By MasterDATA    

 

 
MasterDATA's Composite Plug-in for MetaStock and historical composite breadth datafiles on 31 major stock indexes and the 111 highest trade volume ETFs.
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Summary
AD Moving Average Cross no stops PS QQQ (QQQQ) (QQQQ)
Simulation Date 6/17/2008 6:40:51 PM 2000 Daily Bars 6/29/2000 Through 6/13/2008 (2906 Days)
Optimized System Points Only Test  
 
Performance
Profit 46.0177 Pts
Performance N/A
Annualized Performance N/A
Buy & Hold Profit -43.2706 Pts
Buy & Hold Performance N/A
Buy & Hold Annualized Performance N/A

 

Trade Summary
Total Trades 181
Trade Efficiency -13.01 %
Average Profit/Average Loss N/A
 

 

Profitable Trades
Total 71
Long 42
Short 29
   
Average Profit 1.7386 Pts
Highest Profit 15.5400 Pts
Lowest Profit 0.0100 Pts
Most Consecutive 6
 

 

Unprofitable Trades
Total 110
Long 60
Short 50
   
Average Loss -0.7039 Pts
Highest Loss -4.5000 Pts
Lowest Loss 0.0000 Pts
Most Consecutive 6
 

 

Maximum Position Excursions
Long Favorable 8.9375 Pts
Short Favorable 19.3000 Pts
Long Adverse -4.5000 Pts
Short Adverse -4.7656 Pts
 

 

Trade Efficiency
Average Entry 49.80 %
Average Exit 36.63 %
Average Total -13.01 %
   
Average Long Entry 51.14 %
Average Long Exit 36.56 %
Average Long Total -12.30 %
   
Average Short Entry 48.07 %
Average Short Exit 36.73 %
Average Short Total -13.93 %
 
 
Performance Indices
Buy & Hold Index 206.35 %
Profit/Loss Index 37.28 %
Reward/Risk Index 100.00 %

 

Accounting
Initial Equity 0.0000 Pts
Trade Profit 123.4438 Pts
Trade Loss -77.4261 Pts
Commissions 0.0000 Pts
Interest Credited 0.0000 Pts
Interest Charged 0.0000 Pts
Final Equity 46.0177 Pts
Open Positions 0.6600 Pts
 

 

Account Variation
Highest Account Balance 52.2982 Pts
Lowest Account Balance 0.0000 Pts
Highest Portfolio Value 16.9900 Pts
Highest Open Drawdown 0.0000 Pts
Highest Closed Drawdown 0.0000 Pts
 

 

Account Events
Margin Calls 0
Overdrafts 0
 

 

Profitable Timing
Average Trade Length 10
Longest Trade Length 32
Shortest Trade Length 1
Total Trade Length 724
 

 

Unprofitable Timing
Average Trade Length 3
Longest Trade Length 11
Shortest Trade Length 1
Total Trade Length 343
 

 

Out of Market Timing
Average 7
Longest 38
Total 932
 

 

Optimization Variables
OPT1 13.00
OPT2 7.00
OPT3 46.00
OPT4 54.00
OPT5 N/A
OPT6 N/A
OPT7 N/A
OPT8 N/A
OPT9 N/A
OPT10 N/A
 
 
     

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