.01, .20, .01, 8, 28, -1, 30, 50, 50, 10 Contracts | ||||
Contract | Profit | Drawdown | Sharpe | |
ES 09-08 | (10,392) | 49,813 | (0.22) | |
ES 12-08 | 192,861 | 27,373 | 2.35 | |
ES 03-09 | (14,991) | 50,537 | (0.40) | |
ES 06-09 | 63,301 | 15,882 | 1.68 | |
ES 09-09 | 28,740 | 8,919 | ||
.01, .20, .01, 8, 28, -1, 5, 50, 64, 10 Contracts | ||||
Contract | Profit | Drawdown | Sharpe | |
ES 09-08 | (31,985) | 42,665 | (1.05) | |
ES 12-08 | 103,140 | 42,084 | 3.23 | |
ES 03-09 | (70,697) | 92,658 | (1.29) | |
ES 06-09 | 27,164 | 19,593 | 8.07 | |
ES 09-09 | 20,946 | 14.720 |
Sunday, July 26, 2009
Backtesting TestStrategy1
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