Trading Systems and Money Management : A Guide to Trading and Profiting in Any Market

the strategy is holding up really well in the current market is the fact that it has

managed to set two new equity highs since the worst drawdown, with another

drawdown of close to 40 percent in between. The drawdown chart (not shown) also

shows that the current drawdown is only the fourth worst drawdown since the start

of the testing period, surpassed also by the drawdown in 1999, prior to the sharp

run up in equity due to the bull market in late 1999 and early 2000.

CHAPTER 28 Combined Money Market Strategies 355

Profitability Trade statistics

End. equity ($): 14,900,205 No. trades: 692

Total return (%): 1,390 Avg. trade ($): 20,087

Avg. annual ret. (%): 32.56 Avg. DIT: 4.7

Profit factor: 1.21 Avg. win/loss ($): 230,028 (227,551)

Avg. tied cap (%): 61 Lrg. win/loss ($): 2,194,892 (2, 437,892)

Win. months (%): 55 Win. trades (%): 53.8

Drawdown TIM (%): 73 4.4

Max DD (%): 42.3 Tr./Mark./Year: 2.4

Longest flat (M): 13.3 Tr./Month: 6.0

TABLE 28.8

Strategy 4 Results

FIGURE 28.7

The equity curve for Strategy 4.