Summary Test Results - Trend Weaver

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

1		13,025,446,692.05	64.14%	1.70	1.43	1.06	37.8%	23.2	3,570

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

1990	365	81,684.14	91,940.22	41,940.22	83.9%	95
1991	365	109,805.71	131,043.21	39,103.00	42.5%	116
1992	366	166,118.54	196,556.54	65,513.32	50.0%	141
1993	365	287,044.10	330,165.70	133,609.16	68.0%	138
1994	365	658,288.88	737,674.48	407,508.79	123.4%	137
1995	365	879,839.57	1,151,895.77	414,221.29	56.2%	150
1996	366	1,802,813.78	2,024,903.78	873,008.01	75.8%	152
1997	365	3,552,528.07	4,308,440.07	2,283,536.29	112.8%	133
1998	365	5,878,488.27	6,962,916.92	2,654,476.85	61.6%	151
1999	365	7,151,748.71	7,696,956.21	734,039.28	10.5%	152
2000	366	18,435,605.46	24,989,530.71	17,292,574.51	224.7%	137
2001	365	42,682,793.34	46,424,448.84	21,434,918.12	85.8%	145
2002	365	47,846,964.58	61,604,765.83	15,180,316.99	32.7%	147
2003	365	96,732,114.34	109,822,622.64	48,217,856.82	78.3%	136
2004	366	160,413,061.39	185,579,264.14	75,756,641.50	69.0%	146
2005	365	235,531,785.99	240,259,660.99	54,680,396.85	29.5%	146
2006	365	404,273,494.52	425,862,672.02	185,603,011.03	77.3%	137
2007	365	618,137,902.55	708,611,328.85	282,748,656.83	66.4%	137
2008	366	2,111,794,722.57	2,219,895,585.07	1,511,284,256.22	213.3%	144
2009	365	2,625,780,541.48	2,834,710,045.78	614,814,460.71	27.7%	151
2010	365	3,963,260,684.54	4,978,227,773.54	2,143,517,727.76	75.6%	147
2011	365	4,228,066,987.04	4,258,041,653.54	-720,186,120.00	-14.5%	161
2012	366	4,800,349,533.56	4,906,852,260.06	648,810,606.52	15.2%	145
2013	365	4,416,227,688.97	4,593,454,859.97	-313,397,400.09	-6.4%	149
2014	365	9,627,123,457.75	10,916,495,319.95	6,323,040,459.98	137.7%	144
2015	61	13,025,446,692.05	13,025,446,692.05	2,108,951,372.10	19.3%	33

Trading Performance

CAGR %	64.14%
MAR Ratio	1.70
RAR %	67.69%
R-Cubed	2.78
Robust Sharpe Ratio	1.67

Margin to Equity Ratio	52.44%
Daily Return %	0.2161%
Daily Geometric Return %	0.1358%
Daily Standard Deviation %	2.29%
Daily Downside Deviation %	1.47%
Daily Sharpe	0.091
Daily Geo Sharpe	0.056
Daily Sortino	0.142

Modified Sharpe Ratio	1.43
Annual Sharpe Ratio	1.06
Annual Sortino Ratio	+ ∞
Monthly Sharpe Ratio	0.39
Monthly Sortino Ratio	1.12
Calmar Ratio	2.02
R-Squared	0.988

Maximum Total Equity Drawdown %	37.80%
Longest Total Equity Drawdown (months)	23.23
Average Max TE Drawdown %	31.85%
Average Max TE Drawdown Length (months)	12.83
Maximum Monthly Total Equity Drawdown %	31.81%
Maximum Monthly Closed Equity Drawdown %	26.15%
Maximum Closed Equity Drawdown %	32.34%
Average Closed Equity Drawdown %	6.14%

Round Turns Per Million	3,674
Round Turns	141,283,337
Total Trades	3,570

Start Account Balance	50,000.00
Total Win Dollars	44,143,447,358.97
Total Loss Dollars	31,118,050,666.93
Total Profit	13,025,396,692.05
Earned Interest	0.00
Margin Interest	0.00
End Account Balance	13,025,446,692.05
End Open Equity	0.00
End Total Equity	13,025,446,692.05

Highest Total Equity	15,097,306,228.79
Highest Closed Equity	13,470,641,283.80

Total Commissions	0.00
Commission per Round Turn	0.00
Total Slippage	2,949,751,626.86
Slippage per Round Turn	20.88
Total Forex Carry	0.00
Total Dividends	0.00
Total Other Expenses	0.00

Monte Carlo Confidence Level Statistics

90% Return	50.42%
90% Sharpe	0.05
90% MAR	1.06
90% R Squared	0.969
90% Maximum Drawdown	50.97%
90% Second Largest Drawdown	42.01%
90% Third Largest Drawdown	37.54%
90% Longest Drawdown	33.9
90% Second Longest Drawdown	21.3
90% Third Longest Drawdown	16.6

Test Period

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

Win/Loss Statistics

Wins	1395	39.1%
Losses	2175	60.9%

Total	3570	100.0%

Winning Months	188	62.0%
Losing Months	115	38.0%

Total	303	100.0%

Average Risk Percent	1.62%
Average Win Percent	2.74%
Average Loss Percent	1.09%
Average Win Dollars	31,644,048.29
Average Loss Dollars	14,307,149.73
Average Trade Percent	0.41%
Average Trade Duration	24.95
Average Trade Dollars	3,648,570.50

Profit Factor	1.42
Percent Profit Factor	1.61
Expectation	0.25

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	63	32.8%	129	67.2%	192	151	49.8%	152	50.2%	2.75%	1.03%	0.21%	1.30
C	70	36.3%	123	63.7%	193	142	46.9%	161	53.1%	2.47%	1.20%	0.13%	1.17
CL	72	40.0%	108	60.0%	180	172	56.8%	131	43.2%	2.80%	1.02%	0.51%	1.82
CT	70	35.2%	129	64.8%	199	153	50.5%	150	49.5%	2.90%	1.06%	0.33%	1.49
DT	81	47.4%	90	52.6%	171	177	58.4%	126	41.6%	3.15%	1.09%	0.92%	2.60
DX	72	39.1%	112	60.9%	184	157	51.8%	146	48.2%	2.85%	1.10%	0.45%	1.67
EC	71	39.9%	107	60.1%	178	168	55.4%	135	44.6%	3.21%	1.08%	0.63%	1.97
ED	80	40.0%	120	60.0%	200	164	54.1%	139	45.9%	3.33%	1.29%	0.56%	1.72
FC	70	36.6%	121	63.4%	191	148	48.8%	155	51.2%	2.92%	1.18%	0.32%	1.43
GC	67	35.6%	121	64.4%	188	140	46.2%	163	53.8%	2.51%	1.04%	0.23%	1.34
HG	70	36.3%	123	63.7%	193	145	47.9%	158	52.1%	3.04%	1.12%	0.39%	1.54
JY	73	42.2%	100	57.8%	173	163	53.8%	140	46.2%	2.91%	1.09%	0.60%	1.95
LB	82	44.8%	101	55.2%	183	164	54.1%	139	45.9%	2.51%	1.01%	0.57%	2.03
LH	74	38.9%	116	61.1%	190	137	45.2%	166	54.8%	2.42%	1.04%	0.31%	1.48
NG	77	42.3%	105	57.7%	182	169	55.8%	134	44.2%	2.50%	1.12%	0.42%	1.65
OJ	76	37.8%	125	62.2%	201	150	49.5%	153	50.5%	1.87%	0.95%	0.12%	1.20
PA	81	41.3%	115	58.7%	196	154	50.8%	149	49.2%	3.07%	1.09%	0.63%	1.98
S	73	38.8%	115	61.2%	188	149	49.2%	154	50.8%	2.16%	1.08%	0.17%	1.26
SB	73	38.8%	115	61.2%	188	150	49.5%	153	50.5%	2.63%	1.09%	0.35%	1.53

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