Please evaluate this strategy

Discussion in 'Strategy Development' started by m4a1, Jun 1, 2006.

  1. m4a1

    m4a1

    This a long only strategy. The results below are from 1/1/98 to date. No money management has been applied yet. The numbers assume 1 contract per trade. The strategy averages around 70 trades per year. I have assumed sufficient slippage and commissions.

    What do you think of it? I welcome all opinions. I do not mind criticism. However, please just explain why. I am hoping that some of the professionals on this board will give their opinions.

    I am going to try to post 9 consecutive images that show detailed stats. I just learned how to do this, so please bear with me. Please do not reply until I am done so that there aren't any interruptions. Thanks.
     
  2. m4a1

    m4a1

    Here's the summary.

    [​IMG]
     
  3. m4a1

    m4a1

    Here are the annual results.

    [​IMG]
     
  4. m4a1

    m4a1

    Other stats like sharpe ratio, etc.

    [​IMG]
     
  5. m4a1

    m4a1

    Consecutive wins and losses.

    [​IMG]
     
  6. m4a1

    m4a1

    Equity curve

    [​IMG]
     
  7. m4a1

    m4a1

    Drawdowns

    [​IMG]
     
  8. m4a1

    m4a1

    Here's the summary risking 1% per trade. Remember, the previous analysis was based on 1 contract per trade.

    [​IMG]
     
  9. m4a1

    m4a1

    Here's the equity curve risking 1% per trade.

    [​IMG]
     
  10. m4a1

    m4a1

    Here are the drawdowns risking 1% per trade.

    [​IMG]
     
    #10     Jun 1, 2006