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Trading Blox Summary Test Results

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Stepped Parameter Summary Performance
Test
1

Ending Balance CAGR%
363,740,511,653.08

36.24%

MAR
0.95

Modified Annual
Sharpe Sharpe
1.26

0.78

Max Total
Equity DD
37.9%

Longest
# Trades
Drawdown
23.5

3,830

file://C:\TradingBlox for WORK2\Results\Test Suite LTB 2011-05-31_07_39_10.htm

5/31/2011

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4% 116 1994 365 555.67 415.163.942.60 55.95 314.015.526.949.352.052.608.12 670.433.1% 40 1976 366 4.634.760.732.1% 1971 365 1.784.65 78.842.330.3% 116 file://C:\TradingBlox for WORK2\Results\Test Suite LTB 2011-05-31_07_39_10.76 254.964.64 -5.62 48.200.539.11 58.691.393.827.342.5% 43 1975 365 4.70 4.18 41.72 -1.308.022.88 309.304.6% 53 1979 365 13.789.255.5% 95 1989 365 98.080.152.238.423.116.14 23.7% 53 1985 365 59.929.99 72.532.565.553.222.53 10.312.953.009.464.98 51.1% 33 1974 365 4.230.107.18 43.062.15 702.015.305.086.00 3.754.519.858.7% 79 1988 366 93.025.97 7.15 1.468.075.24 28.93 48.79 34.938.516.66 10.690.090.703.15 5.377.887.47 1.90 33.995.875.129.223.909.4% 68 1991 365 214.htm 5/31/2011 .623.51 28.844.389.15 4.37 85.18 403.37 9.8% 51 1980 366 16.15 44.066.270.371.Trading Blox Summary Test Results Page 5 of 7 Yearly Performance Summary Year Days Closed Balance End Total Equity Total Equity Gain Gain % # Trades 1970 365 1.83 1.13 6.5% 60 1983 365 32.763.833.320.152.27 16.73 5.929.213.536.07 103.3% 54 1986 365 64.008.669.0% 111 1993 365 362.568.722.257.506.813.62 1.500.275.836.34 4.94 106.670.188.37 90.4% 99 1990 365 167.32 -5.42 4.920.828.6% 68 1984 366 42.38 13.70 69.12 -5.038.76 11.11 1.326.874.342.694.56 16.739.70 1.567.88 14.741.04 11.280.20 14.74 108.130.776.76 34.043.83 77.102.643.500.24 17.816.859.149.191.55 1.6% 55 1981 365 25.971.208.898.29 1.705.761.56 32.575.13 2.75 161.906.85 264.633.81 61.88 62.08 35.677.527.698.894.917.804.983.1% 37 1973 365 2.169.594.330.520.010.159.5% 52 1978 365 6.218.42 11.958.8% 80 1987 365 88.468.128.458.29 98.47 187.32 17.4% 34 51 1972 366 1.3% 99 1992 366 292.0% 33 1982 365 31.478.384.966.081.559.14 7.70 66.0% 65 1977 365 5.559.184.

077.116.3% 118 1998 365 1.01% 2.830 Start Account Balance Total Win Dollars Total Loss Dollars Total Profit Earned Interest Margin Interest End Account Balance End Open Equity End Total Equity 1.269.114.529.934.3% 139 2005 365 35.00 37.653.921.014.00 1.527.740.559.15 372.85 495.41 22.875.944.23 80.286.59% 631.213.916.00 0.934.910.6% 122 2009 365 238.980 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 37.850.96 27.355.00 53.5% 64.823.842.740.43 45.103.371.806.884.503.2% 142 2011 150 363.95 35.012.524.73 2.553.26 1.51 31.759.145.1% 129 2001 365 6.00 0.48 Total Commissions Commission per Round Turn Total Slippage Slippage per Round Turn Total Forex Carry Total Dividends Total Other Expenses 42.95% 23.478.467.769.0% 139 2010 365 323.108.356.556.725.00 0.191.430.217.429.310.0% 153 2008 366 208.776.074.315.511.730.000.823.050.511.21 0.374.651.7% 144 2004 366 29.235.408.00 363.279.126.660.4% 114 1999 365 1.750.763.29 178.829.08 -2.339.410.2% Total 497 100.884.350.02% 1.78 18.00% 15.557.449.177.28% 0.08 363.17 123.930.715.41 1.021.607.065.67 1.604.98 1.554.511.923.770.763.0% Winning Months Losing Months 317 180 63.70 1.838.989.085 0.327.31 107.000.00% 10.742.75 135.526 1.372.Trading Blox Summary Test Results Page 6 of 7 1995 365 731.10 2002 57.505.888.08 0.054 0.740.407.41 144.605.htm 5/31/2011 .971.180.00 0.95 191.65 76.12% 0.22% 0.300.57 799.653.347.24 43.728.002.1286% 0.359.9% 106 102 1997 365 1.706.0% Average Risk Percent Average Win Percent Average Loss Percent Average Win Dollars Average Loss Dollars Average Trade Percent Average Trade Dollars 2.739.155.00 1.00% 0.2% 142 2006 365 50.8% 36.75 2.00% 5.667.478.151.122.231.85% 27.607.71 15.73 11.353.309.377.968.45 77.36 0.12 25.699.87 Profit Factor Percent Profit Factor Expectation 1.86 2.476.3% 154 2007 365 70.4% 94 -9.168.85 2.6% 1996 366 1.20 28.05% 26.18 63.383.045.00 363.852.45 55.079.066.60 8.412.636.28 Margin to Equity Ratio Daily Return % Daily Geometric Return % Daily Standard Deviation % Daily Downside Deviation % Daily Sharpe Daily Geo Sharpe Daily Sortino 38.00 0.64 377.550.000.987.038.57 30.00 TRUE FALSE TRUE 5.192.263.33 0.05% 19.00% 100.782.667.50% 5.898.559 3.00 0.08 0.26 0.614.20 Equity Management Test Starting Equity Order Generation Equity Order Generation Equity High Leverage (fraction) Trading Equity Base Drawdown Reduction Threshold (%) Drawdown Reduction Amount (%) 1.791.00 30.065.77 363.5% 125 2003 365 16.511.70 49.609.000.493.206.505.058.101.754.0847% 1.493.523.653.00 859.167.24% 0.0% 126 365 12.000 0 0.000.47 24.769.54 6.60 861.14 224.853.88 4.49 31.00% Global Simulation Parameters Earn Interest Earn Dividends Pay Margin on Stocks Commission per Stock Trade Commission per Stock Share Commission per Contract Commission by Stock Value (%) Slippage Percent Minimum Slippage Forex Trade Size Account for Forex Carry Use Pip Based Slippage Account for Contract Rolls Roll Slippage in % of ATR Minimum Stock Volume Minimum Futures Volume Max Percent Volume Per Trade Entry Day Retracement Max Margin Equity Trade on Lock Days Convert Profit by Stock Split Trade Always on Tick FALSE TRUE TRUE 0.023.98 200.653.00 Total Equity 0.969.90 26.00% 0.00% FALSE TRUE TRUE file://C:\TradingBlox for WORK2\Results\Test Suite LTB 2011-05-31_07_39_10.070.41% 94.653.0% 136 2000 366 3.740.00% 0.135.69 11.41% 1.380.06 11.065.990.03 19.993.29 7.431.000.790.511.009.015.704.68 12.547.224.901.08 Highest Total Equity Highest Closed Equity 438.11 4.04 37.471.619.08 0.120 Modified Sharpe Ratio Annual Sharpe Ratio Annual Sortino Ratio Monthly Sharpe Ratio Monthly Sortino Ratio Calmar Ratio R-Squared 1.930.92 70.325.026.052.01 30.866.352.29 0.36 197.30 0.00 0.00 Monte Carlo Confidence Level Statistics Wins Losses 1360 2470 35.766.09 Win/Loss Statistics Trading Performance CAGR % MAR Ratio RAR % R-Cubed Robust Sharpe Ratio 36.038.5% Total 3830 100.542.673.50 4.78 249.

1% 59 11.2% 27 62.74% 5.67% 0.8% 43 434 87.51% 0.7% 106 21.58% 0.75% 0.7% 1.60% 0.36 TF 10 41.9% 47 69.65 ICL 3 14.67% 0.2% 178 35.9% 2.11% 0.3% 66 66.4% 177 35.58% 0.30% 1.1% 119 23.05 0.43% 0.02% 0.7% 51 10.0% 51 68.08 SM2 45 31.0% 40 8.67 Copyright Trading Blox.0% 1.55% 2. LLC 2011 file://C:\TradingBlox for WORK2\Results\Test Suite LTB 2011-05-31_07_39_10.43% 2.02% 0.8% 37 441 88.1% 2.8% 47 66.3% 63 12.95 PL2 51 36.9% 72 399 80.7% 99 363 73.56 NE 19 44.1% 3.0% 134 27.9% 65 13.63% 2.5% 115 319 64.1% 218 43.33% 1.5% 87 17.46% -0.51 SSG 15 50.52% 0.73 LC 48 32.40 RR2 24 32.7 30.0% 189 38.6% 1.73% 0.3% 58 11.77% 0.3% 5.3% 66 68.93% 4.92% 1.8% 150 30.85% 0.7% 2.3% 18 85.63% 0.5% 226 45.7% 1.93% 0.7% 76 15.54 EBM 16 37.8% 43 438 88.9% 2.3% 2.67% 0.13% 0.40% 0.70 0.3% 111 70.9% 80 16.71 RY 15 37.59% 0.1% 59 11.7% 2.2% 71 384 77.55 SB2 51 39.49% 0.9% 100 67.4% 2.44% 2.73 MW 49 32.5% 216 43.1% 2.0% 137 291 58.85% 3.43 TY 33 33.46% 0.59% 0.3% 222 44.5% 129 282 56.2% 2.52% 2.14% 1.87% 0.6% 140 275 55.13% 0.47% 2.4% 160 284 57.51 LCO 28 41.4% 81 377 75.47 FCH 16 43.5% 98 68.55% 0.1% 119 23.5% 73 63.3% 3.41 CON 22 43.2% 24 55.2% 132 285 57.71% 0.0% 40 432 86.06% 0.0% 75 378 76.15% 1.33% 1.84 C2 42 31.54% 2.37% 1.5% 1.9% 25 52.35% 0.5% 25 62.88% 0.34% 0.3% 1.6% 2.95% 0.3% 222 44.55% 0.5% 57 11.70% 34.0% 89 65.26% 1.3% 100 66.60% 0.8% 16 55.7% 215 43.53% 2.38% 0.7% 81 16.97% 0.86% 45.17% 1.9% 55 416 83.1% 94 18.91% 0.35% 0.975 47.7% 33 73.4% 98 67.1% 128 292 58.9% 2.8% 205 41.19% 1.88 EBS 12 26.21% 1.65% 0.5% 1.7% 1.7% 71 62.43% 0.9% 91 71.03 ED 32 47.7% 157 275 55.9% 120 24.79% 0.07 FF2 25 54.0% 15 50.5% 40 439 88.87% 0.4% 89 63.80% 0.09% 2.86 LB 47 32.31% NBB 14 33.29% 1.3% 24 457 92.30% 0.8% 96 365 73.28% 1.0% 26 65. Win % Avg.76% 0.46% 38.57 NG2 26 36.Trading Blox Summary Test Results 90% Return 90% Sharpe 90% MAR 90% R Squared 90% Maximum Drawdown 90% Second Largest Drawdown 90% Third Largest Drawdown 90% Longest Drawdown 90% Second Longest Drawdown 90% Third Longest Drawdown Page 7 of 7 30.54% 0.60% 1.6% 111 69.46% 0.41 DX 31 41.1% 46 63. Trade Loss % % % Proft Factor AD 28 34.6% 206 41.20% 1.5% 62 12.1% 48 410 82.9% 2.3% 113 22.66% 0.42% 2.1% 149 279 56.57% 0.6% 145 271 54.7% 46 416 83.66% 0.33% 4.3% 21 45.26% 1.49% 2.5% 143 275 55.54 HG2 46 29.6% 53 65.7% 1.05% 1.69% 4.3% 45 435 87.9% 116 320 64.58% 0.1% 146 280 56.4% 80 65.9% 1.55% 0.06% 0.8% 39 58.59% 2.24% 1.2% 29 440 88.39 LRC 42 34.61 PA2 42 36.45 DA2 14 35.9% 1.19% 1.40 FC 37 28.32 1.9% 24 57.1% 143 281 56.75% 0.1% 29 56.48% 0.52% 0.4% 23 4.42 LSU 24 33.9% 68 378 76.73% 3.2 23.01% 1.1% 4.7% 150 273 54.6 Test Period First Test Date Last Test Date 1970-01-01 2011-05-30 Smart Fill Exit Use Start Date Stepping Use Broker Positions 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 3.7% 2.13% 0.39% 0.4% 132 26.9% 43 58.89 O30 23 47.7% 14 58.9% 96 67.72 LH 47 32.21% 0.8% 2.62 SI2 49 30.50% 0.3% 114 308 62.1% 63 64.32% 0.41% 2. Avg.1% 68 403 81.70% 0.0% 1.60% 0.7% 81 16.41% 2.0% 2.67% 0.59% 0.09 CT2 48 35.3% 2.3% 217 43.0% 30 446 89.5% 1.27% 1.9% 224 45.00 Instrument Performance Summary Symbol Wins % Losses % Trades Win Months % Loss Months % Avg.1% 28 50.3% 222 44.3% 212 42.5% 78 60.04% 0.57% 2.2% 67 391 78.29% 0.7% 1.00% TRUE TRUE FALSE TRUE TRUE TRUE TRUE 5.14% 0.7% 2.7% 2.68% 0.7% 21 474 95.53% 0.17 RS 50 33.1% 42 438 88.3% 28 66.27% 0.56% 0.9% 2.6% 1.3% 118 23.15% 1.2% 21 56.91% 0.73% 0.htm 5/31/2011 .5% 1.13 GC2 43 37.78 FEI 13 44.42 NK 21 30.68% 0.44% TU 27 49.71 RB2 30 31.3% 2.9% 97 347 69.1% 1.6% 122 288 57.7% 42 421 84.58% 0.1% 66 56.48 EBL 18 42.46 3.35 CU 50 43.54% 0.49% 0.77% 2.1% 74 379 76.51 LGO 34 35.48% 0.61% 0.1% 213 42.3% 98 19.1% 36 52.2% 2.8% 90 68.37% 0.9% 209 42.56% 1.54% 0.9% 51 417 83.3% 2.5% 2.60% 0.01% 4.7% 56 11.9% 98 67.