To take $1,000,000 to $3,024,987 over 9.58 years, which is the exact length
of the testing period, we need a constant compounded equity growth of 0.9588
percent per month. But as soon as we have both winning and losing periods, after
a losing month, it takes a relatively larger winning month just to break even. This
means that the average arithmetic return needs to be slightly larger that the con-
stant compounded return. In this case, it comes out to 1.0878 percent per month.CHAPTER 28 Combined Money Market Strategies 371
FIGURE 28.18
The drawdown curve for Strategy 12.Profitability Trade statistics
End. Equity ($): 3,024,987 No. trades: 2,314
Total return (%): 202 Avg. trade ($): 875
Avg. annual ret. (%): 12.24 Avg. DIT: 4.8
Profit factor: 1.17 Avg. win/loss ($): 11,908 (11,461)
Avg. tied cap (%): 56 Lrg. win/loss ($): 94,233 (76,148)
Win. Months (%): 53 Win. trades (%): 52.2
Drawdown TIM (%): 84 7.5
Max DD (%): 36.2 Tr./Mark./Year: 4.0
Longest flat (M): 21.5 Tr./Month: 20.1TABLE 28.17
Strategy 12 Results