c program files tradingblox results jk catscan 2011-10

8/3/2019 C Program Files TradingBlox Results JK Catscan 2011-10

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Stepped Parameter Summary Performance

Test Choppiness Limit (Entry) Ending Balance CAGR% MARModifiedSharpe

AnnualSharpe

Max TotalEquity DD

LongestDrawdown

# Trades

1 Details 0.0 1,026,742,130.79 87.85% 1.21 1.18 0.68 72.9% 44.0 2,155

2 Details 0.5 3,897,004,807.54 112.08% 1.87 1.35 0.68 60.1% 23.9 1,804

3 Details 1.0 3,087,887,746.53 107.64% 1.71 1.32 0.83 62.9% 24.5 1,812

4 Details 1.5 3,103,490,828.14 107.73% 1.70 1.33 0.84 63.4% 20.2 1,881

5 Details 2.0 6,199,612,410.22 121.22% 2.08 1.44 0.93 58.2% 16.2 1,945

6 Details 2.5 5,507,046,705.62 118.85% 2.06 1.43 0.97 57.8% 16.5 2,029

7 Details 3.0 4,347,969,112.50 114.20% 1.92 1.39 1.01 59.3% 19.6 2,128

8 Details 3.5 4,914,614,239.64 116.60% 2.21 1.41 0.98 52.8% 19.6 2,201

9 Details 4.0 4,526,542,324.74 114.98% 2.23 1.40 1.00 51.5% 16.3 2,278

10 Details 4.5 6,558,519,763.52 122.36% 2.50 1.46 1.06 48.9% 21.7 2,337

11 Details 5.0 8,785,847,703.31 128.35% 2.52 1.50 1.10 51.0% 14.3 2,392

12 Details 5.5 6,433,646,391.16 121.97% 2.35 1.45 1.24 52.0% 21.1 2,459

13 Details 6.0 5,487,621,722.04 118.78% 2.22 1.44 1.21 53.5% 23.5 2,503

14 Details 6.5 3,268,600,610.75 108.71% 1.83 1.36 1.15 59.5% 24.7 2,557

15 Details 7.0 2,818,866,136.65 105.92% 1.73 1.34 1.06 61.2% 24.0 2,603

16 Details 7.5 3,063,049,600.98 107.48% 1.83 1.35 1.15 58.7% 22.7 2,656

17 Details 8.0 2,853,673,571.40 106.15% 1.81 1.34 1.16 58.7% 22.8 2,69618 Details 8.5 2,644,391,801.32 104.73% 1.71 1.32 1.21 61.4% 22.7 2,724

19 Details 9.0 1,700,420,882.40 96.67% 1.58 1.26 1.18 61.1% 22.7 2,767

20 Details 9.5 1,898,855,662.68 98.66% 1.71 1.29 1.12 57.8% 20.9 2,786

21 Details 10.0 1,794,756,438.07 97.64% 1.72 1.29 1.08 56.8% 22.8 2,814

Stepped Parameter Test - 1 of 21

Page 1 of 138Trading Blox Summary Test Results

7/10/2011file://C:\Program Files\TradingBlox\Results\JK Catscan 2011-10-07_22_56_42.htm


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Yearly Performance Summary

Year Days Closed Balance End Total Equity Total Equity Gain Gain % # Trades

1998 365 2,121,071.98 2,697,149.12 1,697,149.12 169.7% 148

1999 365 2,583,363.30 3,291,086.59 593,937.48 22.0% 199

2000 366 5,700,217.60 7,996,738.61 4,705,652.01 143.0% 192

2001 365 8,360,597.23 9,449,614.05 1,452,875.44 18.2% 201

2002 365 21,768,245.72 32,764,047.97 23,314,433.92 246.7% 178

2003 365 71,960,690.48 99,006,067.19 66,242,019.22 202.2% 190

2004 366 116,292,703.43 133,797,428.00 34,791,360.81 35.1% 205

2005 365 81,679,976.29 102,556,772.46 -31,240,655.53 -23.3% 216

2006 365 81,180,670.35 97,543,700.55 -5,013,071.92 -4.9% 213

2007 365 154,111,086.11 213,297,387.52 115,753,686.98 118.7% 196

2008 366 1,026,742,130.79 1,026,742,130.79 813,444,743.27 381.4% 217

Trading Performance

CAGR % 87.85%

MAR Ratio 1.21

RAR % 72.63%

R-Cubed 1.57

Robust Sharpe Ratio 0.95

Margin to Equity Ratio 74.49%

Daily Return % 0.3179%

Daily Geometric Return % 0.1728%

Daily Standard Deviation % 3.90%

Daily Downside Deviation % 2.59%

Daily Sharpe 0.079

Daily Geo Sharpe 0.042

Daily Sortino 0.120

Modified Sharpe Ratio 1.18

Annual Sharpe Ratio 0.68

Annual Sortino Ratio +

Monthly Sharpe Ratio 0.33

Monthly Sortino Ratio 0.81

Calmar Ratio 1.25

R-Squared 0.911

Maximum Total Equity Drawdown % 72.90%

Longest Total Equity Drawdown (months) 43.96

Average Max TE Drawdown % 53.91%

Average Max TE Drawdown Length (months) 14.42

Maximum Monthly Total Equity Drawdown % 70.16%

Maximum Monthly Closed Equity Drawdown % 62.63%

Maximum Closed Equity Drawdown % 63.36%

Win/Loss Statistics

Wins 849 39.4%

Losses 1306 60.6%

Total 2155 100.0%

Winning Months 79 59.8%

Losing Months 53 40.2%

Total 132 100.0%

Average Risk Percent 4.63%

Average Win Percent 3.41%

Average Loss Percent 1.43%

Average Win Dollars 3,195,364.48

Average Loss Dollars 1,291,824.13

Average Trade Percent 0.48%

Average Trade Dollars 475,982.43

Profit Factor 1.61

Percent Profit Factor 1.55

Expectation 0.10

Equity Management

Test Starting Equity 1,000,000.00

Order Generation Equity 0.00

Order Generation Equity High 0.00

Leverage (fraction) 1.00

Trading Equity Base Total Equity

Drawdown Reduction Threshold (%) 0.00%

Drawdown Reduction Amount (%) 0.00%




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Average Closed Equity Drawdown % 12.18%

Round Turns Per Million 5,188

Round Turns 3,958,172

Total Trades 2,155

Start Account Balance 1,000,000.00

Total Win Dollars 2,712,864,446.02

Total Loss Dollars 1,687,122,315.22

Total Profit 1,025,742,130.79

Earned Interest 0.00

Margin Interest 0.00

End Account Balance 1,026,742,130.79

End Open Equity -0.00

End Total Equity 1,026,742,130.79

Highest Total Equity 1,156,316,534.36

Highest Closed Equity 1,045,152,012.39

Total Commissions 158,326,880.00

Commission per Round Turn 40.00

Total Slippage 174,944,468.08

Slippage per Round Turn 44.20

Total Forex Carry 0.00

Total Dividends 0.00

Total Other Expenses 0.00

Monte Carlo Confidence Level Statistics

90% Return 43.83%

90% Sharpe 0.02

90% MAR 0.58

90% R Squared 0.786

90% Maximum Drawdown 80.88%

90% Second Largest Drawdown 68.21%

90% Third Largest Drawdown 60.46%

90% Longest Drawdown 45.7

90% Second Longest Drawdown 22.2

90% Third Longest Drawdown 14.9

Test Period

First Test Date 1998-01-01

Last Test Date 2008-12-31

Global Simulation Parameters

Earn Interest FALSE

Earn Dividends TRUE

Pay Margin on Stocks TRUE

Commission per Stock Trade 0.00

Commission per Stock Share 0.01

Commission per Contract 40.00

Commission by Stock Value (%) 0.00%

Slippage Percent 5.00%

Minimum Slippage 15.00

Forex Trade Size 1,000.00

Account for Forex Carry TRUE

Use Pip Based Slippage FALSE

Account for Contract Rolls TRUE

Roll Slippage in % of ATR 5.00%

Minimum Stock Volume 10,000

Minimum Futures Volume 0

Max Percent Volume Per Trade 0.00%

Entry Day Retracement -10.00%

Max Margin Equity 100.00%

Trade on Lock Days FALSE

Convert Profit by Stock Split TRUE

Trade Always on Tick TRUE

Smart Fill Exit TRUE

Use Start Date Stepping TRUE

Shift Test Start 0

Shift Test Duration 0

Use Broker Positions FALSE

Preferences

Risk Free Rate 3.00%

Load Volume TRUE

Load Unadjusted Close TRUE

Raise Negative Data FALSE

Process Weekly Bars TRUE

Process Monthly Bars TRUE

Process Daily Bars TRUE

Process Weekends TRUE

Additional Years of Data 5.00

Instrument Performance Summary

Symbol Wins % Losses % Trades

Win

Months %

Loss

Months %

Avg. Win

%

Avg.

Loss %

Avg. Trade

%

% Proft

Factor

AD 26 47.3% 29 52.7% 55 75 56.8% 57 43.2% 3.38% 1.43% 0.84% 2.11

BO2 21 36.2% 37 63.8% 58 69 52.3% 63 47.7% 3.26% 1.33% 0.33% 1.39

C2 19 32.2% 40 67.8% 59 68 51.5% 64 48.5% 2.97% 1.63% -0.15% 0.86

CGB 22 33.3% 44 66.7% 66 71 53.8% 61 46.2% 2.57% 1.25% 0.03% 1.03

CON 21 38.2% 34 61.8% 55 71 53.8% 61 46.2% 3.19% 1.62% 0.22% 1.22

CT2 25 46.3% 29 53.7% 54 74 56.1% 58 43.9% 3.39% 1.63% 0.69% 1.79

DA2 25 48.1% 27 51.9% 52 80 60.6% 52 39.4% 6.76% 1.37% 2.54% 4.58

DX 26 42.6% 35 57.4% 61 73 55.3% 59 44.7% 3.25% 1.47% 0.54% 1.64

EBL 21 39.6% 32 60.4% 53 78 59.1% 54 40.9% 3.03% 1.34% 0.39% 1.48

FC 17 25.8% 49 74.2% 66 66 50.0% 66 50.0% 4.28% 1.52% -0.03% 0.98

FCH 25 44.6% 31 55.4% 56 81 61.4% 51 38.6% 3.57% 1.14% 0.97% 2.53

FDX 22 40.7% 32 59.3% 54 79 59.8% 53 40.2% 4.36% 1.35% 0.98% 2.23

FEI 15 29.4% 36 70.6% 51 81 61.4% 51 38.6% 2.56% 1.59% -0.37% 0.67

FV 24 44.4% 30 55.6% 54 72 54.5% 60 45.5% 3.20% 1.23% 0.74% 2.08

GC2 24 43.6% 31 56.4% 55 70 53.0% 62 47.0% 2.83% 1.54% 0.37% 1.43HSI 26 45.6% 31 54.4% 57 73 55.3% 59 44.7% 3.35% 1.53% 0.70% 1.84

JAU 25 44.6% 31 55.4% 56 65 49.2% 67 50.8% 2.69% 2.20% -0.02% 0.99

LB 26 41.3% 37 58.7% 63 69 52.3% 63 47.7% 3.38% 1.77% 0.35% 1.34

LC 18 29.0% 44 71.0% 62 70 53.0% 62 47.0% 3.98% 1.58% 0.03% 1.03

LCO 33 67.3% 16 32.7% 49 88 66.7% 44 33.3% 2.57% 1.04% 1.39% 5.10

LGO 24 47.1% 27 52.9% 51 82 62.1% 50 37.9% 5.17% 1.21% 1.79% 3.81

LRC 23 40.4% 34 59.6% 57 74 56.1% 58 43.9% 3.02% 1.32% 0.43% 1.55

MW 24 39.3% 37 60.7% 61 74 56.1% 58 43.9% 3.05% 1.44% 0.32% 1.37

NE 22 44.0% 28 56.0% 50 80 60.6% 52 39.4% 4.55% 1.92% 0.92% 1.86

NG2 23 35.4% 42 64.6% 65 69 52.3% 63 47.7% 2.67% 1.36% 0.06% 1.07

NK 27 44.3% 34 55.7% 61 75 56.8% 57 43.2% 2.53% 1.41% 0.33% 1.42

NQ 27 41.5% 38 58.5% 65 71 53.8% 61 46.2% 2.54% 1.36% 0.26% 1.33




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PA2 23 38.3% 37 61.7% 60 66 50.0% 66 50.0% 5.47% 1.18% 1.37% 2.88

PL2 23 41.8% 32 58.2% 55 77 58.3% 55 41.7% 3.59% 1.49% 0.63% 1.73

RY 21 53.8% 18 46.2% 39 90 68.2% 42 31.8% 2.49% 1.54% 0.63% 1.89

S2 23 39.0% 36 61.0% 59 65 49.2% 67 50.8% 3.81% 1.30% 0.69% 1.87

SB2 18 26.5% 50 73.5% 68 65 49.2% 67 50.8% 3.47% 1.59% -0.25% 0.79

SM2 36 30.3% 83 69.7% 119 68 51.5% 64 48.5% 2.36% 1.04% -0.01% 0.98

SSG 15 31.3% 33 68.8% 48 79 59.8% 53 40.2% 4.35% 1.72% 0.18% 1.15

TF 13 35.1% 24 64.9% 37 97 73.5% 35 26.5% 2.73% 1.38% 0.06% 1.07

TU 26 44.8% 32 55.2% 58 75 56.8% 57 43.2% 3.56% 1.20% 0.93% 2.41

W2 20 30.3% 46 69.7% 66 67 50.8% 65 49.2% 3.02% 1.19% 0.08% 1.10

System Parameter Settings

JK CatScan v4 Parameters

Allocation Percent 100.00%

mm: Use System Equity Category: Trading Equity

mm: Unit Risk Per Trade (%): 4.00%

Days in Choppiness Indicator 20

Choppiness Limit (Entry) 0.00

Volatility percent when choppy 1.30

Volatility percent when trendy 0.40

Channel days exit 25

Initial stop style Volatility

Fixed dollars stop 4,000

Volatility stop multiple 3.50

Volatility (ATR) days 20

PortfolioFutures:JKDiversified

Long Moving Median Days 300

Short Moving Median Days 50

Trade Direction Trade All





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1998 365 2,182,962.86 2,740,429.52 1,740,429.52 174.0% 123

1999 365 2,072,991.33 2,713,294.55 -27,134.97 -1.0% 172

2000 366 4,433,530.45 5,888,797.43 3,175,502.89 117.0% 163

2001 365 7,247,240.65 8,002,248.33 2,113,450.90 35.9% 171

2002 365 22,254,789.85 33,480,242.04 25,477,993.71 318.4% 156

2003 365 93,067,797.16 126,832,078.97 93,351,836.93 278.8% 158

2004 366 153,407,827.88 180,417,990.17 53,585,911.20 42.2% 177

2005 365 136,709,991.35 183,510,594.72 3,092,604.55 1.7% 181

2006 365 184,047,724.29 213,586,945.35 30,076,350.63 16.4% 172

2007 365 490,151,825.59 645,921,891.20 432,334,945.84 202.4% 157

2008 366 3 ,897,004,807.54 3,897,004,807.54 3,251,082,916.34 503.3% 174




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Trading Performance

CAGR % 112.08%

MAR Ratio 1.87

RAR % 97.38%

R-Cubed 2.65







Daily Sharpe 0.092


Daily Sortino 0.139






Calmar Ratio 2.29

R-Squared 0.950











Total Trades 1,804




Total Profit 3,896,004,807.54






Highest Total Equity 4,274,321,178.20Highest Closed Equity 3,897,004,807.54









90% Return 62.32%

90% Sharpe 0.03

90% MAR 0.91

90% R Squared 0.876


90% Second Largest Drawdown 64.04%90% Third Largest Drawdown 56.65%




Test Period



Win/Loss Statistics

Wins 766 42.5%

Losses 1038 57.5%

Total 1804 100.0%



Total 132 100.0%


Average Win Percent 3.66%Average Loss Percent 1.59%




Average Trade Dollars 2,159,647.90

Profit Factor 2.22


Expectation 0.14

Equity Management









Earn Interest FALSE

Earn Dividends TRUE























Shift Test Start 0



Preferences


Load Volume TRUE









Symbol Wins % Losses % TradesWin

Months%

LossMonths

%Avg. Win

%Avg.

Loss %Avg. Trade

%% ProftFactor




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AD 22 43.1% 29 56.9% 51 75 56.8% 57 43.2% 3.39% 1.41% 0.66% 1.83

BO2 16 38.1% 26 61.9% 42 82 62.1% 50 37.9% 4.14% 1.42% 0.69% 1.79

C2 19 38.8% 30 61.2% 49 74 56.1% 58 43.9% 2.85% 1.92% -0.07% 0.94

CGB 21 36.2% 37 63.8% 58 75 56.8% 57 43.2% 2.63% 1.49% 0.00% 1.00

CON 18 33.3% 36 66.7% 54 74 56.1% 58 43.9% 4.12% 1.80% 0.17% 1.14

CT2 20 43.5% 26 56.5% 46 79 59.8% 53 40.2% 3.90% 1.66% 0.76% 1.81

DA2 24 51.1% 23 48.9% 47 80 60.6% 52 39.4% 7.11% 1.50% 2.90% 4.95

DX 22 44.9% 27 55.1% 49 75 56.8% 57 43.2% 3.59% 1.70% 0.68% 1.72

EBL 18 41.9% 25 58.1% 43 81 61.4% 51 38.6% 3.17% 1.44% 0.49% 1.59

FC 16 32.7% 33 67.3% 49 75 56.8% 57 43.2% 4.15% 1.99% 0.01% 1.01

FCH 23 54.8% 19 45.2% 42 86 65.2% 46 34.8% 3.68% 1.45% 1.36% 3.07

FDX 23 57.5% 17 42.5% 40 84 63.6% 48 36.4% 3.92% 1.63% 1.56% 3.26

FEI 14 32.6% 29 67.4% 43 79 59.8% 53 40.2% 2.33% 1.53% -0.27% 0.74

FV 19 41.3% 27 58.7% 46 79 59.8% 53 40.2% 4.15% 1.31% 0.94% 2.23

GC2 19 36.5% 33 63.5% 52 73 55.3% 59 44.7% 3.33% 1.34% 0.36% 1.43

HSI 24 52.2% 22 47.8% 46 82 62.1% 50 37.9% 3.77% 1.63% 1.19% 2.52

JAU 21 39.6% 32 60.4% 53 63 47.7% 69 52.3% 3.36% 1.98% 0.14% 1.11

LB 24 42.9% 32 57.1% 56 73 55.3% 59 44.7% 3.41% 1.93% 0.36% 1.32

LC 17 31.5% 37 68.5% 54 69 52.3% 63 47.7% 4.13% 1.78% 0.08% 1.06

LCO 29 65.9% 15 34.1% 44 84 63.6% 48 36.4% 2.85% 1.42% 1.40% 3.89

LGO 26 57.8% 19 42.2% 45 84 63.6% 48 36.4% 4.24% 1.63% 1.76% 3.56

LRC 21 47.7% 23 52.3% 44 78 59.1% 54 40.9% 3.49% 1.78% 0.74% 1.79

MW 23 43.4% 30 56.6% 53 70 53.0% 62 47.0% 3.07% 1.52% 0.48% 1.55

NE 20 45.5% 24 54.5% 44 81 61.4% 51 38.6% 5.45% 2.18% 1.29% 2.08

NG2 28 51.9% 26 48.1% 54 73 55.3% 59 44.7% 2.13% 1.83% 0.22% 1.25

NK 23 41.8% 32 58.2% 55 74 56.1% 58 43.9% 2.88% 1.43% 0.37% 1.45

NQ 20 43.5% 26 56.5% 46 76 57.6% 56 42.4% 3.22% 1.31% 0.66% 1.89

PA2 20 38.5% 32 61.5% 52 77 58.3% 55 41.7% 6.58% 1.30% 1.73% 3.16

PL2 22 45.8% 26 54.2% 48 79 59.8% 53 40.2% 3.71% 1.65% 0.80% 1.90

RY 16 50.0% 16 50.0% 32 91 68.9% 41 31.1% 3.10% 1.42% 0.84% 2.19

S2 21 39.6% 32 60.4% 53 76 57.6% 56 42.4% 3.84% 1.48% 0.63% 1.71

SB2 18 32.1% 38 67.9% 56 67 50.8% 65 49.2% 3.17% 1.95% -0.30% 0.77

SM2 32 34.4% 61 65.6% 93 74 56.1% 58 43.9% 2.49% 1.22% 0.05% 1.07

SSG 15 34.9% 28 65.1% 43 77 58.3% 55 41.7% 4.17% 1.73% 0.33% 1.29

TF 12 48.0% 13 52.0% 25 100 75.8% 32 24.2% 2.70% 1.35% 0.60% 1.85

TU 20 45.5% 24 54.5% 44 80 60.6% 52 39.4% 4.64% 1.40% 1.34% 2.76

W2 20 37.7% 33 62.3% 53 69 52.3% 63 47.7% 3.05% 1.44% 0.26% 1.29























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1998 365 2,353,799.36 2,952,742.08 1,952,742.08 195.3% 120

1999 365 2,672,290.97 3,544,695.25 591,953.17 20.0% 164

2000 366 7,323,057.90 9,928,718.58 6,384,023.33 180.1% 165

2001 365 12,972,672.54 14,519,604.10 4,590,885.52 46.2% 172

2002 365 35,171,954.80 54,030,526.77 39,510,922.67 272.1% 156

2003 365 130,880,013.51 175,882,278.99 121,851,752.22 225.5% 155

2004 366 172,510,043.31 197,859,060.94 21,976,781.96 12.5% 183

2005 365 150,434,678.19 206,797,675.60 8,938,614.66 4.5% 182

2006 365 172,082,541.07 205,270,146.72 -1,527,528.88 -0.7% 182

2007 365 512,822,508.88 693,271,424.38 488,001,277.66 237.7% 151

2008 366 3 ,087,887,746.53 3,087,887,746.53 2,394,616,322.15 345.4% 182

Trading Performance

CAGR % 107.64%

MAR Ratio 1.71

RAR % 91.64%

R-Cubed 2.17







Daily Sharpe 0.090


Daily Sortino 0.135






Calmar Ratio 2.02

R-Squared 0.946








Win/Loss Statistics

Wins 746 41.2%

Losses 1066 58.8%

Total 1812 100.0%



Total 132 100.0%








Profit Factor 1.88


Expectation 0.14

Equity Management











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Total Trades 1,812




Total Profit 3,086,887,746.53




End Open Equity 0.00












90% Return 58.33%

90% Sharpe 0.03

90% MAR 0.79

90% R Squared 0.848







Test Period




Earn Interest FALSE

Earn Dividends TRUE























Shift Test Start 0



Preferences


Load Volume TRUE










Win

Months %

Loss

Months %

Avg. Win

%

Avg.

Loss %

Avg. Trade

%

% Proft

Factor

AD 22 48.9% 23 51.1% 45 73 55.3% 59 44.7% 3.78% 1.58% 1.04% 2.29

BO2 16 34.0% 31 66.0% 47 76 57.6% 56 42.4% 4.26% 1.27% 0.61% 1.74

C2 17 33.3% 34 66.7% 51 73 55.3% 59 44.7% 2.75% 1.82% -0.29% 0.76

CGB 19 35.2% 35 64.8% 54 76 57.6% 56 42.4% 2.85% 1.50% 0.03% 1.03

CON 19 35.8% 34 64.2% 53 74 56.1% 58 43.9% 4.07% 1.57% 0.45% 1.45

CT2 21 43.8% 27 56.3% 48 76 57.6% 56 42.4% 3.68% 1.69% 0.66% 1.70

DA2 23 50.0% 23 50.0% 46 81 61.4% 51 38.6% 7.63% 1.45% 3.09% 5.25

DX 21 39.6% 32 60.4% 53 75 56.8% 57 43.2% 3.80% 1.64% 0.52% 1.52

EBL 17 44.7% 21 55.3% 38 88 66.7% 44 33.3% 3.70% 1.32% 0.93% 2.27

FC 15 30.6% 34 69.4% 49 72 54.5% 60 45.5% 4.33% 1.84% 0.05% 1.04

FCH 22 53.7% 19 46.3% 41 88 66.7% 44 33.3% 4.08% 1.38% 1.55% 3.43

FDX 22 51.2% 21 48.8% 43 80 60.6% 52 39.4% 3.90% 1.65% 1.19% 2.48

FEI 13 28.9% 32 71.1% 45 76 57.6% 56 42.4% 2.80% 1.64% -0.36% 0.69

FV 19 40.4% 28 59.6% 47 82 62.1% 50 37.9% 4.62% 1.41% 1.02% 2.22

GC2 19 34.5% 36 65.5% 55 70 53.0% 62 47.0% 3.50% 1.48% 0.24% 1.25HSI 26 54.2% 22 45.8% 48 88 66.7% 44 33.3% 3.49% 1.62% 1.14% 2.54

JAU 19 36.5% 33 63.5% 52 66 50.0% 66 50.0% 3.82% 2.00% 0.13% 1.10

LB 23 38.3% 37 61.7% 60 71 53.8% 61 46.2% 3.31% 1.81% 0.15% 1.14

LC 17 31.5% 37 68.5% 54 73 55.3% 59 44.7% 4.60% 1.60% 0.35% 1.32

LCO 29 64.4% 16 35.6% 45 80 60.6% 52 39.4% 2.53% 1.37% 1.14% 3.36

LGO 26 57.8% 19 42.2% 45 83 62.9% 49 37.1% 4.28% 1.51% 1.84% 3.88

LRC 23 48.9% 24 51.1% 47 78 59.1% 54 40.9% 3.17% 1.53% 0.77% 1.99

MW 21 38.9% 33 61.1% 54 70 53.0% 62 47.0% 3.34% 1.57% 0.34% 1.36

NE 19 41.3% 27 58.7% 46 79 59.8% 53 40.2% 5.78% 2.01% 1.21% 2.03

NG2 25 47.2% 28 52.8% 53 75 56.8% 57 43.2% 2.49% 1.57% 0.35% 1.42

NK 20 36.4% 35 63.6% 55 73 55.3% 59 44.7% 3.22% 1.48% 0.23% 1.24

NQ 20 43.5% 26 56.5% 46 73 55.3% 59 44.7% 3.24% 1.44% 0.59% 1.73




21/138


PA2 19 39.6% 29 60.4% 48 76 57.6% 56 42.4% 7.06% 1.18% 2.08% 3.92

PL2 21 41.2% 30 58.8% 51 77 58.3% 55 41.7% 3.57% 1.51% 0.58% 1.66

RY 15 44.1% 19 55.9% 34 90 68.2% 42 31.8% 3.35% 1.64% 0.57% 1.62

S2 21 43.8% 27 56.3% 48 77 58.3% 55 41.7% 3.91% 1.66% 0.78% 1.83

SB2 15 26.8% 41 73.2% 56 70 53.0% 62 47.0% 3.78% 1.87% -0.36% 0.74

SM2 31 33.0% 63 67.0% 94 70 53.0% 62 47.0% 2.55% 1.29% -0.02% 0.98

SSG 16 38.1% 26 61.9% 42 76 57.6% 56 42.4% 3.70% 1.85% 0.26% 1.23

TF 13 50.0% 13 50.0% 26 101 76.5% 31 23.5% 2.80% 1.60% 0.60% 1.75

TU 23 52.3% 21 47.7% 44 84 63.6% 48 36.4% 3.90% 1.39% 1.38% 3.08

W2 19 38.8% 30 61.2% 49 75 56.8% 57 43.2% 3.36% 1.34% 0.48% 1.59























22/138




23/138




24/138




25/138



1998 365 2,186,763.85 2,700,605.21 1,700,605.21 170.1% 117

1999 365 2,281,968.70 3,042,986.86 342,381.64 12.7% 169

2000 366 5,819,592.40 8,044,033.99 5,001,047.14 164.3% 171

2001 365 11,883,921.53 13,130,557.84 5,086,523.84 63.2% 174

2002 365 29,744,641.12 44,086,325.84 30,955,768.01 235.8% 165

2003 365 112,501,402.12 150,682,099.14 106,595,773.30 241.8% 160

2004 366 171,842,261.93 197,891,353.51 47,209,254.37 31.3% 190

2005 365 171,416,743.88 213,802,196.31 15,910,842.80 8.0% 188

2006 365 165,851,635.56 206,263,090.01 -7,539,106.30 -3.5% 195

2007 365 472,160,934.89 648,292,936.54 442,029,846.53 214.3% 168

2008 366 3 ,103,490,828.14 3,103,490,828.14 2,455,197,891.60 378.7% 184




26/138

Trading Performance

CAGR % 107.73%

MAR Ratio 1.70

RAR % 94.16%

R-Cubed 2.50







Daily Sharpe 0.090


Daily Sortino 0.137






Calmar Ratio 1.97

R-Squared 0.952











Total Trades 1,881




Total Profit 3,102,490,828.14















90% Return 60.36%

90% Sharpe 0.03

90% MAR 0.85

90% R Squared 0.864






Test Period



Win/Loss Statistics

Wins 777 41.3%

Losses 1104 58.7%

Total 1881 100.0%



Total 132 100.0%







Profit Factor 1.91


Expectation 0.13

Equity Management









Earn Interest FALSE

Earn Dividends TRUE























Shift Test Start 0



Preferences


Load Volume TRUE










Months%

LossMonths

%Avg. Win

%Avg.

Loss %Avg. Trade

%% ProftFactor




27/138


AD 21 42.9% 28 57.1% 49 71 53.8% 61 46.2% 4.06% 1.46% 0.91% 2.09

BO2 20 40.0% 30 60.0% 50 76 57.6% 56 42.4% 3.13% 1.57% 0.31% 1.33

C2 18 37.5% 30 62.5% 48 77 58.3% 55 41.7% 2.78% 1.81% -0.09% 0.92

CGB 22 38.6% 35 61.4% 57 77 58.3% 55 41.7% 2.21% 1.53% -0.09% 0.91

CON 19 33.9% 37 66.1% 56 74 56.1% 58 43.9% 3.89% 1.48% 0.34% 1.35

CT2 21 38.9% 33 61.1% 54 78 59.1% 54 40.9% 3.41% 1.54% 0.38% 1.40

DA2 24 48.0% 26 52.0% 50 80 60.6% 52 39.4% 7.45% 1.48% 2.81% 4.66

DX 21 38.9% 33 61.1% 54 75 56.8% 57 43.2% 3.99% 1.65% 0.54% 1.54

EBL 18 43.9% 23 56.1% 41 81 61.4% 51 38.6% 3.34% 1.38% 0.69% 1.90

FC 18 34.6% 34 65.4% 52 67 50.8% 65 49.2% 3.49% 1.78% 0.04% 1.03

FCH 22 47.8% 24 52.2% 46 85 64.4% 47 35.6% 3.83% 1.35% 1.13% 2.60

FDX 20 41.7% 28 58.3% 48 80 60.6% 52 39.4% 4.18% 1.38% 0.94% 2.17

FEI 13 28.9% 32 71.1% 45 79 59.8% 53 40.2% 3.00% 1.73% -0.36% 0.70

FV 21 42.0% 29 58.0% 50 80 60.6% 52 39.4% 4.12% 1.43% 0.90% 2.08

GC2 21 36.8% 36 63.2% 57 71 53.8% 61 46.2% 3.50% 1.43% 0.38% 1.42

HSI 28 56.0% 22 44.0% 50 87 65.9% 45 34.1% 3.30% 1.70% 1.10% 2.47

JAU 20 36.4% 35 63.6% 55 63 47.7% 69 52.3% 3.69% 2.08% 0.02% 1.02

LB 24 40.7% 35 59.3% 59 72 54.5% 60 45.5% 3.53% 1.86% 0.33% 1.30

LC 17 32.7% 35 67.3% 52 74 56.1% 58 43.9% 4.85% 1.47% 0.60% 1.61

LCO 27 58.7% 19 41.3% 46 78 59.1% 54 40.9% 2.85% 1.43% 1.08% 2.83

LGO 25 50.0% 25 50.0% 50 83 62.9% 49 37.1% 4.71% 1.36% 1.68% 3.47

LRC 24 50.0% 24 50.0% 48 79 59.8% 53 40.2% 2.71% 1.49% 0.61% 1.82

MW 22 38.6% 35 61.4% 57 72 54.5% 60 45.5% 3.17% 1.51% 0.30% 1.32

NE 19 39.6% 29 60.4% 48 78 59.1% 54 40.9% 5.54% 1.87% 1.06% 1.94

NG2 25 43.1% 33 56.9% 58 74 56.1% 58 43.9% 2.41% 1.21% 0.35% 1.51

NK 21 37.5% 35 62.5% 56 70 53.0% 62 47.0% 3.15% 1.56% 0.21% 1.21

NQ 20 39.2% 31 60.8% 51 70 53.0% 62 47.0% 3.18% 1.52% 0.32% 1.35

PA2 19 38.0% 31 62.0% 50 75 56.8% 57 43.2% 6.70% 1.09% 1.87% 3.77

PL2 22 44.9% 27 55.1% 49 77 58.3% 55 41.7% 3.51% 1.58% 0.71% 1.81

RY 19 51.4% 18 48.6% 37 92 69.7% 40 30.3% 2.61% 1.62% 0.55% 1.70

S2 20 39.2% 31 60.8% 51 78 59.1% 54 40.9% 3.99% 1.37% 0.73% 1.88

SB2 17 32.7% 35 67.3% 52 71 53.8% 61 46.2% 3.81% 1.98% -0.08% 0.94

SM2 33 37.5% 55 62.5% 88 74 56.1% 58 43.9% 2.26% 1.19% 0.10% 1.14

SSG 17 40.5% 25 59.5% 42 77 58.3% 55 41.7% 3.42% 1.85% 0.28% 1.26

TF 14 48.3% 15 51.7% 29 103 78.0% 29 22.0% 2.60% 1.59% 0.44% 1.53

TU 22 50.0% 22 50.0% 44 83 62.9% 49 37.1% 4.12% 1.33% 1.39% 3.09

W2 23 44.2% 29 55.8% 52 76 57.6% 56 42.4% 2.78% 1.37% 0.46% 1.60























28/138




29/138




30/138




31/138




32/138



1998 365 2,257,133.63 2,856,025.34 1,856,025.34 185.6% 127

1999 365 2,461,723.96 3,321,538.42 465,513.08 16.3% 176

2000 366 6,474,469.70 9,141,467.99 5,819,929.57 175.2% 172

2001 365 13,472,908.41 14,667,722.41 5,526,254.42 60.5% 180

2002 365 34,514,341.74 51,987,167.05 37,319,444.64 254.4% 162

2003 365 128,231,636.25 171,650,949.23 119,663,782.18 230.2% 167

2004 366 228,863,563.95 263,140,788.88 91,489,839.65 53.3% 201

2005 365 282,819,809.95 350,821,358.45 87,680,569.56 33.3% 193

2006 365 265,046,854.01 329,710,815.85 -21,110,542.60 -6.0% 202

2007 365 990,012,803.98 1,350,834,425.97 1,021,123,610.12 309.7% 169

2008 366 6 ,199,612,410.22 6,199,612,410.22 4,848,777,984.25 358.9% 196

Trading Performance

CAGR % 121.22%

MAR Ratio 2.08

RAR % 107.58%

R-Cubed 3.32







Daily Sharpe 0.097


Daily Sortino 0.149






Calmar Ratio 2.57

R-Squared 0.968








Win/Loss Statistics

Wins 813 41.8%

Losses 1132 58.2%

Total 1945 100.0%



Total 132 100.0%








Profit Factor 1.99


Expectation 0.14

Equity Management











33/138




Total Trades 1,945




Total Profit 6,198,612,410.22
















90% Return 71.10%

90% Sharpe 0.04

90% MAR 1.03

90% R Squared 0.892







Test Period




Earn Interest FALSE

Earn Dividends TRUE























Shift Test Start 0



Preferences


Load Volume TRUE










Win

Months %

Loss

Months %

Avg. Win

%

Avg.

Loss %

Avg. Trade

%

% Proft

Factor

AD 23 43.4% 30 56.6% 53 69 52.3% 63 47.7% 3.70% 1.47% 0.78% 1.94

BO2 20 40.0% 30 60.0% 50 78 59.1% 54 40.9% 3.50% 1.48% 0.51% 1.58

C2 20 40.0% 30 60.0% 50 79 59.8% 53 40.2% 2.71% 1.74% 0.04% 1.04

CGB 23 38.3% 37 61.7% 60 73 55.3% 59 44.7% 2.00% 1.49% -0.15% 0.84

CON 20 36.4% 35 63.6% 55 76 57.6% 56 42.4% 3.71% 1.53% 0.37% 1.38

CT2 21 36.8% 36 63.2% 57 79 59.8% 53 40.2% 3.33% 1.38% 0.35% 1.41

DA2 27 52.9% 24 47.1% 51 83 62.9% 49 37.1% 6.78% 1.37% 2.94% 5.58

DX 21 35.0% 39 65.0% 60 72 54.5% 60 45.5% 4.14% 1.43% 0.52% 1.56

EBL 19 43.2% 25 56.8% 44 82 62.1% 50 37.9% 3.06% 1.39% 0.53% 1.67

FC 18 34.0% 35 66.0% 53 72 54.5% 60 45.5% 3.79% 1.78% 0.12% 1.10

FCH 21 42.0% 29 58.0% 50 86 65.2% 46 34.8% 4.50% 1.19% 1.20% 2.74

FDX 20 40.8% 29 59.2% 49 76 57.6% 56 42.4% 3.90% 1.34% 0.80% 2.01

FEI 15 30.0% 35 70.0% 50 80 60.6% 52 39.4% 2.39% 1.69% -0.47% 0.61

FV 24 46.2% 28 53.8% 52 83 62.9% 49 37.1% 3.36% 1.47% 0.76% 1.96

GC2 24 41.4% 34 58.6% 58 73 55.3% 59 44.7% 3.02% 1.37% 0.45% 1.56HSI 30 55.6% 24 44.4% 54 88 66.7% 44 33.3% 3.12% 1.44% 1.09% 2.70

JAU 22 37.3% 37 62.7% 59 64 48.5% 68 51.5% 3.47% 2.08% -0.01% 0.99

LB 27 45.8% 32 54.2% 59 74 56.1% 58 43.9% 3.31% 1.83% 0.52% 1.53

LC 18 33.3% 36 66.7% 54 75 56.8% 57 43.2% 4.62% 1.40% 0.60% 1.64

LCO 27 61.4% 17 38.6% 44 85 64.4% 47 35.6% 2.99% 1.19% 1.38% 4.01

LGO 27 50.9% 26 49.1% 53 82 62.1% 50 37.9% 4.39% 1.55% 1.47% 2.94

LRC 23 43.4% 30 56.6% 53 75 56.8% 57 43.2% 2.68% 1.35% 0.40% 1.52

MW 23 39.0% 36 61.0% 59 71 53.8% 61 46.2% 3.14% 1.54% 0.29% 1.31

NE 19 38.8% 30 61.2% 49 77 58.3% 55 41.7% 5.92% 2.03% 1.05% 1.84

NG2 27 45.8% 32 54.2% 59 78 59.1% 54 40.9% 2.37% 1.11% 0.49% 1.81

NK 24 41.4% 34 58.6% 58 75 56.8% 57 43.2% 3.19% 1.56% 0.41% 1.45

NQ 21 42.0% 29 58.0% 50 75 56.8% 57 43.2% 3.24% 1.57% 0.45% 1.49




34/138


PA2 19 36.5% 33 63.5% 52 75 56.8% 57 43.2% 6.58% 1.08% 1.72% 3.51

PL2 26 52.0% 24 48.0% 50 83 62.9% 49 37.1% 3.12% 1.36% 0.97% 2.50

RY 18 50.0% 18 50.0% 36 96 72.7% 36 27.3% 2.72% 1.54% 0.59% 1.77

S2 20 36.4% 35 63.6% 55 77 58.3% 55 41.7% 3.82% 1.25% 0.59% 1.75

SB2 19 36.5% 33 63.5% 52 69 52.3% 63 47.7% 3.43% 1.73% 0.15% 1.14

SM2 29 33.7% 57 66.3% 86 74 56.1% 58 43.9% 2.44% 1.20% 0.03% 1.04

SSG 18 46.2% 21 53.8% 39 81 61.4% 51 38.6% 3.21% 1.82% 0.51% 1.52

TF 14 45.2% 17 54.8% 31 102 77.3% 30 22.7% 2.67% 1.46% 0.41% 1.51

TU 23 48.9% 24 51.1% 47 84 63.6% 48 36.4% 3.94% 1.25% 1.29% 3.02

W2 23 42.6% 31 57.4% 54 77 58.3% 55 41.7% 2.68% 1.55% 0.25% 1.28























35/138




36/138




37/138




38/138



1998 365 2,129,423.75 2,714,630.39 1,714,630.39 171.5% 136

1999 365 2,568,889.99 3,400,518.57 685,888.18 25.3% 181

2000 366 6,594,278.57 9,011,253.59 5,610,735.02 165.0% 178

2001 365 14,760,330.34 16,136,298.08 7,125,044.49 79.1% 180

2002 365 39,828,481.10 57,291,098.50 41,154,800.42 255.0% 167

2003 365 132,635,230.32 177,873,843.22 120,582,744.72 210.5% 174

2004 366 204,169,662.36 233,302,145.04 55,428,301.82 31.2% 219

2005 365 270,781,522.34 330,874,655.14 97,572,510.10 41.8% 196

2006 365 272,171,450.17 340,227,705.91 9,353,050.78 2.8% 206

2007 365 827,615,050.07 1,165,278,721.56 825,051,015.64 242.5% 185

2008 366 5 ,507,046,705.62 5,507,046,705.62 4,341,767,984.07 372.6% 207




39/138

Trading Performance

CAGR % 118.85%

MAR Ratio 2.06

RAR % 105.77%

R-Cubed 3.46







Daily Sharpe 0.096


Daily Sortino 0.147






Calmar Ratio 2.50

R-Squared 0.965











Total Trades 2,029




Total Profit 5,506,046,705.62















90% Return 69.30%

90% Sharpe 0.04

90% MAR 1.02

90% R Squared 0.893






Test Period



Win/Loss Statistics

Wins 845 41.6%

Losses 1184 58.4%

Total 2029 100.0%



Total 132 100.0%







Profit Factor 1.93


Expectation 0.13

Equity Management









Earn Interest FALSE

Earn Dividends TRUE























Shift Test Start 0



Preferences


Load Volume TRUE










Months%

LossMonths

%Avg. Win

%Avg.

Loss %Avg. Trade

%% ProftFactor




40/138


AD 22 40.0% 33 60.0% 55 73 55.3% 59 44.7% 3.94% 1.28% 0.81% 2.05

BO2 21 36.8% 36 63.2% 57 74 56.1% 58 43.9% 3.05% 1.29% 0.31% 1.38

C2 20 38.5% 32 61.5% 52 79 59.8% 53 40.2% 2.56% 1.40% 0.13% 1.15

CGB 24 40.0% 36 60.0% 60 76 57.6% 56 42.4% 1.93% 1.37% -0.05% 0.94

CON 22 36.7% 38 63.3% 60 76 57.6% 56 42.4% 3.59% 1.63% 0.29% 1.28

CT2 23 37.7% 38 62.3% 61 79 59.8% 53 40.2% 3.22% 1.16% 0.49% 1.68

DA2 28 53.8% 24 46.2% 52 81 61.4% 51 38.6% 6.47% 1.38% 2.85% 5.46

DX 22 37.3% 37 62.7% 59 75 56.8% 57 43.2% 4.21% 1.39% 0.69% 1.79

EBL 22 46.8% 25 53.2% 47 85 64.4% 47 35.6% 2.45% 1.17% 0.53% 1.85

FC 19 34.5% 36 65.5% 55 74 56.1% 58 43.9% 3.55% 1.65% 0.15% 1.14

FCH 21 43.8% 27 56.3% 48 89 67.4% 43 32.6% 4.52% 1.18% 1.31% 2.97

FDX 22 46.8% 25 53.2% 47 78 59.1% 54 40.9% 3.48% 1.35% 0.91% 2.28

FEI 15 29.4% 36 70.6% 51 82 62.1% 50 37.9% 2.37% 1.59% -0.43% 0.62

FV 24 46.2% 28 53.8% 52 81 61.4% 51 38.6% 3.32% 1.48% 0.74% 1.92

GC2 26 43.3% 34 56.7% 60 74 56.1% 58 43.9% 2.83% 1.19% 0.56% 1.83

HSI 31 53.4% 27 46.6% 58 85 64.4% 47 35.6% 2.97% 1.34% 0.96% 2.54

JAU 23 40.4% 34 59.6% 57 68 51.5% 64 48.5% 3.30% 2.23% 0.00% 1.00

LB 27 46.6% 31 53.4% 58 74 56.1% 58 43.9% 3.20% 1.81% 0.52% 1.54

LC 16 26.7% 44 73.3% 60 73 55.3% 59 44.7% 5.18% 1.30% 0.43% 1.45

LCO 28 62.2% 17 37.8% 45 85 64.4% 47 35.6% 2.90% 1.32% 1.30% 3.61

LGO 29 49.2% 30 50.8% 59 79 59.8% 53 40.2% 3.93% 1.41% 1.22% 2.70

LRC 25 41.7% 35 58.3% 60 76 57.6% 56 42.4% 2.69% 1.24% 0.40% 1.55

MW 22 36.7% 38 63.3% 60 70 53.0% 62 47.0% 3.12% 1.35% 0.29% 1.34

NE 19 40.4% 28 59.6% 47 79 59.8% 53 40.2% 5.60% 1.97% 1.09% 1.93

NG2 25 37.9% 41 62.1% 66 75 56.8% 57 43.2% 2.48% 1.23% 0.18% 1.23

NK 22 37.3% 37 62.7% 59 73 55.3% 59 44.7% 3.48% 1.39% 0.42% 1.49

NQ 22 42.3% 30 57.7% 52 71 53.8% 61 46.2% 3.23% 1.43% 0.54% 1.66

PA2 20 37.7% 33 62.3% 53 75 56.8% 57 43.2% 6.94% 1.10% 1.94% 3.84

PL2 26 47.3% 29 52.7% 55 82 62.1% 50 37.9% 3.02% 1.28% 0.75% 2.12

RY 20 52.6% 18 47.4% 38 98 74.2% 34 25.8% 2.20% 1.57% 0.41% 1.56

S2 24 40.7% 35 59.3% 59 77 58.3% 55 41.7% 3.14% 1.28% 0.52% 1.68

SB2 21 36.2% 37 63.8% 58 68 51.5% 64 48.5% 3.19% 1.72% 0.06% 1.05

SM2 32 38.1% 52 61.9% 84 71 53.8% 61 46.2% 2.26% 1.27% 0.07% 1.09

SSG 18 40.9% 26 59.1% 44 83 62.9% 49 37.1% 3.07% 1.80% 0.19% 1.18

TF 13 40.6% 19 59.4% 32 103 78.0% 29 22.0% 2.87% 1.39% 0.34% 1.42

TU 25 48.1% 27 51.9% 52 79 59.8% 53 40.2% 3.43% 1.17% 1.04% 2.72

W2 26 45.6% 31 54.4% 57 73 55.3% 59 44.7% 2.31% 1.65% 0.16% 1.17























41/138




42/138




43/138




44/138




45/138



1998 365 2,419,742.89 3,139,807.79 2,139,807.79 214.0% 139

1999 365 3,034,580.51 3,968,759.82 828,952.03 26.4% 189

2000 366 7,158,865.04 9,616,754.48 5,647,994.66 142.3% 187

2001 365 15,947,443.69 17,537,369.64 7,920,615.17 82.4% 183

2002 365 39,593,109.86 57,322,695.99 39,785,326.34 226.9% 174

2003 365 152,192,624.20 201,707,125.79 144,384,429.80 251.9% 181

2004 366 254,317,585.97 284,792,174.36 83,085,048.57 41.2% 231

2005 365 289,751,955.79 351,550,225.80 66,758,051.44 23.4% 211

2006 365 284,601,506.34 351,489,867.97 -60,357.83 -0.0% 220

2007 365 726,517,206.15 1,034,222,666.91 682,732,798.94 194.2% 197

2008 366 4 ,347,969,112.50 4,347,969,112.50 3,313,746,445.60 320.4% 216

Trading Performance

CAGR % 114.20%

MAR Ratio 1.92

RAR % 102.14%

R-Cubed 2.85







Daily Sharpe 0.094


Daily Sortino 0.144






Calmar Ratio 2.28

R-Squared 0.959








Win/Loss Statistics

Wins 872 41.0%

Losses 1256 59.0%

Total 2128 100.0%



Total 132 100.0%








Profit Factor 1.76


Expectation 0.13

Equity Management











46/138




Total Trades 2,128




Total Profit 4,346,969,112.50
















90% Return 63.92%

90% Sharpe 0.03

90% MAR 0.92

90% R Squared 0.873







Test Period




Earn Interest FALSE

Earn Dividends TRUE























Shift Test Start 0



Preferences


Load Volume TRUE










Win

Months %

Loss

Months %

Avg. Win

%

Avg.

Loss %

Avg. Trade

%

% Proft

Factor

AD 22 38.6% 35 61.4% 57 71 53.8% 61 46.2% 3.89% 1.22% 0.75% 2.00

BO2 20 35.1% 37 64.9% 57 75 56.8% 57 43.2% 4.16% 1.23% 0.66% 1.83

C2 23 41.8% 32 58.2% 55 79 59.8% 53 40.2% 2.61% 1.55% 0.19% 1.21

CGB 25 39.1% 39 60.9% 64 71 53.8% 61 46.2% 1.69% 1.42% -0.21% 0.76

CON 24 38.7% 38 61.3% 62 81 61.4% 51 38.6% 3.67% 1.47% 0.52% 1.58

CT2 26 41.3% 37 58.7% 63 78 59.1% 54 40.9% 3.12% 1.19% 0.59% 1.85

DA2 29 51.8% 27 48.2% 56 84 63.6% 48 36.4% 6.19% 1.26% 2.60% 5.29

DX 21 35.0% 39 65.0% 60 79 59.8% 53 40.2% 4.39% 1.18% 0.77% 2.00

EBL 23 47.9% 25 52.1% 48 84 63.6% 48 36.4% 2.33% 1.16% 0.51% 1.85

FC 22 39.3% 34 60.7% 56 75 56.8% 57 43.2% 3.05% 1.64% 0.20% 1.21

FCH 22 43.1% 29 56.9% 51 87 65.9% 45 34.1% 4.55% 1.20% 1.28% 2.88

FDX 23 43.4% 30 56.6% 53 75 56.8% 57 43.2% 3.45% 1.33% 0.75% 2.00

FEI 16 30.8% 36 69.2% 52 80 60.6% 52 39.4% 2.27% 1.63% -0.43% 0.62

FV 23 41.8% 32 58.2% 55 75 56.8% 57 43.2% 3.44% 1.31% 0.67% 1.88

GC2 27 42.2% 37 57.8% 64 72 54.5% 60 45.5% 2.51% 1.14% 0.40% 1.61HSI 30 50.0% 30 50.0% 60 84 63.6% 48 36.4% 3.10% 1.28% 0.91% 2.42

JAU 23 39.0% 36 61.0% 59 66 50.0% 66 50.0% 3.15% 2.18% -0.10% 0.92

LB 27 45.8% 32 54.2% 59 73 55.3% 59 44.7% 3.30% 1.76% 0.55% 1.58

LC 21 31.8% 45 68.2% 66 69 52.3% 63 47.7% 3.82% 1.37% 0.28% 1.30

LCO 29 56.9% 22 43.1% 51 85 64.4% 47 35.6% 2.97% 1.35% 1.11% 2.89

LGO 28 47.5% 31 52.5% 59 79 59.8% 53 40.2% 4.14% 1.42% 1.22% 2.63

LRC 26 38.2% 42 61.8% 68 76 57.6% 56 42.4% 2.55% 1.30% 0.17% 1.21

MW 23 38.3% 37 61.7% 60 72 54.5% 60 45.5% 3.09% 1.35% 0.35% 1.42

NE 19 39.6% 29 60.4% 48 79 59.8% 53 40.2% 5.74% 1.84% 1.16% 2.04

NG2 29 42.0% 40 58.0% 69 77 58.3% 55 41.7% 2.47% 1.29% 0.29% 1.40

NK 21 31.8% 45 68.2% 66 67 50.8% 65 49.2% 3.67% 1.45% 0.18% 1.18

NQ 25 45.5% 30 54.5% 55 72 54.5% 60 45.5% 2.75% 1.44% 0.46% 1.59




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PA2 21 36.8% 36 63.2% 57 75 56.8% 57 43.2% 5.78% 1.07% 1.45% 3.14

PL2 27 46.6% 31 53.4% 58 79 59.8% 53 40.2% 2.96% 1.25% 0.71% 2.06

RY 21 55.3% 17 44.7% 38 101 76.5% 31 23.5% 2.16% 1.48% 0.53% 1.81

S2 24 39.3% 37 60.7% 61 76 57.6% 56 42.4% 3.02% 1.19% 0.47% 1.65

SB2 22 36.1% 39 63.9% 61 68 51.5% 64 48.5% 3.03% 1.57% 0.09% 1.09

SM2 27 33.3% 54 66.7% 81 71 53.8% 61 46.2% 2.63% 1.21% 0.07% 1.08

SSG 17 36.2% 30 63.8% 47 83 62.9% 49 37.1% 3.14% 1.59% 0.12% 1.12

TF 13 39.4% 20 60.6% 33 101 76.5% 31 23.5% 2.86% 1.40% 0.28% 1.33

TU 28 47.5% 31 52.5% 59 77 58.3% 55 41.7% 2.93% 1.15% 0.79% 2.30

W2 25 41.7% 35 58.3% 60 69 52.3% 63 47.7% 2.40% 1.59% 0.07% 1.08























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1998 365 2,389,163.48 3,098,685.18 2,098,685.18 209.9% 143

1999 365 2,941,147.00 3,847,683.41 748,998.23 24.2% 191

2000 366 6,395,397.49 8,485,919.77 4,638,236.35 120.5% 194

2001 365 13,204,335.46 13,821,317.21 5,335,397.44 62.9% 193

2002 365 37,454,748.57 54,624,749.22 40,803,432.01 295.2% 179

2003 365 154,663,583.14 202,111,214.49 147,486,465.27 270.0% 186

2004 366 245,996,085.96 275,783,360.37 73,672,145.88 36.5% 239

2005 365 286,722,630.61 340,824,881.96 65,041,521.59 23.6% 217

2006 365 340,460,947.48 412,914,611.64 72,089,729.68 21.2% 226

2007 365 854,269,582.24 1,194,971,172.37 782,056,560.72 189.4% 207

2008 366 4 ,914,614,239.64 4,914,614,239.64 3,719,643,067.27 311.3% 226




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Trading Performance

CAGR % 116.60%

MAR Ratio 2.21

RAR % 107.35%

R-Cubed 3.18







Daily Sharpe 0.096


Daily Sortino 0.148






Calmar Ratio 2.59

R-Squared 0.963











Total Trades 2,201




Total Profit 4,913,614,239.64















90% Return 66.72%

90% Sharpe 0.04

90% MAR 0.98

90% R Squared 0.882






Test Period



Win/Loss Statistics

Wins 904 41.1%

Losses 1297 58.9%

Total 2201 100.0%



Total 132 100.0%







Profit Factor 1.79


Expectation 0.12

Equity Management









Earn Interest FALSE

Earn Dividends TRUE























Shift Test Start 0



Preferences


Load Volume TRUE










Months%

LossMonths

%Avg. Win

%Avg.

Loss %Avg. Trade

%% ProftFactor




53/138


AD 23 39.0% 36 61.0% 59 71 53.8% 61 46.2% 3.67% 1.09% 0.77% 2.15

BO2 21 38.2% 34 61.8% 55 80 60.6% 52 39.4% 4.06% 1.24% 0.79% 2.03

C2 24 42.1% 33 57.9% 57 78 59.1% 54 40.9% 2.56% 1.38% 0.28% 1.35

CGB 24 36.4% 42 63.6% 66 69 52.3% 63 47.7% 1.72% 1.33% -0.22% 0.74

CON 26 40.0% 39 60.0% 65 77 58.3% 55 41.7% 3.55% 1.57% 0.48% 1.51

CT2 28 42.4% 38 57.6% 66 77 58.3% 55 41.7% 2.89% 1.20% 0.53% 1.77

DA2 29 48.3% 31 51.7% 60 81 61.4% 51 38.6% 6.36% 1.26% 2.42% 4.73

DX 23 35.4% 42 64.6% 65 73 55.3% 59 44.7% 3.88% 1.22% 0.58% 1.74

EBL 23 46.0% 27 54.0% 50 85 64.4% 47 35.6% 2.27% 1.27% 0.36% 1.53

FC 22 37.9% 36 62.1% 58 76 57.6% 56 42.4% 3.13% 1.50% 0.25% 1.27

FCH 22 41.5% 31 58.5% 53 84 63.6% 48 36.4% 4.32% 1.14% 1.13% 2.69

FDX 25 45.5% 30 54.5% 55 74 56.1% 58 43.9% 3.05% 1.45% 0.60% 1.76

FEI 16 30.8% 36 69.2% 52 81 61.4% 51 38.6% 2.46% 1.58% -0.33% 0.69

FV 23 40.4% 34 59.6% 57 76 57.6% 56 42.4% 3.37% 1.27% 0.60% 1.79

GC2 28 41.8% 39 58.2% 67 73 55.3% 59 44.7% 2.61% 1.07% 0.47% 1.76

HSI 32 53.3% 28 46.7% 60 86 65.2% 46 34.8% 2.92% 1.24% 0.98% 2.68

JAU 23 36.5% 40 63.5% 63 63 47.7% 69 52.3% 3.25% 2.18% -0.20% 0.86

LB 27 44.3% 34 55.7% 61 72 54.5% 60 45.5% 3.28% 1.80% 0.45% 1.45

LC 22 31.4% 48 68.6% 70 72 54.5% 60 45.5% 3.69% 1.32% 0.25% 1.28

LCO 31 59.6% 21 40.4% 52 83 62.9% 49 37.1% 2.88% 1.39% 1.16% 3.06

LGO 28 46.7% 32 53.3% 60 81 61.4% 51 38.6% 4.15% 1.38% 1.20% 2.64

LRC 28 41.2% 40 58.8% 68 78 59.1% 54 40.9% 2.46% 1.33% 0.23% 1.30

MW 23 37.1% 39 62.9% 62 75 56.8% 57 43.2% 3.22% 1.32% 0.37% 1.44

NE 20 42.6% 27 57.4% 47 80 60.6% 52 39.4% 5.87% 1.80% 1.47% 2.42

NG2 31 41.9% 43 58.1% 74 74 56.1% 58 43.9% 2.26% 1.19% 0.25% 1.36

NK 21 29.2% 51 70.8% 72 62 47.0% 70 53.0% 3.46% 1.40% 0.02% 1.02

NQ 29 51.8% 27 48.2% 56 76 57.6% 56 42.4% 2.42% 1.42% 0.57% 1.83

PA2 21 37.5% 35 62.5% 56 76 57.6% 56 42.4% 5.92% 1.07% 1.55% 3.31

PL2 29 45.3% 35 54.7% 64 78 59.1% 54 40.9% 2.95% 1.27% 0.64% 1.92

RY 21 51.2% 20 48.8% 41 100 75.8% 32 24.2% 2.15% 1.28% 0.48% 1.76

S2 24 38.1% 39 61.9% 63 75 56.8% 57 43.2% 3.13% 1.23% 0.43% 1.57

SB2 22 33.8% 43 66.2% 65 65 49.2% 67 50.8% 3.16% 1.54% 0.05% 1.05

SM2 27 36.0% 48 64.0% 75 72 54.5% 60 45.5% 2.58% 1.22% 0.15% 1.19

SSG 18 34.0% 35 66.0% 53 82 62.1% 50 37.9% 2.86% 1.50% -0.02% 0.98

TF 14 42.4% 19 57.6% 33 105 79.5% 27 20.5% 2.66% 1.24% 0.42% 1.58

TU 28 46.7% 32 53.3% 60 76 57.6% 56 42.4% 2.87% 1.12% 0.74% 2.24

W2 28 45.9% 33 54.1% 61 73 55.3% 59 44.7% 2.28% 1.59% 0.19% 1.22























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1998 365 2,416,603.81 3,109,000.00 2,109,000.00 210.9% 146

1999 365 2,439,740.85 3,187,497.74 78,497.74 2.5% 202

2000 366 4,843,995.94 6,621,971.06 3,434,473.32 107.7% 203

2001 365 12,251,115.43 12,810,426.08 6,188,455.02 93.5% 196

2002 365 33,571,503.89 49,607,366.88 36,796,940.80 287.2% 189

2003 365 145,207,075.79 189,619,918.35 140,012,551.48 282.2% 191

2004 366 260,136,871.43 303,469,935.31 113,850,016.95 60.0% 246

2005 365 269,534,347.92 325,638,137.29 22,168,201.98 7.3% 225

2006 365 340,775,799.69 414,182,974.34 88,544,837.05 27.2% 228

2007 365 879,336,927.45 1,211,081,654.49 796,898,680.15 192.4% 216

2008 366 4 ,526,542,324.74 4,526,542,324.74 3,315,460,670.25 273.8% 236

Trading Performance

CAGR % 114.98%

MAR Ratio 2.23

RAR % 109.81%

R-Cubed 3.34







Daily Sharpe 0.096


Daily Sortino 0.148






Calmar Ratio 2.42

R-Squared 0.962








Win/Loss Statistics

Wins 942 41.4%

Losses 1336 58.6%

Total 2278 100.0%



Total 132 100.0%








Profit Factor 1.72


Expectation 0.12

Equity Management









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