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Strategies & Market Trends : Technical Analysis- Indicators & Systems

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To: Rob Kipp who wrote (2588)	8/20/1997 12:43:00 PM
From: OpenMind	of 3325

Rob, Here is the trade by trade report and test result on AMES using TradeStation, it seems the entry and exit price are different for WOW and TS. TS use the closing price for entries and exits, I can't figure out what WOW use, it doesn't seem to be O,H,L or C. (Maybe slippage included?) So the large difference in the outcome is due to commission and slippage. I notice that you use $9.95 for commission, that's pretty low IMO, some transactions are over 5,000 shares, not even a deep discount house could do those trades for $9.95. Jerry ====================================================================== AMES DEPT STORES-Daily 09/01/95 - 08/19/97 Initial Capital: $10,000 Commission: 2c/share Slippage: 25c/share System: 5-13MA ws ====================================================================== AMES DEPT STORES-Daily 09/01/95 - 08/19/97 Performance Summary: All Trades Total net profit $ -30503.59 Open position P/L $ 224.95 Gross profit $ 24908.28 Gross loss $ -55411.86 Total # of trades 38 Percent profitable 24% Number winning trades 9 Number losing trades 29 Largest winning trade $ 7659.97 Largest losing trade $ -4664.00 Average winning trade $ 2767.59 Average losing trade $ -1910.75 Ratio avg win/avg loss 1.45 Avg trade(win & loss) $ -802.73 Max consec. winners 2 Max consec. losers 14 Avg # bars in winners 25 Avg # bars in losers 7 Max intraday drawdown $ -41661.62 Profit factor 0.45 Max # contracts held 8000 Account size required $ 41661.62 Return on account -73% ===================================================================== Trade by Trade Report Date Time Type Cnts Price Signal Name Entry P/L Cumulative 09/25/95 Sell 3810 2.625 09/29/95 SExit 3810 2.625 $ -1028.70 $ -1028.70 09/29/95 Buy 3810 2.625 10/02/95 LExit 3810 2.500 $ -1504.95 $ -2533.65 10/31/95 Buy 5714 1.750 11/09/95 LExit 5714 1.500 $ -2971.28 $ -5504.93 11/10/95 Buy 5333 1.875 11/14/95 LExit 5333 1.813 $ -1770.56 $ -7275.49 11/14/95 Sell 5516 1.813 11/15/95 SExit 5516 1.938 $ -2178.82 $ -9454.31 11/30/95 Sell 6154 1.625 12/14/95 SExit 6154 1.813 $ -2818.53 $ -12272.84 12/14/95 Buy 5516 1.813 12/19/95 LExit 5516 1.438 $ -3557.82 $ -15830.66 12/19/95 Sell 6954 1.438 01/03/96 SExit 6954 1.625 $ -3177.98 $ -19008.64 01/03/96 Buy 6154 1.625 01/11/96 LExit 6154 1.375 $ -3200.08 $ -22208.72 01/12/96 Buy 5516 1.813 01/17/96 LExit 5516 1.313 $ -4247.32 $ -26456.04 01/17/96 Sell 7616 1.313 01/18/96 SExit 7616 1.500 $ -3480.51 $ -29936.55 01/19/96 Sell 7273 1.375 01/31/96 SExit 7273 1.563 $ -3331.03 $ -33267.58 01/31/96 Buy 6398 1.563 02/13/96 LExit 6398 1.438 $ -2527.21 $ -35794.79 02/14/96 Sell 8000 1.250 02/23/96 SExit 8000 1.563 $ -4664.00 $ -40458.79 02/23/96 Buy 6398 1.563 03/29/96 LExit 6398 2.125 $ 1868.22 $ -38590.58 04/01/96 Sell 5160 1.938 04/25/96 SExit 5160 1.969 $ -1553.16 $ -40143.74 04/25/96 Buy 5079 1.969 06/17/96 LExit 5079 3.000 $ 3865.12 $ -36278.62 06/18/96 Sell 3333 3.000 07/19/96 SExit 3333 2.500 $ 766.59 $ -35512.03 07/19/96 Buy 4000 2.500 07/30/96 LExit 4000 2.313 $ -1828.00 $ -37340.03 07/30/96 Sell 4323 2.313 08/07/96 SExit 4323 2.438 $ -1707.59 $ -39047.61 08/07/96 Buy 4102 2.438 09/03/96 LExit 4102 2.875 $ 685.03 $ -38362.58 09/03/96 Sell 3478 2.875 09/10/96 SExit 3478 3.000 $ -1373.81 $ -39736.39 09/10/96 Buy 3333 3.000 10/03/96 LExit 3333 4.000 $ 2433.09 $ -37303.30 10/07/96 Sell 2581 3.875 10/18/96 SExit 2581 4.250 $ -1664.74 $ -38968.04 10/18/96 Buy 2353 4.250 11/18/96 LExit 2353 4.375 $ -341.18 $ -39309.23 11/19/96 Sell 2286 4.375 11/26/96 SExit 2286 4.563 $ -1046.99 $ -40356.21 11/26/96 Buy 2192 4.563 12/09/96 LExit 2192 4.781 $ -113.98 $ -40470.20 12/11/96 Sell 2222 4.500 01/08/97 SExit 2222 4.625 $ -877.69 $ -41347.89 01/08/97 Buy 2162 4.625 03/07/97 LExit 2162 8.438 $ 7659.97 $ -33687.93 03/10/97 Sell 1181 8.469 03/14/97 SExit 1181 9.063 $ -1020.38 $ -34708.31 03/14/97 Buy 1103 9.063 03/19/97 LExit 1103 8.750 $ -643.05 $ -35351.36 03/20/97 Buy 1067 9.375 04/01/97 LExit 1067 9.000 $ -688.22 $ -36039.57 04/03/97 Sell 1147 8.719 05/09/97 SExit 1147 7.313 $ 1302.99 $ -34736.58 05/09/97 Buy 1367 7.313 05/23/97 LExit 1367 8.250 $ 911.79 $ -33824.79 05/27/97 Sell 1270 7.875 06/04/97 SExit 1270 8.375 $ -977.90 $ -34802.69 06/04/97 Buy 1194 8.375 06/19/97 LExit 1194 8.375 $ -322.38 $ -35125.07 06/20/97 Sell 1231 8.125 06/26/97 SExit 1231 8.500 $ -793.99 $ -35919.07 06/26/97 Buy 1176 8.500 08/08/97 LExit 1176 13.375 $ 5415.48 $ -30503.59 08/12/97 Sell 721 13.875

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