Thursday, May 28, 2009

RE: [TheOptionClub.com] Automated Trading Systems



Both commisions and slippage are included for each trade (entry and exit).  The trading period for backtesting for all of the systems is about 9 months.
 
Hope that I got all of the info that was asked for.  If I missed something or if something is not clear please ask.
 





Annual



Maximum

Maximum




Net Profit

Total #

Percent

Percent

Risk Reward

Maximum

Consecutive

Consecutive

Avg. Time

Expectancy


$

of Trades

Profitable

Return

Index

Drawdown

Winners

Losers

In Trade


T (1min)

1030

72

86

872

271

95

10

1

137 min

15.2486












IWM (1 min)

795

37

67.6

247

256

323

7

3

66 min

21.48552












SMH (1 min)

1915

112

58

870

57

299

6

4

497 min

16.952












GS (1 min)

6331

874

54

649

366

995

8

8

12.36 min

6.6696












GOOG (1 min)

37989

2767

55

1330

1146

3264

17

10

8.07 min

10.316












AAPL (1 min)

5254

220

59

931

1635

619

8

6

17.44 min

24.561












EURUSD (1 min)

70000

71

81

1409

79.8

7124

11

2

3198 min

973.9384












USDJPY (1 min)

43011

221

68

573

51.5

6412

10

4

1030 min

195.9624












EURJPY (1 min)

129788

111

77.5

1557

82.8

12589

15

3

2191 min

1172.88425



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