Richard, I had to reboot the computer. So here's the systems compared on Terex Corp(Tex):
System notes
Enter long Alert(Cross(Fml( "StochRSI 8,5"),30),5) AND Cross(Fml( "8,17,9" ),0)
Close long Cross(70,Fml( "StochRSI 14" ))
Initial equity 1000
Positions Long
Trade price Close
Trade delay 0
Entry commission 20 points
Exit commission 20 points
Interest rate 0%
Margin req. 100%
Report
Total net profit 959.49 Open position value -119.08
Percent gain/loss 95.95 Annual percent gain/loss 49.47
Initial investment 1000.00 Interest earned 0.00
Current position Long Date position entered 1/5/98
Buy/Hold profit 3845.56 Days in test 708
Buy/Hold pct gain/loss 384.56 Annual B/H pct gain/loss 198.25
Total closed trades 9 Commissions paid 380.00
Avg profit per trade 119.84 Avg Win/Avg Loss ratio 2.55
Total long trades 9 Total short trades 0 Winning long trades 6 Winning short trades 0
Total winning trades 6 Total losing trades 3 Amount of winning trades 1341.19 Amount of losing trades-262.62
Average win 223.53 Average loss -87.54
Largest win 490.77 Largest loss -211.56
Average length of win 30.00 Average length of loss 60.00
Longest winning trade 53 Longest losing trade 108
Most consecutive wins 4 Most consecutive losses 2
Total bars out 145 Average length out 14.50
Longest out period 28
System close drawdown 0.00 Profit/Loss index 78.51
System open drawdown -43.33 Reward/Risk index 95.68
Max open trade drawdown -191.56 Buy/Hold index -78.15
VS:
System notes
Enter long Alert(Cross(Fml( "StochRSI 8,5"),30),5) AND Cross(Fml( "8,17,9" ),0) AND VariableMA511(C,50)- Ref(VariableMA511(C,50),-15)>0
Close long Cross(70,Fml( "StochRSI 14" ))
Initial equity 1000
Positions Long
Trade price Close
Trade delay 0
Entry commission 20 points
Exit commission 20 points
Interest rate 0%
Margin req. 100%
Report
Total net profit 201.75 Open position value -80.76
Percent gain/loss 20.17 Annual percent gain/loss 10.40
Initial investment 1000.00 Interest earned 0.00
Current position Long Date position entered 1/5/98
Buy/Hold profit 3845.56 Days in test 708
Buy/Hold pct gain/loss 384.56 Annual B/H pct gain/loss 198.25
Total closed trades 5 Commissions paid 220.00
Avg profit per trade 56.50 Avg Win/Avg Loss ratio 1.56
Total long trades 5 Total short trades 0
Winning long trades 3 Winning short trades 0
Total winning trades 3 Total losing trades 2
Amount of winning trades 492.80 Amount of losing trades -210.28
Average win 164.27 Average loss -105.14
Largest win 318.78 Largest loss -177.81
Average length of win 38.67 Average length of loss 83.00
Longest winning trade 53 Longest losing trade 108
Most consecutive wins 3 Most consecutive losses 1
Total bars out 215 Average length out 35.83
Longest out period 63
System close drawdown -177.81 Profit/Loss index 48.96 System open drawdown -218.12 Reward/Risk index 48.05
Max open trade drawdown -157.81 Buy/Hold index -96.85
Chris
PS: Thanks for the interpretatiion on Insynch. And sorry for the misallignment, when I ctrl c and ctrl v It was all jumbled together with squares so I tried my best to realign everything. |
