Testing part 1

These are the details for the backtesting of the latest version of my system.

The system periodicity is weekly.

The universe is the entire ASX, with liquidity filter of $1million turnover per week.

The timeframe is from 01-01-1998 until 31-12-2003.

Monte Carlo Report

Trade Database Filename

C:\TradeSimData\Eagle Egg ORIGINAL.trb

Simulation Summary

Simulation Date: 23/09/2007
Simulation Time: 8:37:23 AM
Simulation Duration: 286.52 seconds


Trade Parameters

Initial Capital: $45,000.00
Portfolio Limit: 100.00%
Maximum number of open positions: 15
Position Size Model: Fixed Percent Risk
Percentage of capital risked per trade: 1.50%
Position size limit: 15.00%
Portfolio Heat: 20.00%
Pyramid profits: Yes
Transaction cost (Trade Entry): $22.00
Transaction cost (Trade Exit): $22.00
Margin Requirement: 100.00%
Magnify Position Size(& Risk) according to Margin Req: No
Margin Requirement Daily Interest Rate (Long Trades): 0.0000%
Margin Requirement Yearly Interest Rate (Long Trades): 0.0000%
Margin Requirement Daily Interest Rate (Short Trades): 0.0000%
Margin Requirement Yearly Interest Rate (Short Trades): 0.0000%


Trade Preferences

Trading Instrument: Stocks
Break Even Trades: Process separately
Trade Position Type: Process all trades
Entry Order Type: Market Order
Exit Order Type: Market Order
Minimum Trade Size: $500.00
Accept Partial Trades: No
Volume Filter: Reject Trades if Position Size is greater than
10.00% of the maximum traded volume
Pyramid Trades: Yes
Favour Trade Pyramid: Yes
Start Pyramid at any level up to level: N/A
Maximum Pyramid Level Limited to: N/A
Maximum Pyramid Count Limited to: N/A


Simulation Stats

Number of trade simulations: 20000
Trades processed per simulation: 1246
Maximum Number of Trades Executed: 175
Average Number of Trades Executed: 149
Minimum Number of Trades Executed: 130
Standard Deviation: 6.87


Profit Stats

Maximum Profit: $404,529.75 (898.96%)
Average Profit: $243,636.83 (541.42%)
Minimum Profit: $108,794.38 (241.77%)
Standard Deviation: $34,823.52 (77.39%)
Probability of Profit: 100.00%
Probability of Loss: 100.00%


Percent Winning Trade Stats

Maximum percentage of winning trades: 62.58%
Average percentage of winning trades: 53.33%
Minimum percentage of winning trades: 41.62%
Standard Deviation: 2.64%


Percent Losing Trade Stats

Maximum percentage of losing trades: 58.38%
Average percentage of losing Trades: 46.67%
Minimum percentage of losing trades: 37.42%
Standard Deviation: 2.64%


Average Relative Dollar Drawdown Stats

Maximum of the Average Relative Dollar Drawdown: $2,503.85
Average of the Average Relative Dollar Drawdown: $1,119.33
Minimum of the Average Relative Dollar Drawdown: $584.95
Standard Deviation: $213.27


Average Relative Percent Drawdown Stats

Maximum of the Average Relative Percent Drawdown: 1.7230%
Average of the Average Relative Percent Drawdown: 0.9085%
Minimum of the Average Relative Percent Drawdown: 0.5263%
Standard Deviation: 0.1387%


Maximum Peak-to-Valley Dollar Drawdown Stats

Maximum Absolute Dollar Drawdown: $60,067.90
Average Absolute Dollar Drawdown: $16,956.65
Minimum Absolute Dollar Drawdown: $4,375.91
Standard Deviation: $6,799.79


Maximum Peak-to-Valley Percent Drawdown Stats

Maximum Absolute Percent Drawdown: 16.3946%
Average Absolute Percent Drawdown: 8.0761%
Minimum Absolute Percent Drawdown: 4.1432%
Standard Deviation: 1.5186%