Hey everyone, thank you for the comments on the results of my last system. I learned quite a bit. This other system has produced different results and I am curious as to peoples opinions on it. All of the different feedback really helped me out and I prefer to getpeople opinions(good and bad) before I just jump in and go. Thanks to anyone and everyone who contributes. This isn't the best system out there, but is it worth trading in your opinion. The following is 2 year emini S & P results. I wish TS backtested further than 2 years with the Emini S&P:
All Trades
Long Trades
Short Trades
Total Net Profit $21,905.50 $2,808.10 $19,097.40
Gross Profit $61,312.50 $22,600.00 $38,712.50
Gross Loss ($32,675.00) ($16,762.50) ($15,912.50)
Profit Factor 1.88 1.35 2.43
Open Position P/L $0.00 $0.00 $0.00
Select Total Net Profit $21,905.50 $2,808.10 $19,097.40
Select Gross Profit $58,359.80 $21,448.40 $36,911.40
Select Gross Loss ($36,454.30) ($18,640.30) ($17,814.00)
Select Profit Factor 1.60 1.15 2.07
Adjusted Total Net Profit ($11,811.58) ($6,614.00) ($9,974.87)
Adjusted Gross Profit $54,920.23 $18,833.33 $33,539.32
Adjusted Gross Loss ($66,731.81) ($25,447.33) ($43,514.19)
Adjusted Profit Factor 0.82 0.74 0.77
Total Number of Trades 220 99 121
Percent Profitable 41.82% 36.36% 46.28%
Winning Trades 92 36 56
Losing Trades 128 63 65
Even Trades 0 0 0
Avg. Trade Profit/Loss $99.57 $28.36 $157.83
Avg. Winning Trade $635.84 $597.18 $660.69
Avg. Losing Trade ($285.87) ($296.67) ($275.41)
Ratio Avg. Win/Avg. Loss 2.22 2.01 2.40
Largest Winning Trade $1,931.90 $1,706.90 $1,931.90
Largest Losing Trade ($568.10) ($568.10) ($543.10)
Largest Winner as % of Gross Profit 3.15% 7.55% 4.99%
Largest Loser as % of Gross Loss 1.74% 3.39% 3.41%
Max. Consecutive Winning Trades 4 5 6
Max. Consecutive Losing Trades 6 6 6
Avg. Bars in Winning Trades 20 20 21
Avg. Bars in Losing Trades 8 8 8
Max. Shares/Contracts Held 1 1 1
Total Slippage $5,500.00 $2,475.00 $3,025.00
Total Commission $1,232.00 $554.40 $677.60
Max. Trade Drawdown ($537.50) ($537.50) ($512.50)
Max. Equity Drawdown ($3,118.50) ($3,768.50) ($2,789.20)
Annual Rate of Return 10.77%
Return on Initial Capital 21.91%
Buy & Hold Return (33.16%)
Return on Max. Equity Drawdown 702.44%
Avg. Monthly Return $952.41
Std. Deviation of Monthly Return $1,530.92
Percent of Time in the Market 35.61%
RINA Index 308.70
Net Profit / Largest Loss 38.56
Net Profit / Max. Equity Drawdown 7.02
Select Net Profit / Largest Loss 38.56
Select Net Profit / Max. Equity Drawdown 7.02
Adjusted Net Profit / Largest Loss (20.79)
Adjusted Net Profit / Max. Equity Drawdown (3.79)
Amount
Date
% of Init. Capital
Max. Equity Run-up $24,843.40 3/31/2003 20.38%
Max. Equity Drawdown ($3,118.50) 8/22/2002 2.56%
All Trades
Total Net Profit $21,905.50 Profit Factor 1.88
Gross Profit $61,312.50 Gross Loss ($32,675.00)
Open Position Profit/Loss $0.00
Select Total Net Profit $21,905.50 Select Profit Factor 1.60
Select Gross Profit $58,359.80 Select Gross Loss ($36,454.30)
Adjusted Total Net Profit ($11,811.58) Adjusted Profit Factor 0.82
Adjusted Gross Profit $54,920.23 Adjusted Gross Loss ($66,731.81)
Total Number of Trades 220 Percent Profitable 41.82%
Winning Trades 92 Losing Trades 128
Even Trades 0
Avg. Trade Profit/Loss $99.57 Ratio Avg. Win/Avg. Loss 2.22
Avg. Winning Trade $635.84 Avg. Losing Trade ($285.87)
Largest Winning Trade $1,931.90 Largest Losing Trade ($568.10)
Largest Winner as % of Gross Profit 3.15% Largest Loser as % of Gross Loss 1.74%
Max. Consecutive Winning Trades 4 Max. Consecutive Losing Trades 6
Avg. Number of Bars in Winners 20 Avg. Number of Bars in Losers 8
Max. Shares/Contracts Held 1
Total Slippage $5,500.00 Total Commission $1,232.00
Max. Trade Drawdown ($537.50) Max. Equity Drawdown ($3,118.50)
Annual Rate of Return 10.77% Return on Initial Capital 21.91%
Buy and Hold Return (33.16%) Return on Max. Equity Drawdown 702.44%
Avg. Monthly Return $952.41 Std. Deviation of Monthly Return $1,530.92
% of Time in the Market 35.61%
RINA Index 308.70
Net Profit / Largest Loss 38.56 Net Profit / Max. Equity Drawdown 7.02
Select Net Profit / Largest Loss 38.56 Select Net Profit / Max. Equity Drawdown 7.02
Adjusted Net Profit / Largest Loss (20.79) Adjusted Net Profit / Max. Equity Drawdown (3.79)
Max. Equity Run-up $24,843.40 Max. Equity Drawdown ($3,118.50)
Date of Max. Equity Drawdown 3/31/2003 Date of Max. Equity Run-up 8/22/2002
Max. Equity Run-up / Initial Capital 20.38% Max. Equity Drawdown / Initial Capital 2.56%
Long Trades
Total Net Profit $2,808.10 Profit Factor 1.35
Gross Profit $22,600.00 Gross Loss ($16,762.50)
Open Position Profit/Loss $0.00
Select Total Net Profit $2,808.10 Select Profit Factor 1.15
Select Gross Profit $21,448.40 Select Gross Loss ($18,640.30)
Adjusted Total Net Profit ($6,614.00) Adjusted Profit Factor 0.74
Adjusted Gross Profit $18,833.33 Adjusted Gross Loss ($25,447.33)
Total Number of Trades 99 Percent Profitable 36.36%
Winning Trades 36 Losing Trades 63
Even Trades 0
Avg. Trade Profit/Loss $28.36 Ratio Avg. Win/Avg. Loss 2.01
Avg. Winning Trade $597.18 Avg. Losing Trade ($296.67)
Largest Winning Trade $1,706.90 Largest Losing Trade ($568.10)
Largest Winner as % of Gross Profit 7.55% Largest Loser as % of Gross Loss 3.39%
Max. Consecutive Winning Trades 5 Max. Consecutive Losing Trades 6
Avg. Number of Bars in Winners 20 Avg. Number of Bars in Losers 8
Max. Shares/Contracts Held 1
Total Slippage $2,475.00 Total Commission $554.40
Max. Trade Drawdown ($537.50) Max. Equity Drawdown ($3,768.50)
Net Profit / Largest Loss 4.94 Net Profit / Max. Equity Drawdown 0.75
Select Net Profit / Largest Loss 4.94 Select Net Profit / Max. Equity Drawdown 0.75
Adjusted Net Profit / Largest Loss (11.64) Adjusted Net Profit / Max. Equity Drawdown (1.76)
Short Trades
Total Net Profit $19,097.40 Profit Factor 2.43
Gross Profit $38,712.50 Gross Loss ($15,912.50)
Open Position Profit/Loss $0.00
Select Total Net Profit $19,097.40 Select Profit Factor 2.07
Select Gross Profit $36,911.40 Select Gross Loss ($17,814.00)
Adjusted Total Net Profit ($9,974.87) Adjusted Profit Factor 0.77
Adjusted Gross Profit $33,539.32 Adjusted Gross Loss ($43,514.19)
Total Number of Trades 121 Percent Profitable 46.28%
Winning Trades 56 Losing Trades 65
Even Trades 0
Avg. Trade Profit/Loss $157.83 Ratio Avg. Win/Avg. Loss 2.40
Avg. Winning Trade $660.69 Avg. Losing Trade ($275.41)
Largest Winning Trade $1,931.90 Largest Losing Trade ($543.10)
Largest Winner as % of Gross Profit 4.99% Largest Loser as % of Gross Loss 3.39%
Max. Consecutive Winning Trades 6 Max. Consecutive Losing Trades 6
Avg. Number of Bars in Winners 21 Avg. Number of Bars in Losers 8
Max. Shares/Contracts Held 1
Total Slippage $3,025.00 Total Commission $677.60
Max. Trade Drawdown ($512.50) Max. Equity Drawdown ($2,789.20)
Net Profit / Largest Loss 35.16 Net Profit / Max. Equity Drawdown 6.85
Select Net Profit / Largest Loss 35.16 Select Net Profit / Max. Equity Drawdown 6.85
Adjusted Net Profit / Largest Loss (18.37) Adjusted Net Profit / Max. Equity Drawdown (3.58)
------------------------------------------------------------------------------------
Total Number of Trades 220 92 128
Avg. Trade Profit/Loss $99.57 $635.84 ($285.87)
1 Std. Deviation of Avg. Trade $555.98 $455.47 $168.27
Avg. Trade + 1 Std. Deviation $655.55 $1,091.31 ($117.60)
Avg. Trade - 1 Std. Deviation ($456.41) $180.37 ($454.14)
Coefficient of Variation 558.38% 71.63% 58.86%
Outliers Total Positive Negative
Number of Outliers 0 0 0
Outlier Profit/Loss $0.00 $0.00 $0.00
Run-Up/Drawdown Run-Up
Drawdown
Maximum Value $2,487.50 ($537.50)
Maximum Value Date 7/8/2001 12/2/2001
Avg. Value $620.00 ($230.68)
1 Std. Deviation $569.73 $147.12
Avg. + 1 Std. Deviation $1,189.73 ($83.56)
Avg. - 1 Std. Deviation $50.27 ($377.81)
Coefficient of Variation 91.89% 63.78%
Efficiency Analysis Total
Entry
Exit
Avg. Efficiency (10.16%) 61.08% 28.77%
1 Std. Deviation 55.66% 32.20% 29.01%
Avg. + 1 Std. Deviation 45.50% 93.27% 57.77%
Avg. - 1 Std. Deviation (65.81%) 28.88% (0.24%)
Coefficient of Variation 547.90% 52.72% 100.84%
TradeStation Trade Series Analysis
Winners Losers
Largest Profit/Loss $1,931.90 ($568.10)
Largest Profit/Loss as % of Gross 3.15% 1.74%
Largest Consec. Profit/Loss $3,690.10 ($2,208.60)
Largest Consec. Profit/Loss as % of Gross 6.02% 6.76%
Consecutive Winners
Number of Series
Avg. Gain per Series
Avg. Loss Next Trade
1 34 $613.89 ($278.33)
2 13 $560.27 ($196.95)
3 8 $712.11 ($322.79)
4 2 $728.78 ($186.85)
Consecutive Losers
Number of Series
Avg. Loss per Series
Avg. Gain Next Trade
1 21 ($322.86) $553.92
2 16 ($283.33) $722.53
3 11 ($255.60) $658.04
4 5 ($279.97) $619.40
5 2 ($260.60) $250.65
6 2 ($330.60) $863.15
All Trades
Long Trades
Short Trades
Total Net Profit $21,905.50 $2,808.10 $19,097.40
Gross Profit $61,312.50 $22,600.00 $38,712.50
Gross Loss ($32,675.00) ($16,762.50) ($15,912.50)
Profit Factor 1.88 1.35 2.43
Open Position P/L $0.00 $0.00 $0.00
Select Total Net Profit $21,905.50 $2,808.10 $19,097.40
Select Gross Profit $58,359.80 $21,448.40 $36,911.40
Select Gross Loss ($36,454.30) ($18,640.30) ($17,814.00)
Select Profit Factor 1.60 1.15 2.07
Adjusted Total Net Profit ($11,811.58) ($6,614.00) ($9,974.87)
Adjusted Gross Profit $54,920.23 $18,833.33 $33,539.32
Adjusted Gross Loss ($66,731.81) ($25,447.33) ($43,514.19)
Adjusted Profit Factor 0.82 0.74 0.77
Total Number of Trades 220 99 121
Percent Profitable 41.82% 36.36% 46.28%
Winning Trades 92 36 56
Losing Trades 128 63 65
Even Trades 0 0 0
Avg. Trade Profit/Loss $99.57 $28.36 $157.83
Avg. Winning Trade $635.84 $597.18 $660.69
Avg. Losing Trade ($285.87) ($296.67) ($275.41)
Ratio Avg. Win/Avg. Loss 2.22 2.01 2.40
Largest Winning Trade $1,931.90 $1,706.90 $1,931.90
Largest Losing Trade ($568.10) ($568.10) ($543.10)
Largest Winner as % of Gross Profit 3.15% 7.55% 4.99%
Largest Loser as % of Gross Loss 1.74% 3.39% 3.41%
Max. Consecutive Winning Trades 4 5 6
Max. Consecutive Losing Trades 6 6 6
Avg. Bars in Winning Trades 20 20 21
Avg. Bars in Losing Trades 8 8 8
Max. Shares/Contracts Held 1 1 1
Total Slippage $5,500.00 $2,475.00 $3,025.00
Total Commission $1,232.00 $554.40 $677.60
Max. Trade Drawdown ($537.50) ($537.50) ($512.50)
Max. Equity Drawdown ($3,118.50) ($3,768.50) ($2,789.20)
Annual Rate of Return 10.77%
Return on Initial Capital 21.91%
Buy & Hold Return (33.16%)
Return on Max. Equity Drawdown 702.44%
Avg. Monthly Return $952.41
Std. Deviation of Monthly Return $1,530.92
Percent of Time in the Market 35.61%
RINA Index 308.70
Net Profit / Largest Loss 38.56
Net Profit / Max. Equity Drawdown 7.02
Select Net Profit / Largest Loss 38.56
Select Net Profit / Max. Equity Drawdown 7.02
Adjusted Net Profit / Largest Loss (20.79)
Adjusted Net Profit / Max. Equity Drawdown (3.79)
Amount
Date
% of Init. Capital
Max. Equity Run-up $24,843.40 3/31/2003 20.38%
Max. Equity Drawdown ($3,118.50) 8/22/2002 2.56%
All Trades
Total Net Profit $21,905.50 Profit Factor 1.88
Gross Profit $61,312.50 Gross Loss ($32,675.00)
Open Position Profit/Loss $0.00
Select Total Net Profit $21,905.50 Select Profit Factor 1.60
Select Gross Profit $58,359.80 Select Gross Loss ($36,454.30)
Adjusted Total Net Profit ($11,811.58) Adjusted Profit Factor 0.82
Adjusted Gross Profit $54,920.23 Adjusted Gross Loss ($66,731.81)
Total Number of Trades 220 Percent Profitable 41.82%
Winning Trades 92 Losing Trades 128
Even Trades 0
Avg. Trade Profit/Loss $99.57 Ratio Avg. Win/Avg. Loss 2.22
Avg. Winning Trade $635.84 Avg. Losing Trade ($285.87)
Largest Winning Trade $1,931.90 Largest Losing Trade ($568.10)
Largest Winner as % of Gross Profit 3.15% Largest Loser as % of Gross Loss 1.74%
Max. Consecutive Winning Trades 4 Max. Consecutive Losing Trades 6
Avg. Number of Bars in Winners 20 Avg. Number of Bars in Losers 8
Max. Shares/Contracts Held 1
Total Slippage $5,500.00 Total Commission $1,232.00
Max. Trade Drawdown ($537.50) Max. Equity Drawdown ($3,118.50)
Annual Rate of Return 10.77% Return on Initial Capital 21.91%
Buy and Hold Return (33.16%) Return on Max. Equity Drawdown 702.44%
Avg. Monthly Return $952.41 Std. Deviation of Monthly Return $1,530.92
% of Time in the Market 35.61%
RINA Index 308.70
Net Profit / Largest Loss 38.56 Net Profit / Max. Equity Drawdown 7.02
Select Net Profit / Largest Loss 38.56 Select Net Profit / Max. Equity Drawdown 7.02
Adjusted Net Profit / Largest Loss (20.79) Adjusted Net Profit / Max. Equity Drawdown (3.79)
Max. Equity Run-up $24,843.40 Max. Equity Drawdown ($3,118.50)
Date of Max. Equity Drawdown 3/31/2003 Date of Max. Equity Run-up 8/22/2002
Max. Equity Run-up / Initial Capital 20.38% Max. Equity Drawdown / Initial Capital 2.56%
Long Trades
Total Net Profit $2,808.10 Profit Factor 1.35
Gross Profit $22,600.00 Gross Loss ($16,762.50)
Open Position Profit/Loss $0.00
Select Total Net Profit $2,808.10 Select Profit Factor 1.15
Select Gross Profit $21,448.40 Select Gross Loss ($18,640.30)
Adjusted Total Net Profit ($6,614.00) Adjusted Profit Factor 0.74
Adjusted Gross Profit $18,833.33 Adjusted Gross Loss ($25,447.33)
Total Number of Trades 99 Percent Profitable 36.36%
Winning Trades 36 Losing Trades 63
Even Trades 0
Avg. Trade Profit/Loss $28.36 Ratio Avg. Win/Avg. Loss 2.01
Avg. Winning Trade $597.18 Avg. Losing Trade ($296.67)
Largest Winning Trade $1,706.90 Largest Losing Trade ($568.10)
Largest Winner as % of Gross Profit 7.55% Largest Loser as % of Gross Loss 3.39%
Max. Consecutive Winning Trades 5 Max. Consecutive Losing Trades 6
Avg. Number of Bars in Winners 20 Avg. Number of Bars in Losers 8
Max. Shares/Contracts Held 1
Total Slippage $2,475.00 Total Commission $554.40
Max. Trade Drawdown ($537.50) Max. Equity Drawdown ($3,768.50)
Net Profit / Largest Loss 4.94 Net Profit / Max. Equity Drawdown 0.75
Select Net Profit / Largest Loss 4.94 Select Net Profit / Max. Equity Drawdown 0.75
Adjusted Net Profit / Largest Loss (11.64) Adjusted Net Profit / Max. Equity Drawdown (1.76)
Short Trades
Total Net Profit $19,097.40 Profit Factor 2.43
Gross Profit $38,712.50 Gross Loss ($15,912.50)
Open Position Profit/Loss $0.00
Select Total Net Profit $19,097.40 Select Profit Factor 2.07
Select Gross Profit $36,911.40 Select Gross Loss ($17,814.00)
Adjusted Total Net Profit ($9,974.87) Adjusted Profit Factor 0.77
Adjusted Gross Profit $33,539.32 Adjusted Gross Loss ($43,514.19)
Total Number of Trades 121 Percent Profitable 46.28%
Winning Trades 56 Losing Trades 65
Even Trades 0
Avg. Trade Profit/Loss $157.83 Ratio Avg. Win/Avg. Loss 2.40
Avg. Winning Trade $660.69 Avg. Losing Trade ($275.41)
Largest Winning Trade $1,931.90 Largest Losing Trade ($543.10)
Largest Winner as % of Gross Profit 4.99% Largest Loser as % of Gross Loss 3.39%
Max. Consecutive Winning Trades 6 Max. Consecutive Losing Trades 6
Avg. Number of Bars in Winners 21 Avg. Number of Bars in Losers 8
Max. Shares/Contracts Held 1
Total Slippage $3,025.00 Total Commission $677.60
Max. Trade Drawdown ($512.50) Max. Equity Drawdown ($2,789.20)
Net Profit / Largest Loss 35.16 Net Profit / Max. Equity Drawdown 6.85
Select Net Profit / Largest Loss 35.16 Select Net Profit / Max. Equity Drawdown 6.85
Adjusted Net Profit / Largest Loss (18.37) Adjusted Net Profit / Max. Equity Drawdown (3.58)
------------------------------------------------------------------------------------
Total Number of Trades 220 92 128
Avg. Trade Profit/Loss $99.57 $635.84 ($285.87)
1 Std. Deviation of Avg. Trade $555.98 $455.47 $168.27
Avg. Trade + 1 Std. Deviation $655.55 $1,091.31 ($117.60)
Avg. Trade - 1 Std. Deviation ($456.41) $180.37 ($454.14)
Coefficient of Variation 558.38% 71.63% 58.86%
Outliers Total Positive Negative
Number of Outliers 0 0 0
Outlier Profit/Loss $0.00 $0.00 $0.00
Run-Up/Drawdown Run-Up
Drawdown
Maximum Value $2,487.50 ($537.50)
Maximum Value Date 7/8/2001 12/2/2001
Avg. Value $620.00 ($230.68)
1 Std. Deviation $569.73 $147.12
Avg. + 1 Std. Deviation $1,189.73 ($83.56)
Avg. - 1 Std. Deviation $50.27 ($377.81)
Coefficient of Variation 91.89% 63.78%
Efficiency Analysis Total
Entry
Exit
Avg. Efficiency (10.16%) 61.08% 28.77%
1 Std. Deviation 55.66% 32.20% 29.01%
Avg. + 1 Std. Deviation 45.50% 93.27% 57.77%
Avg. - 1 Std. Deviation (65.81%) 28.88% (0.24%)
Coefficient of Variation 547.90% 52.72% 100.84%
TradeStation Trade Series Analysis
Winners Losers
Largest Profit/Loss $1,931.90 ($568.10)
Largest Profit/Loss as % of Gross 3.15% 1.74%
Largest Consec. Profit/Loss $3,690.10 ($2,208.60)
Largest Consec. Profit/Loss as % of Gross 6.02% 6.76%
Consecutive Winners
Number of Series
Avg. Gain per Series
Avg. Loss Next Trade
1 34 $613.89 ($278.33)
2 13 $560.27 ($196.95)
3 8 $712.11 ($322.79)
4 2 $728.78 ($186.85)
Consecutive Losers
Number of Series
Avg. Loss per Series
Avg. Gain Next Trade
1 21 ($322.86) $553.92
2 16 ($283.33) $722.53
3 11 ($255.60) $658.04
4 5 ($279.97) $619.40
5 2 ($260.60) $250.65
6 2 ($330.60) $863.15