ALL: Group Trading System Results-Stop/Profit Levels.
Here are system results for same day trades at the close. There were 4 test run:
Same Day, 1X, Highest Profit.
Same Day, 2x, Highest Profit.
Same Day, 1X, Lowest Max System Drawdown.
Same Day, 2X, Lowest Max System Drawdown.
I have sweeped this over a stop loss of 2 to 40% and a profit target of 2 to 40%. I could narrow the sweep down to 30%, and save the system results to .csv file if anyone is intrested.
Give me a little bit, and I will rerun based on Next Day Open.
Same Day, 1X, Highest Profit
Stop Level = 29-40%
Profit Level = 30%
Performance for ^NDX
Total net profit: 749814.01 Total commissions paid: 0.00
Return on account: 7498.14 % Open position gain/loss -18099.42
Buy&Hold profit: 18077.96 Bars (days) in test: 2519 (3651)
Buy&Hold % return: 180.78% System to Buy&Hold index: 4047.67%
Annual system % return: 54.18% Annual B&H % return: 10.87%
System drawdown: -879.27 B&H drawdown: -879.27
Max. system drawdown: -95733.43 B&H max. drawdown: -66561.25
Max. system % drawdown: -39.30% B&H max. % drawdown: -82.90%
Max. trade drawdown: -90008.35
Max. trade % drawdown: -25.46%
Trade drawdown: -63228.25
Total number of trades: 374 Percent profitable: 49.2%
Number winning trades: 184 Number losing trades: 190
Profit of winners: 1791924.79 Loss of losers: -1024011.36
Total # of bars in winners: 1639 Total # of bars in losers: 1022
Commissions paid in winners: 0.00 Commissions paid in losers: 0.00
Largest winning trade: 94703.86 Largest losing trade: -40483.85
# of bars in largest winner: 21 # bars in largest loser: 24
Commission paid in largest winner: 0.00 Commission paid in largest loser: 0.00
Average winning trade: 9738.72 Average losing trade: -5389.53
Avg. # of bars in winners: 8.9 Avg. # bars in losers: 5.4
Avg. commission paid in winner: 0.00 Avg. commission paid in loser: 0.00
Max consec. winners: 8 Max consec. losers: 8
Bars out of the market: 203 Interest earned: 0.00
Exposure: 91.9% Risk adjusted ann. return: 58.93%
Ratio avg win/avg loss: 1.81 Avg. trade (win & loss): 2053.24
Profit factor: 1.75
Same Day, 2X, Highest Profit
Stop Level = 29-40%
Profit Level = 30%
Performance for ^NDX
Total net profit: 18764759.69 Total commissions paid: 0.00
Return on account: 187647.60 % Open position gain/loss -916288.29
Buy&Hold profit: 36155.92 Bars (days) in test: 2519 (3651)
Buy&Hold % return: 361.56% System to Buy&Hold index: 51799.55%
Annual system % return: 112.46% Annual B&H % return: 16.52%
System drawdown: -1758.54 B&H drawdown: -1758.54
Max. system drawdown: -3726660.71 B&H max. drawdown: -133122.50
Max. system % drawdown: -68.43% B&H max. % drawdown: -165.79%
Max. trade drawdown: -3032069.46
Max. trade % drawdown: -50.91%
Trade drawdown: -1603743.53
Total number of trades: 374 Percent profitable: 49.2%
Number winning trades: 184 Number losing trades: 190
Profit of winners: 53227878.11 Loss of losers: -33546830.13
Total # of bars in winners: 1639 Total # of bars in losers: 1022
Commissions paid in winners: 0.00 Commissions paid in losers: 0.00
Largest winning trade: 3111720.48 Largest losing trade: -1351380.73
# of bars in largest winner: 59 # bars in largest loser: 42
Commission paid in largest winner: 0.00 Commission paid in largest loser: 0.00
Average winning trade: 289281.95 Average losing trade: -176562.26
Avg. # of bars in winners: 8.9 Avg. # bars in losers: 5.4
Avg. commission paid in winner: 0.00 Avg. commission paid in loser: 0.00
Max consec. winners: 8 Max consec. losers: 8
Bars out of the market: 203 Interest earned: 0.00
Exposure: 91.9% Risk adjusted ann. return: 122.31%
Ratio avg win/avg loss: 1.64 Avg. trade (win & loss): 52623.12
Profit factor: 1.59
Same Day, 1X, Lowest System Drawdown.
Stop Level = 4%
Profit Level = 3%
Performance for ^NDX
Total net profit: 35137.96 Total commissions paid: 0.00
Return on account: 351.38 % Open position gain/loss -1075.22
Buy&Hold profit: 18077.96 Bars (days) in test: 2519 (3651)
Buy&Hold % return: 180.78% System to Buy&Hold index: 94.37%
Annual system % return: 16.26% Annual B&H % return: 10.87%
System drawdown: -493.88 B&H drawdown: -879.27
Max. system drawdown: -8517.90 B&H max. drawdown: -66561.25
Max. system % drawdown: -20.09% B&H max. % drawdown: -82.90%
Max. trade drawdown: -2274.85
Max. trade % drawdown: -7.91%
Trade drawdown: -2274.85
Total number of trades: 374 Percent profitable: 54.5%
Number winning trades: 204 Number losing trades: 170
Profit of winners: 128474.51 Loss of losers: -92261.32
Total # of bars in winners: 775 Total # of bars in losers: 549
Commissions paid in winners: 0.00 Commissions paid in losers: 0.00
Largest winning trade: 1346.41 Largest losing trade: -1642.01
# of bars in largest winner: 5 # bars in largest loser: 4
Commission paid in largest winner: 0.00 Commission paid in largest loser: 0.00
Average winning trade: 629.78 Average losing trade: -542.71
Avg. # of bars in winners: 3.8 Avg. # bars in losers: 3.2
Avg. commission paid in winner: 0.00 Avg. commission paid in loser: 0.00
Max consec. winners: 8 Max consec. losers: 7
Bars out of the market: 1404 Interest earned: 0.00
Exposure: 44.3% Risk adjusted ann. return: 36.74%
Ratio avg win/avg loss: 1.16 Avg. trade (win & loss): 96.83
Profit factor: 1.39
Same Day, 2X, Lowest System Drawdown.
Stop Level = 4%
Profit Level = 3%
Performance for ^NDX
Total net profit: 152236.41 Total commissions paid: 0.00
Return on account: 1522.36 % Open position gain/loss -7917.83
Buy&Hold profit: 36155.92 Bars (days) in test: 2519 (3651)
Buy&Hold % return: 361.56% System to Buy&Hold index: 321.06%
Annual system % return: 32.12% Annual B&H % return: 16.52%
System drawdown: -979.72 B&H drawdown: -1758.54
Max. system drawdown: -55054.76 B&H max. drawdown: -133122.50
Max. system % drawdown: -37.10% B&H max. % drawdown: -165.79%
Max. trade drawdown: -15147.25
Max. trade % drawdown: -15.82%
Trade drawdown: -12902.07
Total number of trades: 374 Percent profitable: 54.5%
Number winning trades: 204 Number losing trades: 170
Profit of winners: 657899.91 Loss of losers: -497745.68
Total # of bars in winners: 775 Total # of bars in losers: 549
Commissions paid in winners: 0.00 Commissions paid in losers: 0.00
Largest winning trade: 9643.43 Largest losing trade: -11090.93
# of bars in largest winner: 5 # bars in largest loser: 4
Commission paid in largest winner: 0.00 Commission paid in largest loser: 0.00
Average winning trade: 3225.00 Average losing trade: -2927.92
Avg. # of bars in winners: 3.8 Avg. # bars in losers: 3.2
Avg. commission paid in winner: 0.00 Avg. commission paid in loser: 0.00
Max consec. winners: 8 Max consec. losers: 7
Bars out of the market: 1404 Interest earned: 0.00
Exposure: 44.3% Risk adjusted ann. return: 72.57%
Ratio avg win/avg loss: 1.10 Avg. trade (win & loss): 428.22
Profit factor: 1.32
Jared
jjames10@nc.rr.com
"Don't Panic!"
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