Summary Test Results - Swing Machine

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

1		97,291,322,188.17	77.80%	1.93	1.42	0.81	40.4%	15.6	6,622

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

1990	365	58,585.48	60,054.58	10,054.58	20.1%	147
1991	365	79,593.11	86,821.28	26,766.70	44.6%	210
1992	366	88,559.91	118,864.91	32,043.63	36.9%	216
1993	365	136,586.10	167,066.10	48,201.19	40.6%	254
1994	365	228,729.40	243,650.60	76,584.50	45.8%	268
1995	365	254,738.60	330,415.60	86,765.00	35.6%	288
1996	366	555,015.71	594,489.71	264,074.11	79.9%	249
1997	365	1,043,737.20	1,331,427.30	736,937.59	124.0%	264
1998	365	2,101,414.64	2,673,409.04	1,341,981.74	100.8%	234
1999	365	3,688,196.05	4,922,093.55	2,248,684.51	84.1%	260
2000	366	14,149,813.39	15,480,185.14	10,558,091.59	214.5%	249
2001	365	33,203,991.20	35,892,999.10	20,412,813.96	131.9%	243
2002	365	57,466,934.77	81,519,842.52	45,626,843.42	127.1%	261
2003	365	118,828,941.47	125,695,842.27	44,175,999.74	54.2%	266
2004	366	219,745,726.72	254,474,912.12	128,779,069.85	102.5%	245
2005	365	386,134,657.98	391,472,863.98	136,997,951.85	53.8%	292
2006	365	727,680,027.21	767,450,318.96	375,977,454.99	96.0%	273
2007	365	1,007,102,899.98	1,276,317,332.38	508,867,013.42	66.3%	268
2008	366	6,906,034,990.46	7,226,153,895.46	5,949,836,563.08	466.2%	219
2009	365	12,014,475,794.21	11,417,695,481.71	4,191,541,586.26	58.0%	330
2010	365	23,507,769,138.15	31,105,463,757.35	19,687,768,275.63	172.4%	268
2011	365	30,776,497,055.78	32,407,053,245.68	1,301,589,488.33	4.2%	306
2012	366	43,643,454,266.13	44,612,858,946.13	12,205,805,700.45	37.7%	297
2013	365	49,703,272,231.85	47,658,310,434.45	3,045,451,488.32	6.8%	307
2014	365	78,200,329,280.29	88,833,619,011.39	41,175,308,576.94	86.4%	340
2015	61	97,291,322,188.17	97,291,322,188.17	8,457,703,176.78	9.5%	68

Trading Performance

CAGR %	77.80%
MAR Ratio	1.93
RAR %	92.64%
R-Cubed	3.65
Robust Sharpe Ratio	1.90

Margin to Equity Ratio	84.93%
Daily Return %	0.2592%
Daily Geometric Return %	0.1577%
Daily Standard Deviation %	2.78%
Daily Downside Deviation %	1.76%
Daily Sharpe	0.090
Daily Geo Sharpe	0.054
Daily Sortino	0.143

Modified Sharpe Ratio	1.42
Annual Sharpe Ratio	0.81
Annual Sortino Ratio	+ ∞
Monthly Sharpe Ratio	0.39
Monthly Sortino Ratio	0.97
Calmar Ratio	2.20
R-Squared	0.987

Maximum Total Equity Drawdown %	40.38%
Longest Total Equity Drawdown (months)	15.64
Average Max TE Drawdown %	37.83%
Average Max TE Drawdown Length (months)	11.26
Maximum Monthly Total Equity Drawdown %	35.32%
Maximum Monthly Closed Equity Drawdown %	34.63%
Maximum Closed Equity Drawdown %	42.43%
Average Closed Equity Drawdown %	6.71%

Round Turns Per Million	6,373
Round Turns	1,666,018,190
Total Trades	6,622

Start Account Balance	50,000.00
Total Win Dollars	451,703,055,857.06
Total Loss Dollars	354,411,783,668.89
Total Profit	97,291,272,188.17
Earned Interest	0.00
Margin Interest	0.00
End Account Balance	97,291,322,188.17
End Open Equity	0.00
End Total Equity	97,291,322,188.17

Highest Total Equity	113,192,244,856.52
Highest Closed Equity	100,894,072,204.24

Total Commissions	0.00
Commission per Round Turn	0.00
Total Slippage	37,732,686,415.13
Slippage per Round Turn	22.65
Total Forex Carry	0.00
Total Dividends	0.00
Total Other Expenses	0.00

Monte Carlo Confidence Level Statistics

90% Return	60.87%
90% Sharpe	0.04
90% MAR	1.16
90% R Squared	0.965
90% Maximum Drawdown	56.48%
90% Second Largest Drawdown	48.04%
90% Third Largest Drawdown	43.64%
90% Longest Drawdown	34.2
90% Second Longest Drawdown	21.5
90% Third Longest Drawdown	16.7

Test Period

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

Win/Loss Statistics

Wins	2025	30.6%
Losses	4597	69.4%

Total	6622	100.0%

Winning Months	190	62.7%
Losing Months	113	37.3%

Total	303	100.0%

Average Risk Percent	1.50%
Average Win Percent	2.75%
Average Loss Percent	0.82%
Average Win Dollars	223,063,237.46
Average Loss Dollars	77,096,320.14
Average Trade Percent	0.27%
Average Trade Duration	19.88
Average Trade Dollars	14,692,128.09

Profit Factor	1.27
Percent Profit Factor	1.48
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	118	29.4%	283	70.6%	401	152	50.2%	151	49.8%	2.26%	0.70%	0.17%	1.34
C	94	29.3%	227	70.7%	321	153	50.5%	150	49.5%	2.62%	0.86%	0.16%	1.26
CL	109	31.5%	237	68.5%	346	162	53.5%	141	46.5%	2.65%	0.80%	0.28%	1.52
CT	104	28.4%	262	71.6%	366	162	53.5%	141	46.5%	2.94%	0.71%	0.33%	1.65
DT	117	35.1%	216	64.9%	333	177	58.4%	126	41.6%	2.73%	0.79%	0.45%	1.88
DX	103	28.0%	265	72.0%	368	160	52.8%	143	47.2%	2.66%	0.75%	0.20%	1.38
EC	111	29.4%	266	70.6%	377	161	53.1%	142	46.9%	2.40%	0.73%	0.19%	1.36
ED	90	38.5%	144	61.5%	234	188	62.0%	115	38.0%	4.65%	1.12%	1.10%	2.59
FC	101	28.9%	248	71.1%	349	160	52.8%	143	47.2%	3.02%	0.81%	0.30%	1.53
GC	121	34.2%	233	65.8%	354	151	49.8%	152	50.2%	2.24%	0.82%	0.22%	1.41
HG	101	26.0%	288	74.0%	389	143	47.2%	160	52.8%	2.70%	0.79%	0.12%	1.20
JY	106	32.2%	223	67.8%	329	169	55.8%	134	44.2%	2.68%	0.99%	0.20%	1.29
LB	98	34.4%	187	65.6%	285	153	50.5%	150	49.5%	3.24%	0.98%	0.47%	1.73
LH	110	31.7%	237	68.3%	347	153	50.5%	150	49.5%	2.22%	0.78%	0.17%	1.32
NG	100	29.5%	239	70.5%	339	151	49.8%	152	50.2%	2.70%	0.90%	0.16%	1.25
OJ	122	34.0%	237	66.0%	359	157	51.8%	146	48.2%	2.22%	0.86%	0.19%	1.33
PA	115	31.7%	248	68.3%	363	170	56.1%	133	43.9%	3.50%	0.74%	0.60%	2.19
S	99	25.2%	294	74.8%	393	144	47.5%	159	52.5%	2.82%	0.79%	0.12%	1.20
SB	106	28.7%	263	71.3%	369	147	48.5%	156	51.5%	2.53%	0.88%	0.10%	1.16

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