Stepped Parameter Summary Performance
Test Ending Balance CAGR% MAR Modified Sharpe Annual Sharpe Max Total Equity DD Longest Drawdown # Trades
1387,752.383.9%+infinity7.060.510.0%0.083

  




























Yearly Performance Summary
Year  Days  Closed Balance  End Total Equity  Total Equity Gain  Gain % # Trades
1996366263,674.94263,699.3713,699.375.5%7
1997365278,435.38278,446.5914,747.225.6%5
1998365293,891.76294,053.4615,606.865.6%6
1999365308,775.59309,179.6615,126.205.1%5
2000366328,279.45328,388.4019,208.746.2%2
2001365341,114.78341,172.8612,784.463.9%10
2002365346,530.16346,550.375,377.511.6%8
2003365349,911.37349,918.093,367.721.0%8
2004366353,916.16353,943.764,025.671.2%9
2005365363,830.08363,849.829,906.062.8%9
2006365380,721.94380,741.3916,891.574.6%6
2007140387,752.38387,752.387,011.001.8%8

Trading Performance
RAR %3.64%
R-Cubed+ ∞  
Average Max Drawdown %0.00%
Average Max Drawdown Length0.00
Robust Sharpe Ratio6.67
CAGR %3.95%
Maximum Total Equity Drawdown %0.00%
MAR Ratio+ ∞  
Margin to Equity Ratio0.05%
Daily Return %0.0148%
Daily Geometric Return %0.0148%
Daily Standard Deviation %0.01%
Daily Downside Deviation %0.00%
Daily Sharpe %0.56
Daily Sortino %+ ∞  
Modified Sharpe Ratio7.06
Annual Sharpe Ratio0.51
Annual Sortino Ratio+ ∞  
Monthly Sharpe Ratio0.47
Monthly Sortino Ratio+ ∞  
Calmar Ratio+ ∞  
R-Squared0.942
Longest Total Equity Drawdown (months)0.00
Maximum Monthly Total Equity Drawdown %0.00%
Maximum Monthly Closed Equity Drawdown %0.00%
Maximum Closed Equity Drawdown %0.00%
Average Closed Equity Drawdown %0.00%
Round Turns Per Million28
Round Turns83
Total Trades83
Start Account Balance250,000.00
Total Win Dollars229.11
Total Loss Dollars156.33
Total Profit72.78
Earned Interest137,679.60
Margin Interest0.00
End Account Balance387,752.38
End Open Equity0.00
End Total Equity387,752.38
Highest Total Equity387,701.24
Highest Closed Equity387,752.40
Total Commissions0.83
Commission per Round Turn0.01
Total Slippage5.51
Slippage per Round Turn0.07
Total Forex Carry0.00
Total Dividends18.63
Total Other Expenses0.00

Monte Carlo Confidence Level Statistics
90% Return3.45%
90% Sharpe-1.65
90% MAR0.00
90% R Squared0.989
90% Maximum Drawdown0.00%
90% Second Largest Drawdown0.00%
90% Third Largest Drawdown0.00%
90% Longest Drawdown0.0
90% Second Longest Drawdown0.0
90% Third Longest Drawdown0.0

Test Period
First Test Date1996-01-01
Last Test Date2007-05-18

Win/Loss Statistics
Wins1214.5%
Losses7185.5%
Total83100.0%
Winning Months137100.0%
Losing Months00.0%
Total137100.0%
Average Risk Percent0.00%
Average Win Percent0.01%
Average Loss Percent0.00%
Average Win Dollars19.09
Average Loss Dollars2.20
Average Trade Percent0.00%
Average Trade Dollars0.88
Profit Factor1.47
Percent Profit Factor1.55
Expectation0.46

Equity Management
Test Starting Equity250,000.00
Leverage (fraction)1.00
Trading Equity BaseTotal Equity
Drawdown Reduction Threshold (%)100.00%
Drawdown Reduction Amount (%)0.00%

Global Simulation Parameters
Earn InterestTRUE
Pay Margin on StocksTRUE
Risk Free Rate3.00%
Commission per Trade0.00
Commission per Share0.01
Commission per Contract12.50
Slippage Percent5.00%
Minimum Slippage0.00
Account for Contract RollsFALSE
Minimum Stock Volume10,000
Minimum Futures Volume1,000
Max Percent Market Per Trade25.00%
Entry Day Retracement0.00%
Max Margin Equity100.00%
Trade on Lock DaysFALSE
Convert Profit by Stock SplitTRUE
Trade Always on TickTRUE
Shift Test Start0
Shift Test Duration0

Instrument Performance Summary
Symbol  Wins  %  Losses  %  Trades  Win Months  %  Loss Months  %  Avg. Win %  Avg. Loss %  Avg. Trade %  % Proft Factor
GE114.3%685.7%79367.9%4432.1%0.02%0.00%0.00%9.21
MSFT325.0%975.0%1210274.5%3525.5%0.01%0.00%0.00%2.96
PG225.0%675.0%811080.3%2719.7%0.01%0.00%0.00%1.64
XOM233.3%466.7%612289.1%1510.9%0.01%0.00%0.00%3.54
KO16.3%1593.8%1611583.9%2216.1%0.02%0.00%0.00%1.28
VZ110.0%990.0%1012591.2%128.8%0.00%0.00%-0.00%0.00
DIS00.0%13100.0%1311181.0%2619.0%0.00%0.00%-0.00%0.00
MCD218.2%981.8%1112087.6%1712.4%0.00%0.00%-0.00%0.79
System Parameter Settings
ADX System Parameters
Allocation Percent100.00%
Size of Unit (contracts or shares)1
ATR (days)39
ADX Periods to use (bars)10
ADX Trend Limit (adx)50.00
DI Period to use (bars)16
Use and Hold ATR StopsTRUE
ATR Stop (fraction)1.80
PortfolioStocks:Dow 30
Trade Direction (Long/Short/All)Trade All

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