Quote from bwolinsky:
What you're saying is that because I remove the sell on close that get these results:
All Trades Long Trades Short Trades Buy & Hold
Starting Capital $1,000,000.00 $1,000,000.00 $1,000,000.00 $1,000,000.00
Ending Capital $1,230,029.89 $1,230,029.89 $1,000,000.00 $380,793.20
Net Profit $230,029.89 $230,029.89 $0.00 ($619,206.80)
Net Profit % 23.00% 23.00% 0.00% -61.92%
Annualized Gain % 29.45% 29.45% 0.00% -69.99%
Exposure 12.13% 12.13% 0.00% 354.55%
Total Commission ($624.00) ($624.00) $0.00 ($8.00)
Return on Cash $0.00 $0.00 $0.00 $0.00
Margin Interest Paid $0.00 $0.00 $0.00 $0.00
Dividends Received $0.00 $0.00 $0.00 $0.00
Number of Trades 39 39 0 1
Average Profit $5,898.20 $5,898.20 $0.00 ($619,206.80)
Average Profit % 0.39% 0.39% 0.00% -30.95%
Average Bars Held 8.85 8.85 0.00 5,249.00
Winning Trades 25 25 0 0
Win Rate 64.10% 64.10% 0.00% 0.00%
Gross Profit $1,045,603.07 $1,045,603.07 $0.00 $0.00
Average Profit $41,824.12 $41,824.12 $0.00 $0.00
Average Profit % 2.13% 2.13% 0.00% 0.00%
Average Bars Held 7.44 7.44 0.00 0.00
Max Consecutive Winners 4 4 0 0
Losing Trades 14 14 0 1
Loss Rate 35.90% 35.90% 0.00% 100.00%
Gross Loss ($815,573.18) ($815,573.18) $0.00 ($619,206.80)
Average Loss ($58,255.23) ($58,255.23) $0.00 ($619,206.80)
Average Loss % -2.73% -2.73% 0.00% -30.95%
Average Bars Held 11.36 11.36 0.00 5,249.00
Max Consecutive Losses 3 3 0 1
Maximum Drawdown ($523,457.68) ($523,457.68) $0.00 ($973,654.28)
Maximum Drawdown Date 11/21/2008 11/21/2008 9/2/2008 3/6/2009
Maximum Drawdown % -41.45% -41.45% 0.00% -97.37%
Maximum Drawdown % Date 11/21/2008 11/21/2008 6/22/2009 3/6/2009
Wealth-Lab Score 142.15 142.15 0.00 -38.96
Sharpe Ratio 0.83 0.83 0.00 -0.22
Profit Factor 1.28 1.28 0.00 0.00
Recovery Factor 0.44 0.44 0.00 0.00
Payoff Ratio 0.78 0.78 0.00 0.00
That the system is invalid? I don't think that's right. Obviously you've got to hold to be successful with the system. Then one more mod to changing the first derivative to 0.2 and below. I don't consider that curve fitting.
