I think that is because you are using 2X leverage.
Not sure if this will help or not, but here is a equity curve based on the CSGCOS system, no stops/profit targets, 2X.
Red is the system equity line, the blue line (hard to see) is the B&H system. The top pane is the NDX with the buy and sell indicated in green arrows (buy/cover) and red arrows(sell/short):
Both started out with 10K.
Here is a cut and paste from AmiBroker with an explanation of the values given:
Explanation of values:
Total net profit: This is total profit/loss realized by the test. Includes the closed-out value of the open position (if there is any). Return on account: This is total profit/loss as a percentage of initial investment. Total commissions paid: The amount of commissions paid during trades. Open position gain/loss: The closed-out value of open position that existed at the end of the test. Buy-and-hold profit: The total profit/loss realized by buy-and-hold strategy (including commission). Buy-and-hold % return: The total buy-and-hold strategy return as a percentage of initial investment. Bars in test: The number of bars tested (Overall summary shows sum of number of bars in all stocks). Days in test: The number of days between first bar date and last bar date (overall summary shows arithmetic average of number of days across the population of stocks under test) System to buy-and-hold index: An index showing how much better/worse is the system compared to buy-and-hold strategy. A value of 0% means that system gives the same profit as buy-and-hold strategy. A value of 200% means that system gives 200% more profit than buy-and-hold strategy. A value of -50% means that system gives a half of the gains of buy-and-hold strategy. Annual system % return: Calculated compound annual percentage return of the system (*see the note) Annual B&H % return: Calculated compound annual percentage return of the buy and hold strategy (*see the note) System drawdown: The largest equity dip experienced by the system (relative to the initial investment). B&H drawdown: The largest equity dip experienced by the buy and hold strategy (relative to the initial investment).
Max. system drawdown: The largest point distance between equity peak value and the following trough value experienced by the system Max. system % drawdown: The largest percentage distance between equity peak value and the following trough value experienced by the system Max. B&H drawdown: The largest point distance between equity peak value and the following trough value experienced by the buy and hold strategy Max. B&H % drawdown: The largest percentage distance between equity peak value and the following trough value experienced by the buy and hold strategy
Trade drawdown: The largest equity dip experienced by any single trade (relative to the trade's entry price). Max. trade drawdown: The largest point distance between equity peak value and the following trough value experienced by any single trade Max. trade % drawdown: The largest percentage distance between equity peak value and the following trough value experienced by any single trade
Total number of trades: The number of trades (winners + losers) Percent profitable: The number of winning trades compared to total number of trades shown as a percentage Profit of winners/Loss of losers: Total amount of money gained in winners/lost in losers. Total # of bars in winners/losers: The number of bars spent during winning/losing trades Largest winning/losing trade: The amount of biggest winner/loser # of bars in largest winner/loser: The number of bars in the biggest winning/losing trade Average winning/losing trade: The average of winning/losing trades (sum of winners/losers divided by a number of winning/losing trades) Average # of bars in winners/losers: The average of number of bars in winning/losing trades (total number of bars in winners/losers divided by a number of winning/losing trades) Max consec. winners/losers: The largest number of consecutive winning/losing trades.
Bars out of the market: The number of bars for which the system was completely out of the market (was neither long nor short). If you open and close the position during single day, even if you have no open position on market open and no position on close this day is NOT considered as out of the market.
Interest earned: The total interest earned between trades. Note that AmiBroker simulates O/N (overnight) deposits. This means that if you closed the position on Monday and opened the next one on Tuesday you earn interest for single O/N deposit.
Exposure: Shows how much you are exposed to the market. It is a ratio of bars in the market divided by total number of bars under test. (The number of bars in the market is given by total number of bars minus bars out of the market)
Risk adjusted ann. return: Shows annual return of the system (*see note) adjusted (divided) by market exposure. If your system gained 10% over one year with the exposure of 50% the adjusted return would be 20% (10%/0.5)
Ratio avg win/avg loss: The absolute value of the ratio of average winning trade to average losing trade Profit factor: The absolute value of the ratio of the profit of winners to loss of losers Avg. trade (win & loss): The average trade profit calculated as sum of winners and losers divided by the number of trades.
*Note: Calculation method used for annual percentage returns:
Most of the software (including two the most popular so-called professional packages) use very simple annualization method based on the following formula:
unfortunately this method is wrong and very misleading since it would tell you that annual return is 22% when your system earned 44% during two years. This value is too optimistic. In fact annual return in this case is only 20%: if your initial investment was 10000 you earn 20% during the first year so you then get 12000 and 20% the second year that gives you 14400 = ( 12000 * 120 % ). So after two years you earned 44% but annually it is only 20%.
AmiBroker is one of the few programs that calculates annual returns correctly and will give you correct value of 20% as shown in the example above. The formula that AmiBroker uses for annual return calculation is as follows:
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