Summary Test Results - Hi-Lo Trend

**Stepped Parameter Summary Performance**
Test	Ending Balance	CAGR%	MAR	Modified Sharpe	Annual Sharpe	Max Total Equity DD	Longest Drawdown	# Trades

1	355,558,496,057.93	87.20%	2.34	1.58	0.76	37.3%	14.3	7,740

**Yearly Performance Summary**
Year	Days	Closed Balance	End Total Equity	Total Equity Gain	Gain %	# Trades

1990	365	96,721.25	102,680.85	52,680.85	105.4%	265
1991	365	109,286.30	133,839.80	31,158.95	30.3%	317
1992	366	185,420.45	235,199.95	101,360.14	75.7%	318
1993	365	343,688.38	400,917.13	165,717.19	70.5%	320
1994	365	796,447.01	851,088.96	450,171.83	112.3%	331
1995	365	1,706,580.11	1,997,713.61	1,146,624.65	134.7%	323
1996	366	3,554,384.44	4,251,536.94	2,253,823.32	112.8%	331
1997	365	6,870,714.35	7,975,735.85	3,724,198.92	87.6%	341
1998	365	9,373,162.08	9,632,137.08	1,656,401.22	20.8%	335
1999	365	16,534,884.13	18,142,345.63	8,510,208.56	88.4%	310
2000	366	59,787,075.74	67,709,752.24	49,567,406.61	273.2%	315
2001	365	234,945,044.50	267,581,505.00	199,871,752.76	295.2%	327
2002	365	396,005,329.39	436,870,565.09	169,289,060.09	63.3%	322
2003	365	587,808,846.09	694,731,201.69	257,860,636.59	59.0%	314
2004	366	1,177,132,067.53	1,414,197,443.53	719,466,241.85	103.6%	333
2005	365	1,539,298,118.37	1,592,948,642.87	178,751,199.34	12.6%	321
2006	365	2,273,864,845.53	2,514,389,933.03	921,441,290.16	57.8%	338
2007	365	4,536,049,790.69	5,238,814,556.69	2,724,424,623.66	108.4%	313
2008	366	28,433,752,581.33	31,326,785,077.83	26,087,970,521.14	498.0%	310
2009	365	28,275,390,042.72	30,676,102,785.22	-650,682,292.61	-2.1%	288
2010	365	60,405,296,728.41	66,074,040,473.41	35,397,937,688.19	115.4%	273
2011	365	56,923,406,370.16	60,134,147,770.96	-5,939,892,702.45	-9.0%	272
2012	366	66,898,969,935.49	75,371,631,387.99	15,237,483,617.03	25.3%	265
2013	365	90,000,953,790.03	95,720,039,509.03	20,348,408,121.04	27.0%	255
2014	365	261,392,020,374.77	307,028,041,034.77	211,308,001,525.74	220.8%	256
2015	61	355,558,496,057.93	355,558,496,057.93	48,530,455,023.16	15.8%	47

Trading Performance

CAGR %	87.20%
MAR Ratio	2.34
RAR %	92.22%
R-Cubed	4.50
Robust Sharpe Ratio	1.97

Margin to Equity Ratio	57.47%
Daily Return %	0.2746%
Daily Geometric Return %	0.1718%
Daily Standard Deviation %	2.62%
Daily Downside Deviation %	1.56%
Daily Sharpe	0.102
Daily Geo Sharpe	0.062
Daily Sortino	0.170

Modified Sharpe Ratio	1.58
Annual Sharpe Ratio	0.76
Annual Sortino Ratio	+ ∞
Monthly Sharpe Ratio	0.44
Monthly Sortino Ratio	1.15
Calmar Ratio	3.09
R-Squared	0.990

Maximum Total Equity Drawdown %	37.31%
Longest Total Equity Drawdown (months)	14.26
Average Max TE Drawdown %	33.41%
Average Max TE Drawdown Length (months)	10.30
Maximum Monthly Total Equity Drawdown %	28.26%
Maximum Monthly Closed Equity Drawdown %	32.48%
Maximum Closed Equity Drawdown %	35.34%
Average Closed Equity Drawdown %	5.78%

Round Turns Per Million	7,280
Round Turns	1,986,026,685
Total Trades	7,740

Start Account Balance	50,000.00
Total Win Dollars	1,171,926,970,368.43
Total Loss Dollars	816,368,524,310.50
Total Profit	355,558,446,057.93
Earned Interest	0.00
Margin Interest	0.00
End Account Balance	355,558,496,057.93
End Open Equity	0.00
End Total Equity	355,558,496,057.93

Highest Total Equity	377,176,184,642.46
Highest Closed Equity	355,736,294,507.93

Total Commissions	0.00
Commission per Round Turn	0.00
Total Slippage	78,053,027,251.67
Slippage per Round Turn	39.30
Total Forex Carry	0.00
Total Dividends	0.00
Total Other Expenses	0.00

Monte Carlo Confidence Level Statistics

90% Return	68.99%
90% Sharpe	0.05
90% MAR	1.40
90% R Squared	0.971
90% Maximum Drawdown	53.48%
90% Second Largest Drawdown	45.02%
90% Third Largest Drawdown	40.91%
90% Longest Drawdown	30.7
90% Second Longest Drawdown	20.2
90% Third Longest Drawdown	15.6

Test Period

First Test Date	1990-01-01
Last Test Date	2015-03-02

Win/Loss Statistics

Wins	3042	39.3%
Losses	4698	60.7%

Total	7740	100.0%

Winning Months	200	66.0%
Losing Months	103	34.0%

Total	303	100.0%

Average Risk Percent	1.28%
Average Win Percent	2.09%
Average Loss Percent	0.96%
Average Win Dollars	385,248,839.70
Average Loss Dollars	173,769,375.12
Average Trade Percent	0.24%
Average Trade Duration	10.22
Average Trade Dollars	45,937,783.73

Profit Factor	1.44
Percent Profit Factor	1.41
Expectation	0.18

Equity Management


Test Starting Equity	50,000.00
Order Generation Equity	0.00
Order Generation Equity High	0.00
Leverage (fraction)	1.00
Trading Equity Base	Total Equity
Drawdown Reduction Threshold (%)	0.00%
Drawdown Reduction Amount (%)	0.00%

Global Simulation Parameters

Earn Interest	FALSE
Earn Dividends	TRUE
Pay Margin on Stocks	TRUE
Commission per Stock Trade	0.00
Commission per Stock Share	0.00
Commission per Contract	0.00
Commission by Stock Value (%)	0.00%
Slippage Percent	5.00%
Minimum Slippage	0.00
Forex Trade Size	1,000.00
Account for Forex Carry	TRUE
Use Pip Based Slippage	FALSE

Account for Contract Rolls	TRUE
Roll Slippage in % of ATR	5.00%

Minimum Stock Volume	0
Minimum Futures Volume	0
Max Percent Volume Per Trade	0.00%
Entry Day Retracement	0.00%
Max Margin Equity	0.00%
Trade on Lock Days	FALSE
Convert Profit by Stock Split	TRUE
Trade Always on Tick	TRUE
Smart Fill Exit	TRUE
Use Start Date Stepping	FALSE
Use Broker Positions	FALSE

Preferences

Risk Free Rate	3.00%
Load Volume	TRUE
Load Unadjusted Close	TRUE
Raise Negative Data	FALSE
Process Weekly Bars	TRUE
Process Monthly Bars	TRUE
Process Daily Bars	TRUE
Process Weekends	TRUE
Additional Years of Data	5.00

**Instrument Performance Summary**
Symbol	Wins	%	Losses	%	Trades	Win Months	%	Loss Months	%	Avg. Win %	Avg. Loss %	Avg. Trade %	% Proft Factor

AD	150	35.6%	271	64.4%	421	132	43.6%	171	56.4%	1.59%	0.96%	-0.05%	0.92
C	112	38.2%	181	61.8%	293	171	56.4%	132	43.6%	1.99%	0.90%	0.20%	1.36
CL	167	41.1%	239	58.9%	406	166	54.8%	137	45.2%	1.89%	0.90%	0.25%	1.47
CT	153	36.8%	263	63.2%	416	148	48.8%	155	51.2%	2.17%	0.89%	0.24%	1.42
DT	165	45.2%	200	54.8%	365	170	56.1%	133	43.9%	1.92%	0.97%	0.34%	1.64
DX	167	39.4%	257	60.6%	424	149	49.2%	154	50.8%	2.16%	1.02%	0.23%	1.38
EC	148	39.4%	228	60.6%	376	144	47.5%	159	52.5%	2.24%	0.96%	0.30%	1.52
ED	161	48.3%	172	51.7%	333	191	63.0%	112	37.0%	2.32%	0.98%	0.62%	2.23
FC	158	38.6%	251	61.4%	409	146	48.2%	157	51.8%	2.13%	1.05%	0.18%	1.28
GC	165	37.5%	275	62.5%	440	138	45.5%	165	54.5%	1.88%	0.98%	0.09%	1.16
HG	152	35.3%	278	64.7%	430	147	48.5%	156	51.5%	2.10%	0.93%	0.14%	1.24
JY	189	40.3%	280	59.7%	469	156	51.5%	147	48.5%	2.26%	1.02%	0.30%	1.50
LB	176	39.3%	272	60.7%	448	148	48.8%	155	51.2%	2.30%	0.94%	0.33%	1.58
LH	166	40.8%	241	59.2%	407	144	47.5%	159	52.5%	1.93%	0.98%	0.21%	1.36
NG	166	42.5%	225	57.5%	391	164	54.1%	139	45.9%	1.99%	0.87%	0.35%	1.69
OJ	168	37.0%	286	63.0%	454	141	46.5%	162	53.5%	1.86%	0.96%	0.08%	1.14
PA	183	39.9%	276	60.1%	459	148	48.8%	155	51.2%	2.55%	0.99%	0.42%	1.72
S	141	35.7%	254	64.3%	395	141	46.5%	162	53.5%	2.10%	0.95%	0.14%	1.23
SB	155	38.4%	249	61.6%	404	151	49.8%	152	50.2%	2.11%	0.98%	0.21%	1.34