Summary Performance Across Stepped Parameter Values

Run #	Details	Input Parameter "A"	Ending Balance	Avg. Return	MAR	Sharpe	Max Monthly Total Equity DD	Max Total Equity DD	# Trades
1	Details	35	22,496,897.56	36.5%	1.75	0.93	13.24%	20.81%	1221
2	Details	40	30,467,739.16	40.7%	1.73	0.88	15.21%	23.50%	1226
3	Details	45	41,942,174.01	45.3%	1.73	0.86	17.73%	26.16%	1230
4	Details	50	59,634,951.10	50.5%	1.77	0.86	20.82%	28.52%	1248
5	Details	55	82,706,108.68	55.5%	1.80	0.83	22.28%	30.75%	1258
6	Details	60	107,079,563.79	59.6%	1.75	0.80	25.19%	34.08%	1268
7	Details	65	125,225,015.55	62.1%	1.70	0.75	27.53%	36.54%	1275
8	Details	70	151,322,101.03	65.2%	1.67	0.72	30.03%	39.03%	1278
9	Details	75	184,172,386.49	68.5%	1.67	0.68	30.57%	41.08%	1279
10	Details	80	208,586,788.74	70.6%	1.62	0.64	32.89%	43.62%	1286
11	Details	85	229,315,428.34	72.2%	1.56	0.60	35.46%	46.14%	1288
12	Details	90	311,709,392.06	77.6%	1.61	0.60	36.86%	48.09%	1290
13	Details	95	346,784,588.94	79.5%	1.59	0.57	38.97%	49.98%	1291
14	Details	100	387,053,027.83	81.5%	1.57	0.53	40.42%	51.88%	1290

NOTE: Results for Test Runs 1 through 13 have been deleted to minimize download time and bandwidth.

Stepped Parameter Run (14 of 14)

Yearly Performance Summary

Year	Days	Closed Balance	End Core Balance	Core Gain	Gain %	End Total Equity	Total Equity Gain	Gain %	# Trades
1993	365	1,340,040.77	1,321,263.62	321,263.62	32.1%	1,492,362.71	492,362.71	49.2%	93
1994	365	1,208,157.94	1,208,142.66	-113,120.95	-8.6%	1,208,142.66	-284,220.04	-19.0%	132
1995	365	3,066,150.17	2,816,458.14	1,608,315.48	133.1%	3,108,336.10	1,900,193.43	157.3%	77
1996	366	5,463,321.62	5,393,967.28	2,577,509.13	91.5%	6,392,178.05	3,283,841.95	105.6%	140
1997	365	10,442,255.01	9,158,572.77	3,764,605.49	69.8%	10,605,032.42	4,212,854.36	65.9%	137
1998	365	14,044,946.92	13,871,610.82	4,713,038.05	51.5%	15,681,944.34	5,076,911.92	47.9%	122
1999	365	17,169,119.48	20,105,872.67	6,234,261.84	44.9%	24,342,320.91	8,660,376.56	55.2%	138
2000	366	28,526,345.62	35,148,356.77	15,042,484.09	74.8%	51,664,124.44	27,321,803.53	112.3%	154
2001	365	201,779,946.90	210,794,144.11	175,645,787.34	499.7%	264,642,212.22	211,080,039.87	412.2%	141
2002	365	387,053,027.83	387,053,027.83	176,258,883.72	83.6%	387,053,027.83	122,410,815.61	46.2%	156

Trading Performance Geometric Mean Return % 81.46% MAR Ratio 1.57 Maximum Open Equity Drawdown % 51.88% Sharpe Ratio 0.53 Calmar Ratio 2.02 Maximum Monthly Total Equity Drawdown % 40.42% Maximum Closed Trade Drawdown % 43.07% Average Closed Trade Drawdown % 13.46% End Account Balance $387,053,027.83 Highest Account Balance $438,856,716.90 Highest Open Equity $492,784,052.15 Total Commissions $23,375,875.00 Total Slippage $130,921,975.65 Earned Interest $17,447,086.98 Margin Interest $0.00 Test Dates First Test Date 01/01/93 Last Test Date 12/31/02		Win/Loss Statistics Wins 533 41.3% Losses 757 58.7% Total Trades 1290 100.0% Winning Months 66 55.0% Losing Months 54 45.0% Money Management Parameters Leverage 1.0 Starting Balance $1,000,000 Account High $1,000,000 Drawdown Reduction Threshold 10% Drawdown Reduction Amount 20% Global System Parameters Earned Interest Rate 4.00% Margin Interest Rate 6.00% Commission Round Trip $12.50 Commission per Trade $0.00 Slippage Percent 10.00% Minimum Stock Volume 100,000 Minimum Futures Volume 2,000 Minimum Dollar Volume $1,000,000
Turtle System One Parameters System One Allocation 50% Trade Shorts TRUE Trade if Last is Winner FALSE Entry Breakout 20 Entry Failsafe Breakout 55 Entry Offset in N 0.00 Exit Breakout 10 Unit Add in N 0.50 Stop in N 2.00 Max Instrument Units 4 Max Closely Correlated Units 6 Max Loosely Correlated Units 10 Max Directional Units 12 Use Strength Filter FALSE		Turtle System Two Parameters System Two Allocation 50% Trade Shorts TRUE Trade if Last is Winner TRUE Entry Breakout 55 Entry Failsafe Breakout 55 Entry Offset in N 0.00 Exit Breakout 20 Unit Add in N 0.50 Stop in N 2.00 Max Instrument Units 4 Max Closely Correlated Units 6 Max Loosely Correlated Units 10 Max Directional Units 12 Use Strength Filter FALSE