
$241,980 |
| Max
Consecutive Wins |
9 |
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| Max
Consecutive Losses |
8 |
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| Largest
Winning Trade |
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$16,185 |
| Largest
Losing Trade |
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$8,915 |
| Average
Winning Trade |
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$1,008 |
| Average
Losing Trade |
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$689 |
| Avg
$Win to Avg $Loss |
1.46 |
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| Longest
Drawdown |
1.81
years 030429 to 050217 |
| Total
Slpg + Commssn |
$107,025 |
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| Start
Up Capital |
50,000 |
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| Margin
Calls, Max |
0 |
0 |
| Max
Items Held |
4 |
960807 |
| Days
Winning, Losing |
1184 |
1103 |
| Expectation,
Kelly |
28.4% |
19.4% |
| Start
Date, End Date |
960109 |
050217 |
| Total
Items Traded |
1427 |
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| New
Highs, Percent |
265
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11.6% |
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