<I have also found similar results with a HARD stop of 4% on long positions and a profit level of 30%. 1X - 50% from 1986 to 1995 and 56% from 1996 to 2005 with an obvious max draw down/loss of 4%.>
I think this is key.It doesn't seem to affect returns but has a huge effect on minimizing downdraws which had been the only weakness of the system.