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
1355,558,496,057.9387.20%2.341.580.7637.3%14.37,740

  


























Yearly Performance Summary
Year  Days  Closed Balance  End Total Equity  Total Equity Gain  Gain % # Trades
199036596,721.25102,680.8552,680.85105.4%265
1991365109,286.30133,839.8031,158.9530.3%317
1992366185,420.45235,199.95101,360.1475.7%318
1993365343,688.38400,917.13165,717.1970.5%320
1994365796,447.01851,088.96450,171.83112.3%331
19953651,706,580.111,997,713.611,146,624.65134.7%323
19963663,554,384.444,251,536.942,253,823.32112.8%331
19973656,870,714.357,975,735.853,724,198.9287.6%341
19983659,373,162.089,632,137.081,656,401.2220.8%335
199936516,534,884.1318,142,345.638,510,208.5688.4%310
200036659,787,075.7467,709,752.2449,567,406.61273.2%315
2001365234,945,044.50267,581,505.00199,871,752.76295.2%327
2002365396,005,329.39436,870,565.09169,289,060.0963.3%322
2003365587,808,846.09694,731,201.69257,860,636.5959.0%314
20043661,177,132,067.531,414,197,443.53719,466,241.85103.6%333
20053651,539,298,118.371,592,948,642.87178,751,199.3412.6%321
20063652,273,864,845.532,514,389,933.03921,441,290.1657.8%338
20073654,536,049,790.695,238,814,556.692,724,424,623.66108.4%313
200836628,433,752,581.3331,326,785,077.8326,087,970,521.14498.0%310
200936528,275,390,042.7230,676,102,785.22-650,682,292.61-2.1%288
201036560,405,296,728.4166,074,040,473.4135,397,937,688.19115.4%273
201136556,923,406,370.1660,134,147,770.96-5,939,892,702.45-9.0%272
201236666,898,969,935.4975,371,631,387.9915,237,483,617.0325.3%265
201336590,000,953,790.0395,720,039,509.0320,348,408,121.0427.0%255
2014365261,392,020,374.77307,028,041,034.77211,308,001,525.74220.8%256
201561355,558,496,057.93355,558,496,057.9348,530,455,023.1615.8%47

Trading Performance
CAGR %87.20%
MAR Ratio2.34
RAR %92.22%
R-Cubed4.50
Robust Sharpe Ratio1.97
Margin to Equity Ratio57.47%
Daily Return %0.2746%
Daily Geometric Return %0.1718%
Daily Standard Deviation %2.62%
Daily Downside Deviation %1.56%
Daily Sharpe0.102
Daily Geo Sharpe0.062
Daily Sortino0.170
Modified Sharpe Ratio1.58
Annual Sharpe Ratio0.76
Annual Sortino Ratio+ ∞  
Monthly Sharpe Ratio0.44
Monthly Sortino Ratio1.15
Calmar Ratio3.09
R-Squared0.990
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 Million7,280
Round Turns1,986,026,685
Total Trades7,740
Start Account Balance50,000.00
Total Win Dollars1,171,926,970,368.43
Total Loss Dollars816,368,524,310.50
Total Profit355,558,446,057.93
Earned Interest0.00
Margin Interest0.00
End Account Balance355,558,496,057.93
End Open Equity0.00
End Total Equity355,558,496,057.93
Highest Total Equity377,176,184,642.46
Highest Closed Equity355,736,294,507.93
Total Commissions0.00
Commission per Round Turn0.00
Total Slippage78,053,027,251.67
Slippage per Round Turn39.30
Total Forex Carry0.00
Total Dividends0.00
Total Other Expenses0.00

Monte Carlo Confidence Level Statistics
90% Return68.99%
90% Sharpe0.05
90% MAR1.40
90% R Squared0.971
90% Maximum Drawdown53.48%
90% Second Largest Drawdown45.02%
90% Third Largest Drawdown40.91%
90% Longest Drawdown30.7
90% Second Longest Drawdown20.2
90% Third Longest Drawdown15.6

Test Period
First Test Date1990-01-01
Last Test Date2015-03-02

Win/Loss Statistics
Wins304239.3%
Losses469860.7%
Total7740100.0%
Winning Months20066.0%
Losing Months10334.0%
Total303100.0%
Average Risk Percent1.28%
Average Win Percent2.09%
Average Loss Percent0.96%
Average Win Dollars385,248,839.70
Average Loss Dollars173,769,375.12
Average Trade Percent0.24%
Average Trade Duration10.22
Average Trade Dollars45,937,783.73
Profit Factor1.44
Percent Profit Factor1.41
Expectation0.18

Equity Management
Test Starting Equity50,000.00
Order Generation Equity0.00
Order Generation Equity High0.00
Leverage (fraction)1.00
Trading Equity BaseTotal Equity
Drawdown Reduction Threshold (%)0.00%
Drawdown Reduction Amount (%)0.00%

Global Simulation Parameters
Earn InterestFALSE
Earn DividendsTRUE
Pay Margin on StocksTRUE
Commission per Stock Trade0.00
Commission per Stock Share0.00
Commission per Contract0.00
Commission by Stock Value (%)0.00%
Slippage Percent5.00%
Minimum Slippage0.00
Forex Trade Size1,000.00
Account for Forex CarryTRUE
Use Pip Based SlippageFALSE
Account for Contract RollsTRUE
Roll Slippage in % of ATR5.00%
Minimum Stock Volume0
Minimum Futures Volume0
Max Percent Volume Per Trade0.00%
Entry Day Retracement0.00%
Max Margin Equity0.00%
Trade on Lock DaysFALSE
Convert Profit by Stock SplitTRUE
Trade Always on TickTRUE
Smart Fill ExitTRUE
Use Start Date SteppingFALSE
Use Broker PositionsFALSE

Preferences
Risk Free Rate3.00%
Load VolumeTRUE
Load Unadjusted CloseTRUE
Raise Negative DataFALSE
Process Weekly BarsTRUE
Process Monthly BarsTRUE
Process Daily BarsTRUE
Process WeekendsTRUE
Additional Years of Data5.00

Instrument Performance Summary
Symbol  Wins  %  Losses  %  Trades  Win Months  %  Loss Months  %  Avg. Win %  Avg. Loss %  Avg. Trade %  % Proft Factor
AD15035.6%27164.4%42113243.6%17156.4%1.59%0.96%-0.05%0.92
C11238.2%18161.8%29317156.4%13243.6%1.99%0.90%0.20%1.36
CL16741.1%23958.9%40616654.8%13745.2%1.89%0.90%0.25%1.47
CT15336.8%26363.2%41614848.8%15551.2%2.17%0.89%0.24%1.42
DT16545.2%20054.8%36517056.1%13343.9%1.92%0.97%0.34%1.64
DX16739.4%25760.6%42414949.2%15450.8%2.16%1.02%0.23%1.38
EC14839.4%22860.6%37614447.5%15952.5%2.24%0.96%0.30%1.52
ED16148.3%17251.7%33319163.0%11237.0%2.32%0.98%0.62%2.23
FC15838.6%25161.4%40914648.2%15751.8%2.13%1.05%0.18%1.28
GC16537.5%27562.5%44013845.5%16554.5%1.88%0.98%0.09%1.16
HG15235.3%27864.7%43014748.5%15651.5%2.10%0.93%0.14%1.24
JY18940.3%28059.7%46915651.5%14748.5%2.26%1.02%0.30%1.50
LB17639.3%27260.7%44814848.8%15551.2%2.30%0.94%0.33%1.58
LH16640.8%24159.2%40714447.5%15952.5%1.93%0.98%0.21%1.36
NG16642.5%22557.5%39116454.1%13945.9%1.99%0.87%0.35%1.69
OJ16837.0%28663.0%45414146.5%16253.5%1.86%0.96%0.08%1.14
PA18339.9%27660.1%45914848.8%15551.2%2.55%0.99%0.42%1.72
S14135.7%25464.3%39514146.5%16253.5%2.10%0.95%0.14%1.23
SB15538.4%24961.6%40415149.8%15250.2%2.11%0.98%0.21%1.34
 

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