Trading Blox Summary Test Results

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

1	$137,279,005.02	81.5%	1.28	1.18	0.71	63.7%	14.0	1704

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

1996	366	$364,499.73	$544,846.55	$294,846.55	117.9%	117
1997	365	$946,864.51	$2,018,487.88	$1,473,641.33	270.5%	155
1998	365	$4,334,524.87	$6,635,500.41	$4,617,012.53	228.7%	152
1999	365	$3,445,364.75	$5,224,736.84	$-1,410,763.57	-21.3%	171
2000	366	$5,870,008.77	$13,573,026.75	$8,348,289.92	159.8%	169
2001	365	$26,426,977.12	$45,565,401.10	$31,992,374.34	235.7%	162
2002	365	$25,242,284.59	$44,577,327.30	$-988,073.80	-2.2%	166
2003	365	$58,101,233.12	$117,074,222.21	$72,496,894.91	162.6%	164
2004	366	$106,692,544.62	$149,778,309.01	$32,704,086.80	27.9%	171
2005	365	$122,161,423.40	$166,566,706.16	$16,788,397.15	11.2%	158
2006	207	$137,279,005.02	$137,279,005.02	$-29,287,701.14	-17.6%	119

Trading Performance

CAGR %	81.49%
Maximum Total Equity Drawdown %	63.71%
MAR Ratio	1.28

Margin to Equity Ratio	56.12%
Daily Return %	0.3146%
Daily Geometric Return %	-0.2285%
Daily Standard Deviation %	4.13%
Daily Downside Deviation %	2.80%
Daily Sharpe %	0.07
Daily Sortino %	0.11

Modified Sharpe Ratio	1.18
Annual Sharpe Ratio	0.71
Annual Sortino Ratio	7.75
Monthly Sharpe Ratio	0.33
Monthly Sortino Ratio	0.81
Calmar Ratio	1.66
R-Squared	0.952

Longest Total Equity Drawdown (months)	14.04
Maximum Monthly Total Equity Drawdown %	49.00%
Maximum Closed Equity Drawdown %	59.25%
Average Closed Equity Drawdown %	15.89%

Round Turns Per Million	5,289
Round Turns	3,400,854
Total Trades	1,704

Start Account Balance	$250,000.00
Total Win Dollars	$1,143,204,885.20
Total Loss Dollars	$1,021,910,706.46
Total Profit	$121,294,178.75
Earned Interest	$15,734,826.27
Margin Interest	$0.00
End Account Balance	$137,279,005.02
End Open Equity	$0.00
End Total Equity	$137,279,005.02

Highest Total Equity	$314,820,176.34
Highest Closed Equity	$176,430,232.62

Total Commissions	$42,510,675.00
Commission per Round Turn	$12.50
Total Slippage	$39,971,731.00
Slippage per Round Turn	$11.75
Total Forex Carry	$0.00
Total Other Expenses	$0.00

Monte Carlo Confidence Level Statistics

90% Return	47.98%
90% Sharpe	0.02
90% MAR	0.65
90% R Squared	0.807
90% Maximum Drawdown	79.56%
90% Second Largest Drawdown	67.21%
90% Third Largest Drawdown	59.32%
90% Longest Drawdown	29.1
90% Second Longest Drawdown	14.8
90% Third Longest Drawdown	10.1

Test Period

First Test Date	1996-01-01
Last Test Date	2006-07-26

Win/Loss Statistics

Wins	656	38.5%
Losses	1048	61.5%

Total	1704	100.0%

Winning Months	76	59.8%
Losing Months	51	40.2%

Total	127	100.0%

Average Risk Percent	2.02%
Average Win Percent	4.08%
Average Loss Percent	1.72%
Average Win Dollars	$1,742,690.37
Average Loss Dollars	$975,105.64
Average Trade Percent	0.51%
Average Trade Dollars	$71,182.03

Profit Factor	1.12
Percent Profit Factor	1.49
Expectation	0.25

Equity Management


Test Starting Equity ($)	$250,000.00
Leverage (fraction)	1.00
Trading Equity Base	Total Equity
Drawdown Reduction Threshold (%)	100.00%
Drawdown Reduction Amount (%)	0.00%

Global Simulation Parameters

Earned Interest Rate	3.00%
Margin Interest Rate	6.00%
Risk Free Rate	3.00%
Commission per Trade	$0.00
Commission per Share	$0.01
Commission per Contract	$12.50
Slippage Percent	5.00%
Minimum Slippage	$0.00

Account for Contract Rolls	FALSE

Minimum Stock Volume	10,000
Minimum Futures Volume	1,000
Max Percent Market Per Trade	25.00%
Entry Day Retracement	0.00%
Max Margin Equity	100.00%
Trade on Lock Days	FALSE
Convert Profit by Stock Split	TRUE
Trade Always on Tick	FALSE
Round Lot Size	1.00
Shift Test Start	0
Shift Test Duration	0

**Instrument Performance Summary**
Symbol	Wins	%	Losses	%	Trades	Win Months	%	Loss Months	%	Avg. Win %	Avg. Loss %	Avg. Trade %	% Proft Factor

HG	22	33.8%	43	66.2%	65	65	51.2%	62	48.8%	5.08%	1.70%	0.60%	1.53
US	26	50.0%	26	50.0%	52	79	62.2%	48	37.8%	3.11%	1.41%	0.85%	2.21
S	20	31.7%	43	68.3%	63	69	54.3%	58	45.7%	4.18%	1.70%	0.17%	1.14
HU	24	38.7%	38	61.3%	62	71	55.9%	56	44.1%	3.65%	1.39%	0.56%	1.66
CD	20	31.7%	43	68.3%	63	67	52.8%	60	47.2%	5.27%	1.88%	0.39%	1.30
W	30	46.2%	35	53.8%	65	70	55.1%	57	44.9%	2.15%	1.61%	0.13%	1.15
KC	23	33.3%	46	66.7%	69	70	55.1%	57	44.9%	3.06%	1.42%	0.07%	1.08
GC	30	46.9%	34	53.1%	64	70	55.1%	57	44.9%	3.77%	1.62%	0.90%	2.05
CL	31	54.4%	26	45.6%	57	78	61.4%	49	38.6%	2.90%	1.60%	0.85%	2.16
EC	25	48.1%	27	51.9%	52	75	59.1%	52	40.9%	4.47%	1.77%	1.23%	2.34
TY	25	54.3%	21	45.7%	46	80	63.0%	47	37.0%	4.19%	1.44%	1.62%	3.46
JY	24	41.4%	34	58.6%	58	72	56.7%	55	43.3%	4.64%	1.75%	0.90%	1.88
AD	17	30.4%	39	69.6%	56	70	55.1%	57	44.9%	6.61%	1.86%	0.71%	1.55
MP	25	51.0%	24	49.0%	49	84	66.1%	43	33.9%	4.26%	1.89%	1.25%	2.35
NG	23	41.1%	33	58.9%	56	73	57.5%	54	42.5%	3.41%	1.56%	0.48%	1.52
SB	21	36.8%	36	63.2%	57	70	55.1%	57	44.9%	3.66%	1.70%	0.27%	1.25
LC	19	30.6%	43	69.4%	62	69	54.3%	58	45.7%	3.51%	1.78%	-0.16%	0.87
FC	17	30.4%	39	69.6%	56	75	59.1%	52	40.9%	4.79%	1.81%	0.19%	1.15
HO	26	39.4%	40	60.6%	66	67	52.8%	60	47.2%	3.25%	1.66%	0.27%	1.27
ED	28	43.8%	36	56.3%	64	73	57.5%	54	42.5%	5.78%	1.85%	1.49%	2.44
CC	20	28.6%	50	71.4%	70	59	46.5%	68	53.5%	3.45%	1.67%	-0.21%	0.83
SF	26	44.1%	33	55.9%	59	71	55.9%	56	44.1%	4.18%	2.06%	0.69%	1.60
C	21	30.9%	47	69.1%	68	74	58.3%	53	41.7%	4.16%	1.95%	-0.06%	0.95
CT	24	35.8%	43	64.2%	67	67	52.8%	60	47.2%	3.26%	1.52%	0.19%	1.20
SI	23	33.3%	46	66.7%	69	62	48.8%	65	51.2%	2.79%	1.62%	-0.15%	0.86
LH	22	38.6%	35	61.4%	57	71	55.9%	56	44.1%	4.28%	1.48%	0.74%	1.82
EM	22	34.9%	41	65.1%	63	73	57.5%	54	42.5%	7.92%	2.45%	1.17%	1.73
BP	22	31.9%	47	68.1%	69	63	49.6%	64	50.4%	4.37%	1.76%	0.20%	1.16

System Parameter Settings

Donchian Parameters

Allocation Percent	100.00%


Risk Per Trade (%)	1.90%

Entry Breakout (days)	22
Entry Offset (ATR)	-0.40
Stop (ATR)	1.80
Exit Breakout (days)	14
Exit Offset (ATR)	0.00
ATR (days)	39

Portfolio	Futures:All Liquid
MACD Long Average (days)	300
MACD Short Average (days)	75