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Neural DT Performance: EMD Neural DT 60, one contract per trade, E-mini S&P
MidCap 400 (EMD)
Equity curve for Neural DT 60 on 60 min bars of the E-mini S&P MidCap 400 with one contract per trade. $15 per contract has been deducted for trading costs.
Click here for TradeStation performance report, NDT 60, EMD
MARKET SYSTEM: NEURAL DT 60 EMD
ACCOUNT SETTINGS
Starting Equity: $5,000.00
Trading Vehicle: Futures
Initial Margin: $1,000.00
Round-turn slippage per contract: $10.00
Round-turn commissions and fees per contract: $5.00
INPUT DATA SETTINGS
Profit/loss and risk calculated from P/L and risk inputs.
Profit/loss input data include slippage/commissions/fees.
Trades File: C:\NeuralDT60-WriteTrades3-EMD.csv
POSITION SIZING SETTINGS & RULES
Position Sizing Method: Fixed Contracts
No. Contracts: 1
No skipped trades. Trade at least 1 contracts per trade
ALL TRADES LONG SHORT
Total Net Profit $61,845.00 $55,650.00 $6,195.00
Gross Profit $212,005.00 $191,405.00 $20,600.00
Gross Loss ($150,160.00) ($135,755.00) ($14,405.00)
Profit Factor 1.412 1.410 1.430
Trading Period 1/23/2003 12:30:00 PM to 12/30/2008 3:03:00 PM (5 years 341 days)
Highest Closed Trade Equity $67,180.00
Lowest Closed Trade Equity $5,000.00
Final Account Equity $66,845.00
Return on Starting Equity 1237%
Total Number of Trades 1,035 936 99
Number of Winning Trades 593 535 58
Number of Losing Trades 442 401 41
Trades Not Taken 0 0 0
Percent Profitable 57.29% 57.16% 58.59%
Max Number of Contracts 1 1 1
Minimum Number of Contracts 1 1 1
Average Number of Contracts 1 1 1
Largest Winning Trade $4,315.00 $4,315.00 $1,645.00
/Percent of Equity 9.058% 9.058% 2.599%
Largest Winnning Trade (%) 11.62% 11.62% 8.398%
/Trade Value $855.00 $855.00 $485.00
Average Winning Trade $357.51 $357.77 $355.17
Average Winning Trade (%) 1.373% 1.362% 1.474%
Average Length of Wins 3 hours 19 min 3 hours 14 min 4 hours 12 min
Max Number Consecutive Wins 8 9 10
Largest Losing Trade ($2,365.00) ($2,365.00) ($1,285.00)
/Percent of Equity -4.730% -4.730% -2.717%
Largest Losing Trade (%) -6.564% -6.564% -5.403%
/Trade Value ($385.00) ($385.00) ($335.00)
Average Losing Trade ($339.73) ($338.54) ($351.34)
Average Losing Trade (%) -1.218% -1.191% -1.480%
Average Length of Losses 2 hours 47 min 2 hours 45 min 3 hours 10 min
Max Number Consecutive Losses 6 6 5
Average Trade $59.75 $59.46 $62.58
Average Trade (%) 0.267% 0.268% 0.251%
Trade Standard Deviation $527.83 $534.78 $459.41
Trade Standard Deviation (%) 1.793% 1.779% 1.931%
Win/Loss Ratio 1.052 1.057 1.011
Win/Loss Ratio (%/%) 1.128 1.144 0.996
Return/Drawdown Ratio 97.63 77.97 3.241
Modified Sharpe Ratio 0.149 0.151 0.130
Sharpe Ratio 0.589
Average Annual Profit/Loss $10,418.83
Ave Annual Compounded Return 54.78%
Average Monthly Profit/Loss $868.24
Ave Monthly Compounded Return 3.707%
Average Weekly Profit/Loss $199.68
Ave Weekly Compounded Return 0.841%
Average Daily Profit/Loss $28.53
Ave Daily Compounded Return 0.120%
CLOSED TRADE DRAWDOWNS ALL TRADES LONG SHORT
Number of Drawdowns 89 89 8
Average Drawdown ($986.24) ($903.20) ($1,281.88)
Average Drawdown (%) 3.482% 3.369% 16.41%
Average Length of Drawdowns 20 days 5 hours 19 days 22 hours 214 days 1 hours
Average Trades in Drawdowns 9 8 10
Worst Case Drawdown ($5,385.00) ($5,385.00) ($3,095.00)
/Percent of Equity 10.16% 10.81% 38.23%
Date at Trough 10/27/2008 3:03:00 PM 10/27/2008 3:03:00 PM 5/31/2007 3:03:00 PM
Trade Number at Trough 1,007 1,007 775
Length of Drawdown 13 days 2 hours 13 days 2 hours 1 years 282 days
Trades in Drawdown 6 6 28
Worst Case Drawdown (%) 12.67% 14.28% 38.23%
/Equity Value ($795.00) ($4,000.00) ($3,095.00)
Date at Trough 2/5/2003 1:30:00 PM 5/24/2006 11:30:00 AM 5/31/2007 3:03:00 PM
Trade Number at Trough 8 604 775
Length of Drawdown 22 days 1 hours 125 days 2 hours 1 years 282 days
Trades in Drawdown 8 46 28
Longest Drawdown 155 days 1 hours 201 days 4 hours 1 years 282 days
Start of Drawdown 1/5/2005 1:30:00 PM 12/22/2004 10:30:00 AM 5/22/2006 10:30:00 AM
End of Drawdown 6/9/2005 3:03:00 PM 7/11/2005 3:03:00 PM 2/29/2008 3:03:00 PM
Percent of Equity 8.350% 11.10% 38.23%
ANNUAL RETURNS
YEAR NET PROFIT END EQUITY RETURN(%)DRAWDOWN(%) TRADES WINS(%) P FAC SHARPE
2008 $28,535.00 $66,845.00 74.48 10.16 167 62.87 1.586 0.987
2007 $9,095.00 $38,310.00 31.13 8.214 167 58.08 1.383 0.639
2006 $2,825.00 $29,215.00 10.70 11.80 167 53.29 1.110 0.225
2005 $1,685.00 $26,390.00 6.820 9.178 173 54.91 1.079 0.163
2004 $6,760.00 $24,705.00 37.67 10.54 184 53.80 1.387 0.798
2003 $12,945.00 $17,945.00 258.9 12.67 177 61.02 1.980 1.143
AVE $10,307.50 $33,901.67 69.95 10.43 172.5 57.33 1.421 0.659
SD $9,834.51 $17,448.67 95.67 1.641 6.979 3.987 0.334 0.399
MONTHLY RETURNS
MONTH NET PROFIT END EQUITY RETURN(%)DRAWDOWN(%) TRADES WINS(%) P FAC
12-2008 $3,560.00 $66,845.00 5.625 5.351 14 57.14 1.535
11-2008 $9,095.00 $63,285.00 16.78 4.618 11 81.82 4.260
10-2008 $3,605.00 $54,190.00 7.127 10.16 13 61.54 1.453
9-2008 $1,745.00 $50,585.00 3.573 5.794 11 63.64 1.467
8-2008 $670.00 $48,840.00 1.391 2.430 16 56.25 1.192
7-2008 $2,090.00 $48,170.00 4.536 3.763 14 57.14 1.463
6-2008 ($2,110.00) $46,080.00 -4.379 6.246 12 41.67 0.497
5-2008 $2,735.00 $48,190.00 6.017 2.006 19 73.68 2.287
4-2008 $2,710.00 $45,455.00 6.340 1.894 18 61.11 2.275
3-2008 $455.00 $42,745.00 1.076 4.469 11 63.64 1.120
2-2008 $1,775.00 $42,290.00 4.381 3.895 13 69.23 1.492
1-2008 $2,205.00 $40,515.00 5.756 6.178 15 66.67 1.597
12-2007 $50.00 $38,310.00 0.131 3.889 14 50.00 1.014
11-2007 ($390.00) $38,260.00 -1.009 5.778 12 33.33 0.868
10-2007 $3,010.00 $38,650.00 8.446 2.069 14 64.29 3.221
9-2007 $1,955.00 $35,640.00 5.804 1.994 15 66.67 2.160
8-2007 $0.00 $33,685.00 0 6.764 14 57.14 1.000
7-2007 ($1,005.00) $33,685.00 -2.897 5.302 13 46.15 0.613
6-2007 $1,355.00 $34,690.00 4.065 1.917 11 63.64 2.426
5-2007 $2,215.00 $33,335.00 7.118 1.514 17 70.59 2.779
4-2007 ($295.00) $31,120.00 -0.939 2.260 15 40.00 0.796
3-2007 $1,515.00 $31,415.00 5.067 1.718 15 60.00 2.098
2-2007 ($25.00) $29,900.00 -0.0835 2.717 11 72.73 0.973
1-2007 $710.00 $29,925.00 2.430 1.950 16 68.75 1.520
12-2006 ($1,105.00) $29,215.00 -3.644 4.238 9 33.33 0.406
11-2006 $1,455.00 $30,320.00 5.041 1.722 13 61.54 2.293
10-2006 $670.00 $28,865.00 2.376 3.015 14 50.00 1.302
9-2006 ($1,910.00) $28,195.00 -6.344 8.922 18 38.89 0.515
8-2006 $165.00 $30,105.00 0.551 6.540 17 47.06 1.062
7-2006 $345.00 $29,940.00 1.166 3.493 11 54.55 1.179
6-2006 $1,860.00 $29,595.00 6.706 3.409 12 66.67 2.000
5-2006 ($800.00) $27,735.00 -2.804 7.198 16 50.00 0.732
4-2006 ($815.00) $28,535.00 -2.777 5.247 13 46.15 0.704
3-2006 $1,725.00 $29,350.00 6.244 1.694 17 70.59 2.146
2-2006 $895.00 $27,625.00 3.348 3.012 15 60.00 1.605
1-2006 $340.00 $26,730.00 1.288 2.728 12 58.33 1.249
12-2005 ($910.00) $26,390.00 -3.333 5.017 12 50.00 0.486
11-2005 ($325.00) $27,300.00 -1.176 4.916 13 53.85 0.830
10-2005 ($15.00) $27,625.00 -0.0543 4.902 13 46.15 0.995
9-2005 $320.00 $27,640.00 1.171 3.044 16 56.25 1.165
8-2005 $730.00 $27,320.00 2.745 2.802 18 50.00 1.621
7-2005 $1,900.00 $26,590.00 7.695 1.457 16 75.00 2.792
6-2005 ($185.00) $24,690.00 -0.744 2.700 15 53.33 0.896
5-2005 $840.00 $24,875.00 3.495 3.502 16 68.75 1.554
4-2005 $850.00 $24,035.00 3.666 4.797 16 56.25 1.400
3-2005 ($1,135.00) $23,185.00 -4.667 6.809 13 30.77 0.422
2-2005 $765.00 $24,320.00 3.248 2.620 11 72.73 1.987
1-2005 ($1,150.00) $23,555.00 -4.655 6.656 14 42.86 0.538
12-2004 $1,295.00 $24,705.00 5.532 0.931 15 60.00 3.539
11-2004 $945.00 $23,410.00 4.207 1.842 15 60.00 1.680
10-2004 $1,760.00 $22,465.00 8.500 2.035 18 72.22 2.253
9-2004 $205.00 $20,705.00 1.000 2.470 17 47.06 1.177
8-2004 $1,230.00 $20,500.00 6.383 2.171 14 57.14 1.854
7-2004 $90.00 $19,270.00 0.469 6.767 18 44.44 1.036
6-2004 ($5.00) $19,180.00 -0.0261 4.778 13 46.15 0.996
5-2004 ($270.00) $19,185.00 -1.388 8.584 16 37.50 0.850
4-2004 $1,030.00 $19,455.00 5.590 3.075 14 64.29 1.802
3-2004 $500.00 $18,425.00 2.789 4.664 14 57.14 1.357
2-2004 ($565.00) $17,925.00 -3.056 7.004 17 41.18 0.709
1-2004 $545.00 $18,490.00 3.037 5.640 13 61.54 1.424
12-2003 $1,490.00 $17,945.00 9.055 2.964 12 66.67 3.403
11-2003 $155.00 $16,455.00 0.951 4.027 13 38.46 1.119
10-2003 $1,145.00 $16,300.00 7.555 2.295 17 64.71 2.568
9-2003 ($50.00) $15,155.00 -0.329 6.879 16 56.25 0.973
8-2003 $415.00 $15,205.00 2.806 5.916 17 58.82 1.304
7-2003 $2,070.00 $14,790.00 16.27 3.930 18 72.22 2.857
6-2003 $145.00 $12,720.00 1.153 12.19 17 47.06 1.064
5-2003 $2,310.00 $12,575.00 22.50 3.968 18 66.67 3.625
4-2003 $1,530.00 $10,265.00 17.52 7.385 16 56.25 2.538
3-2003 $1,955.00 $8,735.00 28.83 4.604 17 64.71 2.730
2-2003 $505.00 $6,780.00 8.048 12.67 11 63.64 1.526
1-2003 $1,275.00 $6,275.00 25.50 0 5 100.0 100.0
AVE $858.96 $28,561.88 3.858 4.332 14.38 57.56 2.950
SD $1,552.02 $12,316.83 6.550 2.493 2.570 12.35 11.63
Neural DT 1, one contract per trade, EMD
Equity curve for Neural DT 1 on 1 min bars of the
E-mini S&P MidCap 400 with one contract per trade. $15 per contract has been
deducted for trading costs. Click here for TradeStation performance report, NDT 1, EMD
MARKET SYSTEM: NEURAL DT 1 EMD
ACCOUNT SETTINGS
Starting Equity: $3,880.00
Trading Vehicle: Futures
Initial Margin: $1,000.00
Round-turn slippage per contract: $10.00
Round-turn commissions and fees per contract: $5.00
INPUT DATA SETTINGS
Profit/loss and risk calculated from P/L and risk inputs.
Profit/loss input data include slippage/commissions/fees.
Trades File: C:\NeuralDT1-WriteTrades3-EMD.csv
POSITION SIZING SETTINGS & RULES
Position Sizing Method: Fixed Contracts
No. Contracts: 1
No skipped trades. Trade at least 1 contracts per trade
ALL TRADES LONG SHORT
Total Net Profit $24,545.00 ($75.00) $24,620.00
Gross Profit $70,395.00 $295.00 $70,100.00
Gross Loss ($45,850.00) ($370.00) ($45,480.00)
Profit Factor 1.535 0.797 1.541
Trading Period 1/8/2004 9:09:00 AM to 1/2/2009 9:10:00 AM (4 years 360 days)
Highest Closed Trade Equity $29,860.00
Lowest Closed Trade Equity $3,545.00
Final Account Equity $28,425.00
Return on Starting Equity 632.6%
Total Number of Trades 637 7 630
Number of Winning Trades 369 3 366
Number of Losing Trades 268 4 264
Trades Not Taken 0 0 0
Percent Profitable 57.93% 42.86% 58.10%
Max Number of Contracts 1 1 1
Minimum Number of Contracts 1 1 1
Average Number of Contracts 1 1 1
Largest Winning Trade $925.00 $155.00 $925.00
/Percent of Equity 3.502% 4.189% 3.502%
Largest Winnning Trade (%) 4.372% 4.189% 4.372%
/Trade Value $155.00 $155.00 $155.00
Average Winning Trade $190.77 $98.33 $191.53
Average Winning Trade (%) 1.819% 2.526% 1.813%
Average Length of Wins 12 min 34 sec 18 min 0 sec 12 min 31 sec
Max Number Consecutive Wins 12 3 12
Largest Losing Trade ($875.00) ($155.00) ($875.00)
/Percent of Equity -3.199% -3.822% -3.199%
Largest Losing Trade (%) -5.236% -3.822% -5.236%
/Trade Value ($205.00) ($155.00) ($205.00)
Average Losing Trade ($171.08) ($92.50) ($172.27)
Average Losing Trade (%) -1.711% -2.247% -1.703%
Average Length of Losses 14 min 32 sec 19 min 30 sec 14 min 28 sec
Max Number Consecutive Losses 6 2 5
Average Trade $38.53 ($10.71) $39.08
Average Trade (%) 0.334% -0.201% 0.339%
Trade Standard Deviation $225.87 $116.74 $226.78
Trade Standard Deviation (%) 2.020% 2.925% 2.010%
Win/Loss Ratio 1.115 1.063 1.112
Win/Loss Ratio (%/%) 1.063 1.124 1.064
Return/Drawdown Ratio 30.82 0 32.58
Modified Sharpe Ratio 0.165 -0.0688 0.169
Sharpe Ratio 0.703
Average Annual Profit/Loss $4,923.15
Ave Annual Compounded Return 49.10%
Average Monthly Profit/Loss $410.26
Ave Monthly Compounded Return 3.385%
Average Weekly Profit/Loss $94.35
Ave Weekly Compounded Return 0.768%
Average Daily Profit/Loss $13.48
Ave Daily Compounded Return 0.109%
CLOSED TRADE DRAWDOWNS ALL TRADES LONG SHORT
Number of Drawdowns 64 2 60
Average Drawdown ($423.28) ($185.00) ($435.50)
Average Drawdown (%) 3.698% 4.556% 3.562%
Average Length of Drawdowns 22 days 5 hours 2 years 92 days 23 days 15 hours
Average Trades in Drawdowns 7 2 8
Worst Case Drawdown ($2,135.00) ($300.00) ($2,135.00)
/Percent of Equity 7.150% 7.308% 7.132%
Date at Trough 12/11/2008 9:13:00 AM 12/1/2004 9:11:00 AM 12/11/2008 9:13:00 AM
Trade Number at Trough 631 116 631
Length of Drawdown 37 days 31 min 4 years 65 days 37 days 31 min
Trades in Drawdown 13 2 13
Worst Case Drawdown (%) 20.53% 7.308% 19.48%
/Equity Value ($935.00) ($300.00) ($860.00)
Date at Trough 12/3/2004 8:39:00 AM 12/1/2004 9:11:00 AM 11/18/2004 8:41:00 AM
Trade Number at Trough 118 116 111
Length of Drawdown 154 days 36 min 4 years 65 days 307 days 23 hours
Trades in Drawdown 54 2 105
Longest Drawdown 189 days 14 min 4 years 65 days 307 days 23 hours
Start of Drawdown 3/12/2004 8:48:00 AM 10/29/2004 8:37:00 AM 3/12/2004 8:48:00 AM
End of Drawdown 9/17/2004 9:02:00 AM 1/2/2009 9:10:00 AM 1/14/2005 8:45:00 AM
Percent of Equity 19.43% 7.308% 19.48%
ANNUAL RETURNS
YEAR NET PROFIT END EQUITY RETURN(%)DRAWDOWN(%) TRADES WINS(%) P FAC SHARPE
2009 $5.00 $28,425.00 0.0176 0 1 100.0 100.0 0.289
2008 $8,640.00 $28,420.00 43.68 8.948 132 61.36 1.489 0.595
2007 $6,595.00 $19,780.00 50.02 7.888 113 59.29 1.823 0.736
2006 $4,740.00 $13,185.00 56.13 9.528 126 61.11 1.621 1.113
2005 $4,600.00 $8,445.00 119.6 11.16 140 58.57 1.800 2.259
2004 ($35.00) $3,845.00 -0.902 20.53 125 48.80 0.995 0.0114
AVE $4,090.83 $17,016.67 44.76 9.675 106.2 64.86 17.95 0.834
SD $3,503.23 $10,290.48 44.39 6.593 52.28 17.83 40.19 0.794
MONTHLY RETURNS
MONTH NET PROFIT END EQUITY RETURN(%)DRAWDOWN(%) TRADES WINS(%) P FAC
1-2009 $5.00 $28,425.00 0.0176 0 1 100.0 100.0
12-2008 ($855.00) $28,420.00 -2.921 5.569 11 54.55 0.677
11-2008 $2,085.00 $29,275.00 7.668 3.825 11 72.73 2.216
10-2008 $1,740.00 $27,190.00 6.837 3.199 8 62.50 1.868
9-2008 $180.00 $25,450.00 0.712 3.816 10 60.00 1.096
8-2008 $695.00 $25,270.00 2.828 2.160 11 63.64 1.914
7-2008 $2,440.00 $24,575.00 11.02 2.500 12 75.00 3.249
6-2008 $75.00 $22,135.00 0.340 3.588 15 53.33 1.039
5-2008 ($395.00) $22,060.00 -1.759 3.149 11 54.55 0.646
4-2008 $1,275.00 $22,455.00 6.020 1.086 11 63.64 6.100
3-2008 $1,340.00 $21,180.00 6.754 2.844 10 70.00 2.514
2-2008 $1,445.00 $19,840.00 7.855 2.093 9 77.78 2.979
1-2008 ($1,385.00) $18,395.00 -7.002 7.128 13 38.46 0.483
12-2007 $1,690.00 $19,780.00 9.342 1.077 8 87.50 9.244
11-2007 $1,605.00 $18,090.00 9.736 2.568 11 72.73 2.378
10-2007 ($85.00) $16,485.00 -0.513 4.545 11 45.45 0.931
9-2007 $225.00 $16,570.00 1.377 2.728 7 57.14 1.333
8-2007 ($220.00) $16,345.00 -1.328 7.577 10 50.00 0.859
7-2007 $1,930.00 $16,565.00 13.19 0 8 100.0 100.0
6-2007 $700.00 $14,635.00 5.023 1.844 12 66.67 1.753
5-2007 $190.00 $13,935.00 1.382 1.219 8 50.00 1.731
4-2007 $210.00 $13,745.00 1.552 1.995 8 62.50 1.764
3-2007 $490.00 $13,535.00 3.756 1.143 8 62.50 3.178
2-2007 ($20.00) $13,045.00 -0.153 2.600 8 37.50 0.958
1-2007 ($120.00) $13,065.00 -0.910 3.969 14 35.71 0.879
12-2006 $310.00 $13,185.00 2.408 2.079 12 58.33 1.434
11-2006 ($400.00) $12,875.00 -3.013 5.198 8 37.50 0.515
10-2006 $85.00 $13,275.00 0.644 3.883 13 53.85 1.100
9-2006 $360.00 $13,190.00 2.806 2.809 12 58.33 1.511
8-2006 $1,185.00 $12,830.00 10.18 2.508 13 76.92 3.495
7-2006 $210.00 $11,645.00 1.836 4.196 10 60.00 1.212
6-2006 $475.00 $11,435.00 4.334 9.528 13 61.54 1.341
5-2006 $685.00 $10,960.00 6.667 2.021 9 66.67 3.045
4-2006 $465.00 $10,275.00 4.740 2.514 9 66.67 2.022
3-2006 $675.00 $9,810.00 7.389 1.654 11 54.55 4.000
2-2006 $475.00 $9,135.00 5.485 4.099 11 63.64 1.931
1-2006 $215.00 $8,660.00 2.546 1.835 5 80.00 2.387
12-2005 $350.00 $8,445.00 4.324 1.769 10 50.00 2.321
11-2005 $560.00 $8,095.00 7.432 2.529 12 66.67 2.436
10-2005 $355.00 $7,535.00 4.944 5.300 13 61.54 1.430
9-2005 $695.00 $7,180.00 10.72 1.848 11 72.73 3.439
8-2005 $585.00 $6,485.00 9.915 4.337 15 66.67 2.182
7-2005 $190.00 $5,900.00 3.327 2.399 8 50.00 1.655
6-2005 $425.00 $5,710.00 8.042 2.962 11 54.55 2.349
5-2005 $300.00 $5,285.00 6.018 6.377 10 60.00 1.577
4-2005 $565.00 $4,985.00 12.78 11.13 15 60.00 1.681
3-2005 $190.00 $4,420.00 4.492 6.653 12 50.00 1.358
2-2005 $240.00 $4,230.00 6.015 4.988 10 50.00 1.716
1-2005 $145.00 $3,990.00 3.771 10.94 13 53.85 1.216
12-2004 ($210.00) $3,845.00 -5.179 10.73 10 40.00 0.682
11-2004 ($95.00) $4,055.00 -2.289 12.41 9 44.44 0.816
10-2004 ($280.00) $4,150.00 -6.321 8.891 12 41.67 0.676
9-2004 $460.00 $4,430.00 11.59 3.226 10 70.00 2.673
8-2004 ($35.00) $3,970.00 -0.874 11.93 11 45.45 0.949
7-2004 $150.00 $4,005.00 3.891 9.640 12 58.33 1.261
6-2004 ($135.00) $3,855.00 -3.383 9.080 11 45.45 0.795
5-2004 $75.00 $3,990.00 1.916 9.451 7 57.14 1.200
4-2004 ($195.00) $3,915.00 -4.745 6.897 11 36.36 0.702
3-2004 $235.00 $4,110.00 6.065 6.591 13 53.85 1.452
2-2004 ($190.00) $3,875.00 -4.674 9.450 8 37.50 0.651
1-2004 $185.00 $4,065.00 4.768 5.847 11 54.55 1.407
AVE $402.38 $12,430.57 3.433 4.589 10.44 58.90 5.089
SD $689.66 $7,661.64 4.884 3.215 2.439 13.10 17.67
Neural DT 60 and Neural DT 1, portfolio with position
sizing, EMD
Equity curve for Neural DT 60 and Neural DT 1 on
the E-mini S&P MidCap 400 with position sizing. $15 per contract has been deducted
for trading costs.
PORTFOLIO: NEURAL DT 1, 60, EMD
PORTFOLIO SETTINGS
Starting Equity: $5,000.00
MS FILE NAME VEHICLE DESCRIPTION
1 C:\NeuralDT1-EMD.msa Futures Neural DT 1 EMD
2 C:\NeuralDT60-EMD.msa Futures Neural DT 60 EMD
POSITION SIZING SETTINGS & RULES
MS SIZING METHOD PARAMETERS
1 Fixed Risk ff = 4.000%
2 Fixed Risk ff = 5.000%
ALL TRADES LONG SHORT
Total Net Profit $10,539,865.00 $5,255,565.00 $5,284,300.00
Gross Profit $33,156,895.00 $19,262,730.00 $13,894,165.00
Gross Loss ($22,617,030.00) ($14,007,165.00) ($8,609,865.00)
Profit Factor 1.466 1.375 1.614
Trading Period 1/23/2003 12:30:00 PM to 1/2/2009 9:10:00 AM (5 years 343 days)
Highest Closed Trade Equity $10,862,365.00
Lowest Closed Trade Equity $5,000.00
Final Account Equity $10,544,865.00
Return on Starting Equity 210800%
Total Number of Trades 1,672 943 729
Number of Winning Trades 962 538 424
Number of Losing Trades 710 405 305
Trades Not Taken 0 0 0
Percent Profitable 57.54% 57.05% 58.16%
Max Position Size 250 250 250
Minimum Position Size 1 1 1
Average Position Size 89 65 121
Largest Winning Trade $1,041,250.00 $1,041,250.00 $411,250.00
/Percent of Equity 13.44% 13.44% 4.168%
Largest Winnning Trade (%) 14.22% 13.44% 14.22%
/Trade Value $4,100.00 $1,041,250.00 $4,100.00
Average Winning Trade $34,466.63 $35,804.33 $32,769.26
Average Winning Trade (%) 3.069% 2.902% 3.281%
Average Length of Wins 2 hours 8 min 3 hours 13 min 45 min 18 sec
Max Number Consecutive Wins 15 9 13
Largest Losing Trade ($426,250.00) ($426,250.00) ($285,270.00)
/Percent of Equity -3.969% -3.969% -5.062%
Largest Losing Trade (%) -6.587% -6.587% -5.915%
/Trade Value ($28,215.00) ($28,215.00) ($2,790.00)
Average Losing Trade ($31,854.97) ($34,585.59) ($28,229.07)
Average Losing Trade (%) -2.929% -2.795% -3.108%
Average Length of Losses 1 hours 49 min 2 hours 43 min 38 min 7 sec
Max Number Consecutive Losses 7 6 6
Average Trade $6,303.75 $5,573.24 $7,248.70
Average Trade (%) 0.522% 0.455% 0.608%
Trade Standard Deviation $76,620.39 $90,145.59 $54,392.92
Trade Standard Deviation (%) 3.564% 3.562% 3.566%
Win/Loss Ratio 1.082 1.035 1.161
Win/Loss Ratio (%/%) 1.048 1.038 1.056
Return/Drawdown Ratio 6829 986.9 1038
Modified Sharpe Ratio 0.146 0.128 0.171
Sharpe Ratio 0.881
Average Annual Profit/Loss $1,773,367.69
Ave Annual Compounded Return 262.5%
Average Monthly Profit/Loss $147,780.64
Ave Monthly Compounded Return 11.33%
Average Weekly Profit/Loss $33,986.51
Ave Weekly Compounded Return 2.499%
Average Daily Profit/Loss $4,855.22
Ave Daily Compounded Return 0.353%
CLOSED TRADE DRAWDOWNS ALL TRADES LONG SHORT
Number of Drawdowns 146 84 65
Average Drawdown ($95,099.01) ($97,375.24) ($85,626.77)
Average Drawdown (%) 7.107% 14.33% 13.88%
Average Length of Drawdowns 11 days 23 hours 21 days 13 hours 26 days 53 min
Average Trades in Drawdowns 9 9 8
Worst Case Drawdown ($1,307,500.00) ($1,098,750.00) ($617,770.00)
/Percent of Equity 12.04% 51.32% 14.46%
Date at Trough 12/11/2008 2:30:00 PM 7/7/2008 11:30:00 AM 9/18/2008 8:41:00 AM
Trade Number at Trough 1,660 1,534 1,593
Length of Drawdown 24 days 38 min 100 days 2 hours 39 days 22 hours
Trades in Drawdown 18 41 14
Worst Case Drawdown (%) 30.87% 106.5% 101.8%
/Equity Value ($951,955.00) ($183,300.00) ($14,670.00)
Date at Trough 1/18/2008 8:41:00 AM 5/24/2006 11:30:00 AM 11/18/2004 8:41:00 AM
Trade Number at Trough 1,392 912 451
Length of Drawdown 61 days 1 hours 165 days 2 hours 86 days 17 min
Trades in Drawdown 48 65 32
Longest Drawdown 229 days 0 min 201 days 4 hours 300 days 6 min
Start of Drawdown 9/14/2006 8:38:00 AM 12/22/2004 10:30:00 AM 8/25/2006 8:34:00 AM
End of Drawdown 5/1/2007 8:38:00 AM 7/11/2005 3:03:00 PM 6/21/2007 8:40:00 AM
Percent of Equity 27.86% 38.24% 41.17%
ANNUAL RETURNS
YEAR NET PROFIT END EQUITY RETURN(%)DRAWDOWN(%) TRADES WINS(%) P FAC SHARPE
2009 $1,250.00 $10,544,865.00 0.0119 0 1 100.0 100.0 0.289
2008 $7,666,015.00 $10,543,615.00 266.4 25.91 299 62.21 1.525 0.828
2007 $2,154,060.00 $2,877,600.00 297.7 22.67 280 58.57 1.455 1.006
2006 $504,640.00 $723,540.00 230.5 25.19 293 56.66 1.193 0.719
2005 $168,925.00 $218,900.00 338.0 26.71 313 56.55 1.353 0.923
2004 $23,070.00 $49,975.00 85.75 26.40 309 51.78 1.147 0.614
2003 $21,905.00 $26,905.00 438.1 20.25 177 61.02 1.769 1.287
AVE $1,505,695.00 $3,569,342.86 236.6 21.02 238.9 63.83 15.49 0.809
SD $2,823,182.28 $4,865,452.47 149.6 9.554 114.8 16.31 37.27 0.316
MONTHLY RETURNS
MONTH NET PROFIT END EQUITY RETURN(%)DRAWDOWN(%) TRADES WINS(%) P FAC
1-2009 $1,250.00 $10,544,865.00 0.0119 0 1 100.0 100.0
12-2008 $676,250.00 $10,543,615.00 6.853 12.04 25 56.00 1.291
11-2008 $2,767,425.00 $9,867,365.00 38.98 8.938 22 77.27 3.457
10-2008 $940,055.00 $7,099,940.00 15.26 13.79 21 61.90 1.558
9-2008 $212,820.00 $6,159,885.00 3.579 13.60 21 61.90 1.159
8-2008 $341,250.00 $5,947,065.00 6.087 4.545 27 59.26 1.322
7-2008 $1,085,575.00 $5,605,815.00 24.02 5.998 26 65.38 1.779
6-2008 ($508,750.00) $4,520,240.00 -10.12 15.16 27 48.15 0.667
5-2008 $585,000.00 $5,028,990.00 13.16 5.809 30 66.67 1.722
4-2008 $905,485.00 $4,443,990.00 25.59 6.736 29 62.07 2.549
3-2008 $354,540.00 $3,538,505.00 11.14 9.925 21 66.67 1.407
2-2008 $650,040.00 $3,183,965.00 25.65 5.070 22 72.73 2.042
1-2008 ($343,675.00) $2,533,925.00 -11.94 25.91 28 53.57 0.727
12-2007 $367,910.00 $2,877,600.00 14.66 6.694 22 63.64 1.502
11-2007 $305,685.00 $2,509,690.00 13.87 13.60 23 52.17 1.448
10-2007 $384,725.00 $2,204,005.00 21.15 12.29 25 56.00 1.729
9-2007 $246,260.00 $1,819,280.00 15.66 6.877 22 63.64 1.627
8-2007 ($72,620.00) $1,573,020.00 -4.413 22.67 24 54.17 0.891
7-2007 $221,680.00 $1,645,640.00 15.57 10.07 21 66.67 1.618
6-2007 $304,600.00 $1,423,960.00 27.21 9.142 23 65.22 1.947
5-2007 $269,780.00 $1,119,360.00 31.75 6.044 25 64.00 2.353
4-2007 $14,965.00 $849,580.00 1.793 12.81 23 47.83 1.069
3-2007 $166,930.00 $834,615.00 25.00 5.792 23 60.87 2.206
2-2007 ($52,180.00) $667,685.00 -7.249 10.61 19 57.89 0.736
1-2007 ($3,675.00) $719,865.00 -0.508 16.71 30 53.33 0.988
12-2006 ($55,660.00) $723,540.00 -7.143 13.50 21 47.62 0.838
11-2006 $36,555.00 $779,200.00 4.922 9.845 21 52.38 1.144
10-2006 $38,825.00 $742,645.00 5.516 15.99 27 51.85 1.113
9-2006 ($105,325.00) $703,820.00 -13.02 21.58 30 46.67 0.765
8-2006 $179,075.00 $809,145.00 28.42 8.695 30 60.00 1.701
7-2006 $38,385.00 $630,070.00 6.487 9.938 21 57.14 1.187
6-2006 $121,730.00 $591,685.00 25.90 12.93 25 64.00 1.628
5-2006 $21,995.00 $469,955.00 4.910 16.05 25 56.00 1.137
4-2006 $19,790.00 $447,960.00 4.622 16.25 22 54.55 1.101
3-2006 $128,345.00 $428,170.00 42.81 9.324 28 64.29 2.324
2-2006 $60,640.00 $299,825.00 25.35 17.15 26 61.54 1.813
1-2006 $20,285.00 $239,185.00 9.267 9.986 17 64.71 1.456
12-2005 ($1,470.00) $218,900.00 -0.667 10.20 22 50.00 0.978
11-2005 $25,975.00 $220,370.00 13.36 11.51 25 60.00 1.366
10-2005 $11,755.00 $194,395.00 6.436 14.43 26 53.85 1.127
9-2005 $38,180.00 $182,640.00 26.43 10.17 27 62.96 1.668
8-2005 $34,735.00 $144,460.00 31.66 13.45 33 57.58 1.945
7-2005 $28,500.00 $109,725.00 35.09 5.328 24 66.67 2.235
6-2005 $7,570.00 $81,225.00 10.28 10.26 26 53.85 1.269
5-2005 $12,630.00 $73,655.00 20.70 8.136 26 65.38 1.684
4-2005 $12,690.00 $61,025.00 26.25 16.22 31 58.06 1.516
3-2005 ($5,330.00) $48,335.00 -9.932 23.95 25 40.00 0.776
2-2005 $8,555.00 $53,665.00 18.96 11.40 21 61.90 1.744
1-2005 ($4,865.00) $45,110.00 -9.735 22.41 27 48.15 0.812
12-2004 $3,615.00 $49,975.00 7.798 13.33 25 52.00 1.237
11-2004 $3,730.00 $46,360.00 8.750 14.18 24 54.17 1.243
10-2004 $3,180.00 $42,630.00 8.061 13.92 30 60.00 1.145
9-2004 $6,710.00 $39,450.00 20.49 10.10 27 55.56 1.657
8-2004 $2,100.00 $32,740.00 6.854 20.89 25 52.00 1.147
7-2004 $1,955.00 $30,640.00 6.815 23.27 30 50.00 1.124
6-2004 ($2,355.00) $28,685.00 -7.587 24.49 24 45.83 0.837
5-2004 $380.00 $31,040.00 1.239 8.578 23 43.48 1.062
4-2004 $1,810.00 $30,660.00 6.274 12.32 25 52.00 1.169
3-2004 $2,935.00 $28,850.00 11.33 9.568 27 55.56 1.299
2-2004 ($4,515.00) $25,915.00 -14.84 17.99 25 40.00 0.643
1-2004 $3,525.00 $30,430.00 13.10 8.742 24 58.33 1.350
12-2003 $4,670.00 $26,905.00 21.00 6.545 12 66.67 3.464
11-2003 $160.00 $22,235.00 0.725 9.750 13 38.46 1.038
10-2003 $2,925.00 $22,075.00 15.27 5.536 17 64.71 2.336
9-2003 ($445.00) $19,150.00 -2.271 16.19 16 56.25 0.924
8-2003 $1,550.00 $19,595.00 8.590 9.698 17 58.82 1.494
7-2003 $4,140.00 $18,045.00 29.77 6.284 18 72.22 2.857
6-2003 $290.00 $13,905.00 2.130 20.25 17 47.06 1.064
5-2003 $3,350.00 $13,615.00 32.64 7.318 18 66.67 3.428
4-2003 $1,530.00 $10,265.00 17.52 7.385 16 56.25 2.538
3-2003 $1,955.00 $8,735.00 28.83 4.604 17 64.71 2.730
2-2003 $505.00 $6,780.00 8.048 12.67 11 63.64 1.526
1-2003 $1,275.00 $6,275.00 25.50 0 5 100.0 100.0
AVE $144,381.71 $1,454,330.48 11.86 11.82 22.90 58.77 4.225
SD $402,863.52 $2,508,844.46 13.46 5.632 5.657 10.46 16.20
HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE
CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD,
SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE
TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-
OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET
FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN
GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE
BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY
ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO
THOSE SHOWN.
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