Stepped Parameter Summary Performance
Test   Entry Breakout (days)Ending Balance CAGR% MAR Modified Sharpe Annual Sharpe Max Total Equity DD Longest Drawdown # Trades RAR R3 R Sharpe
12018,279,418.2330.51%0.750.930.6440.5%22.52,735 31.84 0.96 0.91
22118,332,849.6230.53%0.740.940.6641.3%22.92,680 31.60 0.94 0.91
32216,870,179.0929.86%0.660.920.6445.0%23.12,625 31.06 0.92 0.89
42318,766,720.0130.72%0.730.940.6542.2%22.92,567 31.89 0.99 0.92
52418,944,134.8230.80%0.720.950.6642.5%23.02,516 32.59 1.04 0.96
62515,371,327.5629.11%0.660.920.6444.3%23.12,493 30.82 0.95 0.91
72614,139,869.6128.44%0.680.910.6441.7%22.92,455 30.18 0.94 0.90
82711,923,979.9427.09%0.650.880.6341.9%22.92,430 28.84 0.91 0.87
92811,339,907.3326.70%0.630.870.6142.2%23.02,400 28.36 0.89 0.85
102911,806,343.0327.01%0.620.880.6343.5%23.12,369 28.83 0.93 0.87
113011,213,902.1226.61%0.600.880.6144.7%23.12,340 28.92 0.90 0.88
Test Period for parameter run 1.
First Test Date1996-01-01
Last Test Date2012-02-14

Copyright Trading Blox, LLC 2012. Created on 2012-05-10_15_46_57