System Performance

Listed below are the calendar year backtest performance numbers.  Keep in mind these are hypothetical results.

Parameters used in testing:

All Systems have been backtested using the following settings and parameters:
  1. Starting Equity $100,000 (reset beginning of each year).
  2. Maximum of two (2) positions at a time.  
  3. Use only S&P 500 stocks.
  4. Use only Long trades.
  5. Trade setups derived from end of day data.
  6. Trades are calculated using the next morning opening price.
  7. Fixed Fractional Position Sizing.
  8. Fixed $10.00 per trade commission.
  9. Ignore slippage and taxes.
  10. 10% Max stop loss

WARNING: Please evaluate the following results with caution.  These are hypothetical results based on back testing.  Past performance is no guarantee of future results. 
Showing 11 items
YearReturnTrades% WinnersSharpe RatioProfit FactorMax Stop
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YearReturnTrades% WinnersSharpe RatioProfit FactorMax Stop
2001 26.29% 130 63.85% 0.76 1.25 
2002 14.58% 123 58.54% 0.54 1.08 12 
2003 68.89% 118 72.88% 3.33 2.15 
2004 59.46% 130 64.62% 2.62 1.88 
2005 51.60% 146 59.59% 1.91 1.85 
2006 74.80% 149 61.74% 3.42 2.22 
2007 49.25% 128 59.38% 2.14 1.75 
2008 66.50% 114 62.28% 1.67 1.48 
2009 13.13% 61 67.21% 1.28 1.33 
2010 61.02% 105 66.67% 2.77 2.33 
2011 35.72% 101 64.36% 1.52 1.58 
Showing 11 items
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