The one that does the best job of getting in at the beginning of the breakout in the spring of '96 and out at the right time is the whole BNS system, but it doesn't do as well over the long term in profit testing:
Enter: mov(fml("BradCCI Line 1"), 5, s) >mov(fml("BradCCI Line 1"), 34, s) and
mov(stoch(8,5),5,s)>mov(stoch(8,5),34,s)
and mov(fml("BradCCI Line 2"), 5, s) >mov(fml("BradCCI Line 2"), 34, s)
Exit: mov(fml("BradCCI Line 1"), 5, s) <mov(fml("BradCCI Line 1"), 34, s) and
mov(stoch(8,5),5,s)<mov(stoch(8,5),34,s)
and mov(fml("BradCCI Line 2"), 5, s) <mov(fml("BradCCI Line 2"), 34, s)
and mov(OscP(13,55,E,% ), 5, s) <mov(OscP(13,55,E,% ), 34, s)
SYSTEM TEST PERFORMANCE REPORT FOR:
BradCCI Testing on AMATI COMMUNICATIONS
From 10/4/1995 to 7/9/1997 beginning with $5000.00.
Current position is CLOSED
S U M M A R Y
Total Net Profit: $7360.30 Average trade gain/loss ($): $1840.07
Total percentage gain/loss: 147.21% Average trade gain/loss (%): 64.69%
Annualized rate of return: 83.43%
S U M M A R Y W I T H O U T B E S T A N D W O R S T T R A D E S
Total Net Profit: $-4320.89 Average trade gain/loss ($): $-2160.45
Total percentage gain/loss: -86.42% Average trade gain/loss (%): -12.61%
Annualized rate of return: -48.98%
T R A D E S T A T I S T I C S
Total no. of trades: 4 Percentage profitable trades: 25.00%
No. Profitable Trades: 1 No. Losing Trades: 3
Amount of profitable trades: $15190.77 Amount of losing trades: $-7830.48
Largest profitable trade: $15190.77 Largest losing trade: $-3509.58
Average profitable trade: $15190.77 Average losing trade: $-2610.16
No. of stop hits: 0 Average gain/loss per stop: $0.00
L O N G / S H O R T B R E A K D O W N
Number of Long trades: 4 Number of Short trades: 0
No. profitable Long trades: 1 No. profitable Short trades: 0
Average Long gain/loss: $1840.07 Average Short gain/loss: $0.00
T R A D E D U R A T I O N S
Total no. periods in test: 461 Number of days in test: 644
Most consecutive wins: 1 Most consecutive losses: 3
Amt. of consecutive wins: $15190.77 Amt. of consecutive losses: $-7830.48
R I S K & E X P E N S E
Max. equity drop (open): $ -15.00 Max. equity drop (closed): $ 7360.30
Max. trade drawdown: $ -6943.59 Average trade drawdown: $ -3247.43
Commissions expenses: $ 120.00 Margin interest expenses: $ 0.00
P R O F I T A B I L I T Y / R A T I O S
Amount of interest earned: $0.00 Profit Factor: 1.94
Ratio Avg. Profit/Avg. Loss: 5.82 Ratio Profit/Commissions: 61.34 |
