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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 with stops PS QQQ (QQQQ) (QQQQ)
Simulation Date 6/18/2008 11:25:42 PM 2000 Daily Bars 6/29/2000 Through 6/13/2008 (2906 Days)
Optimized System Points Only Test  
 
Performance
Profit 47.5377 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 209
Trade Efficiency 1.64 %
Average Profit/Average Loss N/A
 

 

Profitable Trades
Total 136
Long 82
Short 54
   
Average Profit 0.6825 Pts
Highest Profit 7.0161 Pts
Lowest Profit 0.0091 Pts
Most Consecutive 12
 

 

Unprofitable Trades
Total 73
Long 42
Short 31
   
Average Loss -0.6204 Pts
Highest Loss -4.5000 Pts
Lowest Loss 0.0000 Pts
Most Consecutive 6
 

 

Maximum Position Excursions
Long Favorable 8.1900 Pts
Short Favorable 9.9062 Pts
Long Adverse -4.5000 Pts
Short Adverse -4.7656 Pts
 

 

Trade Efficiency
Average Entry 43.84 %
Average Exit 57.79 %
Average Total 1.64 %
   
Average Long Entry 44.36 %
Average Long Exit 58.77 %
Average Long Total 3.14 %
   
Average Short Entry 43.09 %
Average Short Exit 56.36 %
Average Short Total -0.55 %
 
 
Performance Indices
Buy & Hold Index 209.86 %
Profit/Loss Index 51.21 %
Reward/Risk Index 100.00 %

 

Accounting
Initial Equity 0.0000 Pts
Trade Profit 92.8245 Pts
Trade Loss -45.2868 Pts
Commissions 0.0000 Pts
Interest Credited 0.0000 Pts
Interest Charged 0.0000 Pts
Final Equity 47.5377 Pts
Open Positions 0.0000 Pts
 

 

Account Variation
Highest Account Balance 50.4848 Pts
Lowest Account Balance 0.0000 Pts
Highest Portfolio Value 8.1900 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 2
Longest Trade Length 7
Shortest Trade Length 1
Total Trade Length 332
 

 

Unprofitable Timing
Average Trade Length 1
Longest Trade Length 2
Shortest Trade Length 1
Total Trade Length 98
 

 

Out of Market Timing
Average 9
Longest 45
Total 1570
 

 

Optimization Variables
OPT1 13.00
OPT2 4.00
OPT3 40.00
OPT4 54.00
OPT5 9.00
OPT6 9.00
OPT7 2.00
OPT8 N/A
OPT9 N/A
OPT10 N/A
 
 

     

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