IMASTER DETAILS

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

 
Net Win Loss $279,614
Max Drawdown $38305 on 050210
Percent Wins 52.1%
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
Max Consecutive Losses 8
Largest Winning Trade
$16,185
Largest Losing Trade
$8,915
Average Winning Trade
$1,008
Average Losing Trade
$689
Avg $Win to Avg $Loss 1.46
Longest Drawdown 1.81 years 030429 to 050217
Total Slpg + Commssn $107,025
Start Up Capital 50,000
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
New Highs, Percent 265 11.6%


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