Showing posts with label trading. Show all posts
Showing posts with label trading. Show all posts

Monday, April 26, 2010

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