Rule-Based Trading Systems

[capt_jmj]

New System on C2 - Rule-Based Trading (#42123706)

Statistics are for combined open and closed positions. If open positions are included, results calculations may be delayed by several hours.

Realism Factor 100.0
Trades 16
Profitable 16
Losses 0
Win % 100.0%
APD Ratio 0.76

Correlation w/ S&P 0.580
Cumu $ $6,500
after typical commission $6,100
Keep after worst-case slippage 92.3%
Avg Win $406
Avg Loss $0
Profit Factor n/a
P/L per unit $81.25
after typical commission $78.75
Avg Trade Length 4.6 hours
Compound Annual % 3,240.1% over 15 days
Sharpe Ratio 14.786
Max Drawdown 1.71% (20090813 to 20090814)
Risk of 20% account loss n/a
Risk of 50% account loss n/a
Risk of 100% account loss n/a