Caja PDF

Stepped Parameter Summary Performance
Test
1

Annual
Ending Balance CAGR% MAR Modified
Sharpe Sharpe
2,117,509.88 31.99%

0.81

1.10

0.91

Max Total
Equity DD
39.3%

Longest
Drawdown # Trades
22.7

666

Yearly Performance Summary
Year Days
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014

Closed Balance

366
365
365
365
366
365
365
365
366
365
365

End Total Equity Total Equity Gain Gain % # Trades

140,645.13
148,220.48
240,105.87
339,769.92
706,756.80
719,392.29
1,113,447.87
1,418,083.21
1,778,151.98
1,352,374.91
2,117,509.88

142,641.30
162,609.78
257,526.32
367,125.04
739,489.34
722,351.82
1,158,828.75
1,448,288.66
1,804,017.07
1,546,036.51
2,117,509.88

42,641.30 42.6%
19,968.48 14.0%
94,916.54 58.4%
109,598.72 42.6%
372,364.30 101.4%
-17,137.52 -2.3%
436,476.94 60.4%
289,459.91 25.0%
355,728.42 24.6%
-257,980.56 -14.3%
571,473.37 37.0%

52
63
57
63
59
54
58
65
63
56
76

Instrument Performance Summary
Symbol
AD
ALS
BAX
BL2
CGB
CON
COX
DA2
EBL
EBM
ED
ES
FEI
FV
GC2
HG2
JA2
KPO
LGO
MAW
MAY
MFX
NBB
NE
PA2
PL2
RS
RY

Wins
9
9
5
0
10
8
9
14
9
10
5
6
3
5
6
9
5
7
7
8
10
3
5
8
8
6
9
5

% Losses
52.9%
37.5%
33.3%
0.0%
52.6%
42.1%
45.0%
63.6%
50.0%
47.6%
35.7%
28.6%
21.4%
29.4%
66.7%
75.0%
62.5%
43.8%
53.8%
36.4%
62.5%
50.0%
62.5%
30.8%
50.0%
35.3%
52.9%
45.5%

% Trades Win Months

8 47.1%
15 62.5%
10 66.7%
2 100.0%
9 47.4%
11 57.9%
11 55.0%
8 36.4%
9 50.0%
11 52.4%
9 64.3%
15 71.4%
11 78.6%
12 70.6%
3 33.3%
3 25.0%
3 37.5%
9 56.3%
6 46.2%
14 63.6%
6 37.5%
3 50.0%
3 37.5%
18 69.2%
8 50.0%
11 64.7%
8 47.1%
6 54.5%

17
24
15
2
19
19
20
22
18
21
14
21
14
17
9
12
8
16
13
22
16
6
8
26
16
17
17
11

113
94
105
130
103
96
89
107
114
98
105
101
102
108
125
127
120
108
124
97
105
128
114
92
114
111
99
121

% Loss Months
85.6%
71.2%
79.5%
98.5%
78.0%
72.7%
67.4%
81.1%
86.4%
74.2%
79.5%
76.5%
77.3%
81.8%
94.7%
96.2%
90.9%
81.8%
93.9%
73.5%
79.5%
97.0%
86.4%
69.7%
86.4%
84.1%
75.0%
91.7%

19
38
27
2
29
36
43
25
18
34
27
31
30
24
7
5
12
24
8
35
27
4
18
40
18
21
33
11

% Avg. Win % Avg. Loss % Avg. Trade % % Proft Factor
14.4%
28.8%
20.5%
1.5%
22.0%
27.3%
32.6%
18.9%
13.6%
25.8%
20.5%
23.5%
22.7%
18.2%
5.3%
3.8%
9.1%
18.2%
6.1%
26.5%
20.5%
3.0%
13.6%
30.3%
13.6%
15.9%
25.0%
8.3%

2.73%
1.55%
1.14%
0.00%
3.79%
1.83%
3.05%
2.90%
5.10%
2.50%
1.31%
2.88%
3.14%
4.19%
3.16%
2.58%
2.12%
3.16%
1.48%
4.64%
4.01%
2.90%
1.13%
1.94%
5.35%
2.42%
1.32%
5.22%

1.67%
1.72%
0.70%
0.91%
1.95%
1.12%
0.89%
1.26%
1.86%
1.06%
0.61%
1.46%
0.47%
0.93%
2.36%
2.06%
0.34%
0.91%
2.18%
1.40%
1.31%
1.46%
0.61%
1.85%
1.50%
2.09%
0.45%
1.65%

0.66%
-0.50%
-0.08%
-0.91%
1.07%
0.12%
0.88%
1.39%
1.62%
0.63%
0.08%
-0.22%
0.30%
0.58%
1.32%
1.42%
1.20%
0.87%
-0.21%
0.80%
2.01%
0.72%
0.48%
-0.69%
1.92%
-0.50%
0.49%
1.47%

1.84
0.54
0.82
0.00
2.16
1.18
2.81
4.04
2.74
2.14
1.19
0.79
1.82
1.88
2.68
3.75
10.51
2.68
0.79
1.89
5.09
1.98
3.09
0.47
3.57
0.63
3.27
2.64

S2
SB2
SJB
SM2
SSG
SUF
SXF
TF
TU
TY
UL2
WSA
YAP
YG

7
6
10
11
10
9
7
8
7
6
3
8
7
9

58.3%
31.6%
45.5%
55.0%
41.7%
52.9%
77.8%
44.4%
50.0%
33.3%
42.9%
50.0%
46.7%
60.0%

5
13
12
9
14
8
2
10
7
12
4
8
8
6

41.7%
68.4%
54.5%
45.0%
58.3%
47.1%
22.2%
55.6%
50.0%
66.7%
57.1%
50.0%
53.3%
40.0%

12
19
22
20
24
17
9
18
14
18
7
16
15
15

120
100
96
109
96
102
130
113
106
105
127
101
118
106

Test Period for parameter run 1.
First Test Date
Last Test Date

2004-01-01
2014-12-31

90.9%
75.8%
72.7%
82.6%
72.7%
77.3%
98.5%
85.6%
80.3%
79.5%
96.2%
76.5%
89.4%
80.3%

12
32
36
23
36
30
2
19
26
27
5
31
14
26

9.1%
24.2%
27.3%
17.4%
27.3%
22.7%
1.5%
14.4%
19.7%
20.5%
3.8%
23.5%
10.6%
19.7%

3.18%
2.69%
0.92%
3.54%
1.31%
2.91%
2.50%
1.44%
2.11%
4.85%
3.34%
2.10%
3.68%
3.30%

2.17%
0.84%
0.84%
1.78%
1.52%
1.85%
2.81%
1.56%
0.71%
1.33%
1.67%
0.81%
2.52%
1.50%

0.95%
0.27%
-0.04%
1.15%
-0.34%
0.67%
1.32%
-0.23%
0.70%
0.73%
0.47%
0.64%
0.38%
1.38%

2.05
1.48
0.91
2.44
0.61
1.77
3.11
0.74
2.97
1.82
1.50
2.60
1.28
3.30

Trading Performance
CAGR %
MAR Ratio
RAR %
R-Cubed
Robust Sharpe Ratio
Margin to Equity Ratio
Daily Return %
Daily Geometric Return %
Daily Standard Deviation %
Daily Downside Deviation %
Daily Sharpe
Daily Geo Sharpe
Daily Sortino
Modified Sharpe Ratio
Annual Sharpe Ratio
Annual Sortino Ratio
Monthly Sharpe Ratio
Monthly Sortino Ratio
Calmar Ratio
R-Squared
Maximum Total Equity Drawdown %
Longest Total Equity Drawdown (months)
Average Max TE Drawdown %
Average Max TE Drawdown Length (months)
Maximum Monthly Total Equity Drawdown %
Maximum Monthly Closed Equity Drawdown %
Maximum Closed Equity Drawdown %
Average Closed Equity Drawdown %
Round Turns Per Million
Round Turns
Total Trades
Start Account Balance
Total Win Dollars
Total Loss Dollars
Total Profit
Earned Interest
Margin Interest
End Account Balance
End Open Equity
End Total Equity
Highest Total Equity
Highest Closed Equity
Total Commissions
Commission per Round Turn
Total Slippage
Slippage per Round Turn
Total Forex Carry
Total Dividends
Total Other Expenses

Win/Loss Statistics
31.99%
0.81
35.34%
1.92
1.20
14.22%
0.1215%
0.0760%
1.73%
1.24%
0.065
0.039
0.091

Wins
Losses

306
360

45.9%
54.1%

Total

666

100.0%

78
54

59.1%
40.9%

132

100.0%

Winning Months
Losing Months
Total

Average Risk Percent
Average Win Percent
Average Loss Percent
Average Win Dollars
Average Loss Dollars
Average Trade Percent
Average Trade Duration
1.10
Average Trade Dollars
0.91
+ ∞ Profit Factor
0.29 Percent Profit Factor
0.63 Expectation
0.88
0.951
Equity Management

39.32%
22.70
27.42%
11.31
36.42%
36.85%
37.63%
8.20%

Test Starting Equity
Order Generation Equity
Order Generation Equity High
Leverage (fraction)
Trading Equity Base
Drawdown Reduction Threshold (%)
Drawdown Reduction Amount (%)

949
Global Simulation Parameters
9,318
Earn Interest
666
Earn Dividends
100,000.00 Pay Margin on Stocks
6,739,972.67 Commission per Stock Trade
4,722,462.80 Commission per Stock Share
2,017,509.88 Commission per Contract
0.00 Commission by Stock Value (%)
0.00 Slippage Percent
2,117,509.88 Minimum Slippage
0.00 Forex Trade Size
2,117,509.88 Account for Forex Carry
Use Pip Based Slippage
2,174,903.29
2,117,509.88 Account for Contract Rolls
Roll Slippage in % of ATR
186,360.00
20.00 Minimum Stock Volume
409,206.90 Minimum Futures Volume
43.92 Max Percent Volume Per Trade
0.00 Entry Day Retracement
0.00 Max Margin Equity
0.00 Trade on Lock Days
Convert Profit by Stock Split
Trade Always on Tick
Smart Fill Exit
Use Start Date Stepping
Use Broker Positions

1.79%
2.80%
1.36%
22,026.05
13,117.95
0.55%
67.24
3,029.29
1.43
1.75
0.31

100,000.00
0.00
0.00
1.00
Total Equity
0.00%
0.00%

FALSE
TRUE
TRUE
0.00
0.01
20.00
0.00%
5.00%
15.00
1,000.00
TRUE
FALSE
TRUE
5.00%
10,000
0
0.00%
0.00%
100.00%
FALSE
FALSE
TRUE
TRUE
FALSE
FALSE

Preferences
Risk Free Rate
Load Volume
Load Unadjusted Close
Raise Negative Data
Process Weekly Bars
Process Monthly Bars
Process Daily Bars
Process Weekends
Additional Years of Data

Copyright Trading Blox, LLC 2012. Created on 2015-01-15_09_52_57

3.00%
TRUE
TRUE
FALSE
FALSE
FALSE
TRUE
TRUE
5.00

Disclaimer
Hypothetical performance results have many inherent limitations, some of which are
described below. No representation is being made that any account will or is likely to
achieve profits or losses similar to those shown. in fact, there are frequently sharp
differences between hypothetical performance results and the actual results
subsequently achieved by any particular trading program.
One of the limitations of hypothetical performance results is that they are generally
prepared with the benefit of hindsight. In addition, hypothetical trading does not involve
financial risk, and no hypothetical trading record can completely account for the impact
of financial risk in actual trading. For example, the ability to withstand losses or to
adhere to a particular trading program in spite of trading losses are material points
which can also adversely affect actual trading results. There are numerous other factors
related to the markets in general or to the implementation of any specific trading
program which cannot be fully accounted for in the preparation of hypothetical
performance results and all of which can adversely affect actual trading results.

Material Assumptions
Trade friction costs were simulated as 20$ commission and $25 slippage.