Sunday, July 26, 2009

Backtesting TestStrategy1


















.01, .20, .01, 8, 28, -1, 30, 50, 50, 10 Contracts
ContractProfitDrawdownSharpe
ES 09-08(10,392)49,813(0.22)
ES 12-08192,86127,3732.35
ES 03-09(14,991)50,537(0.40)
ES 06-0963,30115,8821.68
ES 09-0928,7408,919
.01, .20, .01, 8, 28, -1, 5, 50, 64, 10 Contracts
ContractProfitDrawdownSharpe
ES 09-08(31,985)42,665(1.05)
ES 12-08103,14042,0843.23
ES 03-09(70,697)92,658(1.29)
ES 06-0927,16419,5938.07
ES 09-0920,94614.720