Pardo Robert The Evaluation And Optimization Of Trading Strategies, Second Edition

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.It is essential then, as a diagnostic, to confirmthat trading is proceeding as specified.The trade list has another more valuable and underused application.That is as a trading simulator, during which the trader can look at eachc06 JWPR070-Pardo December 18, 2007 14:17 Char Count=The Historical Simulation 95TABLE 6.1 Performance Summary of PTIx on S&P FuturesPerformance Summary: Long TradesTotal net profit $222,550 Open position P/L ($850.00)Gross profit $502,200 Gross loss ($279,650.00)Total number of trades 110 Percent profitable 72.73%Number winning 80 Number losing trades 30tradesLargest winning trade $26,300 Largest losing trade ($41,200.00)Average winning trade $6,277.50 Average losing trade ($9,321.67)Ratio average win/ 0.673431075 Average trade (win & ($2,023.18)average loss loss)Maximum consecutive 11 Maximum consecutive 5winners losersAverage number bars 8 Average number bars 20in winners in losersMaximum intraday ($149,100.00) Maximum number 1drawdown contracts heldProfit factor 1.795816199 Yearly return on 8.30%accountAccount size required $149,100Performance Summary: Short TradesTotal net profit $116,075 Open position P/L $0.00Gross profit $385,650 Gross loss ($269,575.00)Total number of trades 108 Percent profitable 61.11%Number winning 66 Number losing trades 42tradesLargest winning trade $20,175 Largest losing trade ($20,600.00)Average winning trade $5,843.18 Average losing trade ($6,418.45)Ratio average win/ 0.910372388 Average trade (win & $1,074.77average loss loss)Maximum consecutive 8 Maximum consecutive 5winners LosersAverage number bars 9 Average number bars 22in winners in losersMaximum intraday ($57,050.00) Maximum number 1drawdown contracts heldProfit factor 1.43058518 Yearly return on 11.31%accountAccount size required $57,050TABLE 6.2 Trade List of PTIx on S&P FuturesTrades for SessionPTIx WF SP SP-9967.TXT 1/1/1989 to 12/31/2006.System is PTIX()Buy/ Entry Entry ExitSell Name Market Entry Date Size Price Exit Date Name Size Exit Price Trade P/L Running P/LBUY PTIlo SP-9967.TXT 10/28/1996 1 1045.0 11/5/1996 PTIsh 1 1053.1 $1,825.00 $1,825.00SELL PTIsh SP-9967.TXT 11/5/1996 1 1053.1 12/6/1996 PTIlo 1 1073.2 ($5,225.00) ($3,400.00)BUY PTIlo SP-9967.TXT 12/6/1996 1 1073.2 12/23/1996 PTIsh 1 1089.1 $3,775.00 $375.00SELL PTIsh SP-9967.TXT 12/23/1996 1 1089.1 1/3/1997 PTIlo 1 1080.9 $1,850.00 $2,225.00BUY PTIlo SP-9967.TXT 1/3/1997 1 1080.9 1/13/1997 PTIsh 1 1101.2 $4,875.00 $7,100.00SELL PTIsh SP-9967.TXT 1/13/1997 1 1101.2 1/28/1997 PTIlo 1 1111.4 ($2,750.00) $4,350.00BUY PTIlo SP-9967.TXT 1/28/1997 1 1111.4 2/3/1997 PTIsh 1 1122.1 $2,475.00 $6,825.00SELL PTIsh SP-9967.TXT 2/3/1997 1 1122.1 2/28/1997 PTIlo 1 1125.2 ($975.00) $5,850.00BUY PTIlo SP-9967.TXT 2/28/1997 1 1125.2 3/10/1997 PTIsh 1 1140.2 $3,550.00 $9,400.00SELL PTIsh SP-9967.TXT 3/10/1997 1 1140.2 3/18/1997 PTIlo 1 1129.2 $2,550.00 $11,950.00BUY PTIlo SP-9967.TXT 3/18/1997 1 1129.2 4/18/1997 PTIsh 1 1096.3 ($8,425.00) $3,525.00SELL PTIsh SP-9967.TXT 4/18/1997 1 1096.3 6/5/1997 PTIlo 1 1168.8 ($18,325.00) ($14,800.00)BUY PTIlo SP-9967.TXT 6/5/1997 1 1168.8 6/10/1997 PTIsh 1 1191.7 $5,525.00 ($9,275.00)SELL PTIsh SP-9967.TXT 6/10/1997 1 1191.7 6/27/1997 PTIlo 1 1213.5 ($5,650.00) ($14,925.00)BUY PTIlo SP-9967.TXT 6/27/1997 1 1213.5 7/3/1997 PTIsh 1 1238.8 $6,125.00 ($8,800.00)SELL PTIsh SP-9967.TXT 7/3/1997 1 1238.8 7/22/1997 PTIlo 1 1237.6 $100.00 ($8,700.00)BUY PTIlo SP-9967.TXT 7/22/1997 1 1237.6 7/25/1997 PTIsh 1 1263.8 $6,350.00 ($2,350.00)SELL PTIsh SP-9967.TXT 7/25/1997 1 1263.8 8/12/1997 PTIlo 1 1259.4 $900.00 ($1,450.00)BUY PTIlo SP-9967.TXT 8/12/1997 1 1259.4 9/5/1997 PTIsh 1 1254.8 ($1,350.00) ($2,800.00)SELL PTIsh SP-9967.TXT 9/5/1997 1 1254.8 9/12/1997 PTIlo 1 1231.7 $5,575.00 $2,775.0096BUY PTIlo SP-9967.TXT 9/12/1997 1 1231.7 9/18/1997 PTIsh 1 1262.7 $7,550.00 $10,325.00SELL PTIsh SP-9967.TXT 9/18/1997 1 1262.7 9/29/1997 PTIlo 1 1259.7 $550.00 $10,875.00BUY PTIlo SP-9967.TXT 9/29/1997 1 1259.7 9/30/1997 BoundExit 1 1266.4 $1,475.00 $12,350.00BUY PTIlo SP-9967.TXT 10/20/1997 1 1258.7 11/5/1997 PTIsh 1 1248.2 ($2,825.00) $9,525.00SELL PTIsh SP-9967.TXT 11/5/1997 1 1248.2 11/12/1997 PTIlo 1 1219.7 $6,925.00 $16,450.00BUY PTIlo SP-9967.TXT 11/12/1997 1 1219.7 11/18/1997 PTIsh 1 1257.7 $9,300.00 $25,750.00SELL PTIsh SP-9967.TXT 11/18/1997 1 1257.7 12/12/1997 PTIlo 1 1267.8 ($2,725.00) $23,025.00BUY PTIlo SP-9967.TXT 12/12/1997 1 1267.8 1/2/1998 PTIsh 1 1278.8 $2,550.00 $25,575.00SELL PTIsh SP-9967.TXT 1/2/1998 1 1278.8 1/9/1998 PTIlo 1 1256.8 $5,300.00 $30,875.00BUY PTIlo SP-9967.TXT 1/9/1998 1 1256.8 1/21/1998 PTIsh 1 1275.3 $4,425.00 $35,300.00SELL PTIsh SP-9967.TXT 1/21/1998 1 1275.3 1/27/1998 PTIlo 1 1257.3 $4,300.00 $39,600.00BUY PTIlo SP-9967.TXT 1/27/1998 1 1257.3 2/2/1998 PTIsh 1 1296.8 $9,675.00 $49,275.00SELL PTIsh SP-9967.TXT 2/2/1998 1 1296.8 3/6/1998 PTIlo 1 1338.3 ($10,575.00) $38,700.00BUY PTIlo SP-9967.TXT 3/6/1998 1 1338.3 3/10/1998 PTIsh 1 1354.8 $3,925.00 $42,625.00SELL PTIsh SP-9967.TXT 3/10/1998 1 1354.8 3/31/1998 PTIlo 1 1394.3 ($10,075.00) $32,550.00BUY PTIlo SP-9967.TXT 3/31/1998 1 1394.3 4/3/1998 PTIsh 1 1415.3 $5,050.00 $37,600.00SELL PTIsh SP-9967.TXT 4/3/1998 1 1415.3 4/28/1998 PTIlo 1 1386.3 $7,050.00 $44,650.00BUY PTIlo SP-9967.TXT 4/28/1998 1 1386.3 5/5/1998 PTIsh 1 1408.8 $5,425.00 $50,075.00SELL PTIsh SP-9967.TXT 5/5/1998 1 1408.8 5/8/1998 PTIlo 1 1382.8 $6,300.00 $56,375.00BUY PTIlo SP-9967.TXT 5/8/1998 1 1382.8 5/14/1998 PTIsh 1 1403.8 $5,050.00 $61,425.00SELL PTIsh SP-9967.TXT 5/14/1998 1 1403.8 6/16/1998 PTIlo 1 1365.6 $9,350.00 $70,775.00BUY PTIlo SP-9967.TXT 6/16/1998 1 1365.6 6/25/1998 PTIsh 1 1421.1 $13,675.00 $84,450.00SELL PTIsh SP-9967.TXT 6/25/1998 1 1421.1 7/23/1998 PTIlo 1 1443.1 ($5,700.00) $78,750.00BUY PTIlo SP-9967.TXT 7/23/1998 1 1443.1 8/20/1998 PTIsh 1 1371.6 ($18,075.00) $60,675.00SELL PTIsh SP-9967.TXT 8/20/1998 1 1371.6 8/28/1998 PTIlo 1 1321.6 $12,300.00 $72,975.00BUY PTIlo SP-9967.TXT 8/28/1998 1 1321.6 9/15/1998 PTIsh 1 1299.5 ($5,725.00) $67,250.00SELL PTIsh SP-9967.TXT 9/15/1998 1 1299.5 10/2/1998 PTIlo 1 1262.0 $9,175.00 $76,425.00(Continues)97TABLE 6.2 Trade List of PTIx on S&P Futures (Continued)Trades for SessionPTIx WF SP SP-9967.TXT 1/1/1989 to 12/31/2006.System is PTIX()Buy/ Entry Entry ExitSell Name Market Entry Date Size Price Exit Date Name Size Exit Price Trade P/L Running P/LBUY PTIlo SP-9967.TXT 10/2/1998 1 1262.0 10/16/1998 PTIsh 1 1326.0 $15,800.00 $92,225.00SELL PTIsh SP-9967.TXT 10/16/1998 1 1326.0 12/15/1998 PTIlo 1 1407.6 ($20,600.00) $71,625.00BUY PTIlo SP-9967.TXT 12/15/1998 1 1407.6 12/18/1998 PTIsh 1 1443.6 $8,800.00 $80,425.00SELL PTIsh SP-9967.TXT 12/18/1998 1 1443.6 1/14/1999 PTIlo 1 1491.1 ($12,075.00) $68,350.00BUY PTIlo SP-9967.TXT 1/14/1999 1 1491.1 2/1/1999 PTIsh 1 1539.6 $11,925.00 $80,275.00SELL PTIsh SP-9967.TXT 2/1/1999 1 1539.6 2/10/1999 PTIlo 1 1469.1 $17,425.00 $97,700.00BUY PTIlo SP-9967.TXT 2/10/1999 1 1469.1 2/24/1999 PTIsh 1 1529.1 $14,800.00 $112,500.00SELL PTIsh SP-9967.TXT 2/24/1999 1 1529.1 3/1/1999 PTIlo 1 1487.1 $10,300.00 $122,800.00BUY PTIlo SP-9967.TXT 3/1/1999 1 1487.1 3/8/1999 PTIsh 1 1530.1 $10,550.00 $133,350.00SELL PTIsh SP-9967.TXT 3/8/1999 1 1530.1 3/24/1999 PTIlo 1 1514.6 $3,675.00 $137,025.00BUY PTIlo SP-9967.TXT 3/24/1999 1 1514.6 3/31/1999 PTIsh 1 1560.6 $11,300.00 $148,325.00SELL PTIsh SP-9967.TXT 3/31/1999 1 1560 [ Pobierz całość w formacie PDF ]

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