Donchian Channel 100/20 (CSS)

Start Date 19840103

End Date 7484 20090818
Trade Days 6450 6449
Trade Years 25.59
1 1 1
Long Short Total
Trades 734 727 1461
Wins 263 263 526
Winning % 36% 36% 36%
N's Won 1659 1114 2773
N's Lost -897 -849 -1746
Total N 762 265 1027
Average Win 6.31 4.24 5.27
Average Loss -1.90 -1.83 -1.87

Month Year
Winning 177 21
Losing 130 5
Best 44% 100%
Worst -16% -13%

CAGR 17% 15%

Max DD 20070817 -30%
MAR 0.51
Lake Ratio 14%
CR Ratio -0.32
Total Return 3735%
Starting Equity $ 1,000,000
Ending Equity $ 38,353,552
-20%
-10%
0%
10%
20%
30%
40%
50%
5,000,000
10,000,000
15,000,000
20,000,000
25,000,000
30,000,000
35,000,000
40,000,000
45,000,000

0
1984013
1984083
1985032
1985103
1986053
1986123
1987073
1988022
1988093
1989042
1989113
1990062
1991013
1991083
1992033
1992103
1993052
1993123
1994072
1995022
1995092
1996043
1996112
1997063
Equity Curve

Monthly Returns
1998013
1998083
1999033
1999102
2000053
2000122
2001073
2002022
2002093
2003043
2003112
2004063
2005013
2005083
2006033
2006103
2007053
2007123
2008073
2009022
0%

-90%
-80%
-70%
-60%
-50%
-40%
-30%
-20%
-10%

-100%
 Monthly Returns
Year Jan Feb Mar Apr May Jul Aug Sep Oct Nov Dec Total
1984 -1.76% -.91% 5.93% -2.83% -2.9% .28% 14.96% -5.73% 4.52% -2.05% .42% 8.29% 17.72%
1985 1.12% 3.22% -7.56% 1.% -3.5% -2.08% 11.89% 1.72% 4.38% 7.31% 6.02% 2.34% 27.37%
1986 1.45% 9.29% 1.8% -1.71% -5.27% 2.41% 3.69% 1.38% 3.55% -1.46% 3.35% 2.91% 22.8%
1987 2.77% .69% 5.13% 16.31% 2.48% .8% 2.92% -.91% -2.19% -4.07% 5.15% 4.66% 37.64%
1988 -9.1% 3.39% 1.08% -.97% 12.25% -5.06% -4.89% 4.66% .37% -3.15% 10.18% -2.9% 3.77%
1989 -1.% -6.93% 6.61% 2.28% 14.96% -3.05% 2.39% -1.51% 3.2% -.86% 2.02% 15.36% 35.96%
1990 -4.29% -1.49% 1.1% 2.8% 1.04% 4.47% 5.67% 8.24% 10.74% -3.19% .79% .84% 28.91%
1991 .98% 5.73% -1.26% -3.5% -.66% 3.25% -1.29% -4.47% -1.59% -.56% -2.09% 9.8% 3.52%
1992 -9.99% .07% -.5% 2.41% -1.19% 2.63% 7.99% 12.28% 2.96% -7.04% 1.67% -1.39% 8.3%
1993 -5.87% 3.75% 5.06% 5.17% 4.17% -7.2% 7.3% -9.46% -2.13% -.37% 1.3% 1.47% 1.57%
1994 .8% -2.51% -4.51% -2.82% 20.94% 21.33% .28% -5.13% -.76% 4.13% 8.7% 3.36% 47.83%
1995 1.46% 2.85% 4.32% .48% -8.18% 3.85% -5.06% -2.54% 3.12% -3.97% -2.3% 11.28% 3.91%
1996 -10.% -5.75% 5.51% 8.08% -3.42% 4.1% -7.5% 1.01% 3.66% 3.13% 4.36% -5.7% -4.39%
1997 2.52% 10.6% -5.79% .18% 1.26% -3.59% .23% -.85% -.5% 3.2% 3.01% 10.3% 21.13%
1998 -3.98% 2.54% -.85% -3.7% -2.48% .14% -2.52% 5.53% -13.41% -2.82% 6.82% 4.2% -11.54%
1999 -2.33% .54% -.88% 6.33% -1.6% 1.8% -.41% 4.18% 4.3% -6.65% -.02% -2.22% 2.39%
2000 -3.63% 7.37% -.95% 2.4% 3.83% 4.85% -3.27% 4.5% -6.77% -2.98% -1.56% 10.99% 14.13%
2001 -9.12% 1.7% 8.06% -6.53% 2.95% 4.65% -4.29% -1.1% 12.06% -4.31% .26% .5% 2.87%
2002 .51% -2.87% -.3% 2.88% 11.14% 12.9% 3.74% -1.23% 2.26% -10.82% -4.8% 7.95% 20.66%
2003 16.48% 6.% -15.86% .04% 8.21% -1.96% 1.31% -4.59% 3.63% 11.04% -4.22% 9.56% 28.71%
2004 6.74% 8.98% 4.27% -9.02% -1.78% .72% 5.1% -9.36% 3.59% 1.52% 18.05% -1.2% 27.56%
2005 -8.61% -.77% -5.82% -5.47% -1.71% 2.34% -1.19% 4.85% .57% -7.22% 8.29% 1.94% -13.33%
2006 14.88% -6.31% 9.53% 12.44% -4.16% -9.02% -5.95% 5.49% 5.12% 4.18% 2.71% -3.26% 24.79%
2007 -7.06% -1.17% .95% 3.3% -3.28% -1.34% -.76% -5.61% 11.96% 8.21% -6.63% .91% -2.26%
2008 5.73% 24.99% -10.82% -.36% 7.53% 3.66% -9.97% 1.89% 7.9% 44.07% 6.56% .78% 100.46%
2009 -3.07% -2.3% -3.98% 3.35% 2.55% -5.93% 1.15% -7.98%
 Strategy 1

Long Short
Market Trades Wins W% N's Won N's Lost Total RR Trades Wins W% N's Won N's Lost Total RR
ES 25 7 28% 26 -34 -8 0.77 14 5 36% 22 -17 5 1.29
NQ 16 8 50% 20 -12 8 1.68 13 7 54% 26 -11 15 2.42
TF 19 7 37% 20 -24 -4 0.83 9 2 22% 7 -14 -7 0.50
GC 22 12 55% 64 -23 41 2.77 55 17 31% 72 -73 -1 0.98
SI 25 9 36% 55 -29 25 1.87 48 19 40% 53 -58 -5 0.92
HG 48 12 25% 102 -73 29 1.40 36 10 28% 49 -54 -5 0.91
CL 52 23 44% 128 -54 75 2.39 34 12 35% 43 -44 -1 0.98
HO 51 18 35% 128 -68 59 1.86 27 9 33% 29 -35 -5 0.85
NG 20 10 50% 70 -17 53 4.11 37 16 43% 60 -32 27 1.85
RB 9 2 22% 13 -12 1 1.07 3 1 33% 6 -3 3 2.00
ZC 10 6 60% 23 -7 16 3.31 17 7 41% 24 -17 6 1.36
CC 34 6 18% 17 -59 -42 0.28 57 16 28% 87 -77 9 1.12
CT 41 10 24% 101 -59 42 1.71 50 21 42% 84 -51 33 1.64
KC 24 6 25% 119 -34 85 3.50 57 20 35% 61 -62 -1 0.98
ZW 10 3 30% 23 -11 12 2.10 28 6 21% 17 -37 -20 0.47
LE 57 17 30% 78 -74 4 1.06 35 9 26% 53 -49 4 1.07
HE 44 12 27% 76 -57 20 1.35 39 17 44% 101 -39 62 2.61
ZS 19 8 42% 53 -25 28 2.09 13 5 38% 10 -15 -5 0.67
SB 15 6 40% 52 -16 36 3.17 14 5 36% 15 -16 -1 0.95
AUD 42 18 43% 129 -50 79 2.58 22 10 45% 43 -22 20 1.92
GBP 52 19 37% 105 -59 47 1.80 30 10 33% 49 -37 11 1.31
JPY 42 17 40% 119 -47 72 2.55 40 18 45% 93 -39 54 2.37
EUR 16 10 63% 51 -12 39 4.21 11 4 36% 10 -12 -2 0.82
CHF 41 17 41% 87 -41 46 2.12 38 17 45% 100 -35 65 2.86

Strategy 734 263 36% 1659 -897 762 1.85 727 263 36% 1112 -849 263 1.31

Trades Wins W% N's Won N's Lost Total RR

Strategy Total 1461 526 36% 2771 -1746 506 1.59