Sunteți pe pagina 1din 1

The equity line looks like a good starting point for a viable trading system.

Al
though
some drawdowns occur the system always recovers quickly and achieves new highs,
so
that you get a relatively steady growth of the initial capital. The profitabilit
y of the trading
system is also revealed by the trading figures (Table 3.1). Here you see that LU
XOR
gains a total net profit of $66,000 with only one traded contract within the tes
ting period
from October 2002 until July 2008. The biggest drawdown within this period was
$16,000. If you assume a starting capital of $30,000 then this would mean that y
our total
profit is more than 200% in the last six years, with a maximum drawdown of about
50%.
44How to develop a trading system step-by-step
using the example of the British po
und/US dollar pair
Table 3.1: Main system figures of the LUXOR system. British pound/US dollar (FOR
EX), 30
minute bars, 21/10/2002-4/7/2008. Input parameters: SLOW=30, FAST=10. System wit
hout
exits, always in the market. Back-test calculation without any slippage and comm
ission.
All Trades Long Trades Short Trades
$66,318 $56,918 $9,400
$590,530 $310,301 $280,230
($524,213) ($253,383) ($270,830)
Profit Factor 1.13 1.22 1.03
Total Number of Trades 1913 957 956
36.49% 39.81% 33.16%
698 381 317
1215 576 639
Avg. Trade Net Profit $35 $59 $10
Avg. Winning Trade $846 $814 $884
($431) ($440) ($424)
1.96 1.85 2.09
$5,628 $5,628 $4,338
($2,522) ($1,652) ($2,522)
6 6 6
Max. Consecutive Losing
Trades 16 10 11
Avg. Bars in Total Trades 37.77 39.18 36.36

S-ar putea să vă placă și