evolved over the course of the book, you can compare these results with those in
Tables 10.5, 20.3, and 21.3.
As with most strategies featured here, this one is optisized to maximize the
Sharpe ratio, which in this case comes out to 1.31, with the fictive fset to 3 per-
cent per trade.
With an average annual return of close to 25 percent and a maximum draw-
down of 22 percent, this strategy seems to function really well. The percentage of
winning months is at a decent 66 percent, which is considerably higher than the
percentage of winning trades. This means that the system is doing a good job of346 PART 4 Money Management
Profitability Trade statistics
End. equity ($): 8,446,897 No. trades: 7,029
Total return (%): 745 Avg. trade ($): 1,059
Avg. annual ret. (%): 24.94 Avg. DIT: 5.8
Profit factor: 1.23 Avg. win/loss ($): 11,003 (9,945)
Avg. tied cap (%): 73 Lrg. win/loss ($): 148,187 (118,190)
Win. months (%): 66 Win. trades (%): 50.8
Drawdown TIM (%): 100 27.9
Max DD (%): 21.8 Tr./Mark./Year: 12.2
Longest flat (M): 15.5 Tr./Month: 61.1TABLE 28.2
Strategy SummaryCumulative 12 months 24 months 36 months 48 months 60 months
Most recent: –5.22% –15.84% 34.89% 102.16% 139.34%
Average: 28.51% 70.85% 128.87% 203.80% 300.38%
Best: 60.28% 140.21% 218.43% 316.52% 425.26%
Worst: –14.19% –15.84% 34.89% 89.03% 138.81%
St. dev: 18.98% 31.32% 37.85% 48.38% 72.51%
Annualized 12 months 24 months 36 months 48 months 60 months
Most recent: –5.22% –8.26% 10.49% 19.24% 19.07%
Average: 28.51% 30.71% 31.78% 32.02% 31.98%
Best: 60.28% 54.99% 47.12% 42.86% 39.34%
Worst: –14.19% –8.26% 10.49% 17.26% 19.02%
St. dev: 18.98% 14.59% 11.29% 10.37% 11.52%TABLE 28.3
Rolling Time-window Return Analysis