Gleno34
Results back test 10 years SPX going long 10-6 and short 5-16.
75% win rate, annulized gain twice that of buy and hold, WL score almost 3x buy and hold.
Last 5 years: 9.14 annualized return vs. -.65 B&H
Win % =70
WL score 8.48 vs. -.89 B&H
Enjoy.
PS: My back testing of MAs suggests they are worthless. Just another myth!
Long + Short Long Only Short Only Buy & Hold
Starting Capital $10,000.00 $10,000.00 $10,000.00 $10,000.00
Ending Capital $32,079.48 $27,911.97 $14,167.52 $18,319.78
Net Profit $22,079.48 $17,911.97 $4,167.52 $8,319.78
Net Profit % 220.79% 179.12% 41.68% 83.20%
Annualized Gain % 12.36% 10.81% 3.55% 6.24%
Exposure 96.18% 68.08% 60.43% 100.00%
Number of Trades 20 10 10 1
Avg Profit/Loss $1,103.97 $1,791.20 $416.75 $8,319.78
Avg Profit/Loss % 6.89% 10.84% 2.93% 88.33%
Avg Bars Held 121.00 153.10 88.90 2,516.00
Winning Trades 15 9 6 1
Winning % 75.00% 90.00% 60.00% 100.00%
Gross Profit $31,021.95 $19,523.97 $11,497.98 $8,319.78
Avg Profit $2,068.13 $2,169.33 $1,916.33 $8,319.78
Avg Profit % 12.06% 13.03% 10.61% 88.33%
Avg Bars Held 124.93 153.22 82.50 2,516.00
Max Consecutive 6 5 5 N/A
Losing Trades 5 1 4 0
Losing % 25.00% 10.00% 40.00% 0.00%
Gross Loss $-8,942.46 $-1,612.00 $-7,330.46 $0.00
Avg Loss $-1,788.49 $-1,612.00 $-1,832.62 $0.00
Avg Loss % -8.62% -8.80% -8.58% 0.00%
Avg Bars Held 109.20 152.00 98.50 0.00
Max Consecutive 1 1 3 N/A
Max Drawdown $-5,519.43 $-4,711.66 $-7,503.43 $-10,509.80
Max Drawdown % -26.20% -23.81% -38.01% -47.85%
Max Drawdown Date 8/3/05 4/4/01 8/3/05 10/9/02
Wealth-Lab Score 9.49 12.10 3.64 3.25
Profit Factor 3.47 12.11 1.57 INF
Recovery Factor 4.00 3.80 0.56 0.79
Payoff Ratio 1.40 1.48 1.24 INF
Sharpe Ratio 0.84 0.84 0.29 0.51
Ulcer Index 8.23 5.84 16.55 20.66
Wealth-Lab Error Term 10.22 7.59 15.06 14.40
Wealth-Lab Reward Ratio 1.21 1.42 0.24 0.43
Luck Coefficient 2.99 2.77 2.69 1.00
Pessimistic Rate of Return 2.15 4.44 0.73 0.00
Equity Drop Ratio 0.28 0.30 1.16 0.89
