Jack Schwager’s Complete Guide

to Designing and Testing

Trading Systems
Library of Charts and Systems
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Lesson 21
 Market by Market Total Profit/Loss for 3 Periods Combined
by Parameter Classification
250000

200000 Best Prior Period

Worst Prior Period
Period Averages

150000

100000

50000

-50000
US ED DM JY GC CL C LC SB CT
Profit/Loss ($) Comparisons for Volatility-Adjusted Positions:
Total Three Periods (1992-1997)

Total of Total of
Volarility Actual Best Total of Best Worst Total of
Adjusted # Parameter in Parameter in Parameter in Period
Contracts Given Period Prior Period Prior Period Averages
US 2 115,788 42,663 54,063 59,913
ED 8 75,200 22,000 20,000 20,600
DM 3 117,675 16,425 90,300 29,994
JY 3 276,675 206,400 79,725 116,094
GC 4 64,840 50,520 (5,000) 8,673
CL 4 83,440 49,600 68,880 52,007
C 10 227,125 56,625 87,625 93,042
LC 6 52,836 (6,252) 31,980 10,018
SB 6 23,890 (21,641) (33,790) (40,363)
CT 3 130,155 116,055 (22,740) 54,696

Total 1,167,623 532,395 371,043 404,673

Total
Excl.
JY 890,948 325,995 291,318 288,579