Test | Entry Breakout (days) | Ending Balance | CAGR% | MAR | Modified Sharpe | Annual Sharpe | Max Total Equity DD | Longest Drawdown | # Trades | RAR | R3 | R Sharpe | |
1 | 20 | 18,279,418.23 | 30.51% | 0.75 | 0.93 | 0.64 | 40.5% | 22.5 | 2,735 | 31.84 | 0.96 | 0.91 | |
2 | 21 | 18,332,849.62 | 30.53% | 0.74 | 0.94 | 0.66 | 41.3% | 22.9 | 2,680 | 31.60 | 0.94 | 0.91 | |
3 | 22 | 16,870,179.09 | 29.86% | 0.66 | 0.92 | 0.64 | 45.0% | 23.1 | 2,625 | 31.06 | 0.92 | 0.89 | |
4 | 23 | 18,766,720.01 | 30.72% | 0.73 | 0.94 | 0.65 | 42.2% | 22.9 | 2,567 | 31.89 | 0.99 | 0.92 | |
5 | 24 | 18,944,134.82 | 30.80% | 0.72 | 0.95 | 0.66 | 42.5% | 23.0 | 2,516 | 32.59 | 1.04 | 0.96 | |
6 | 25 | 15,371,327.56 | 29.11% | 0.66 | 0.92 | 0.64 | 44.3% | 23.1 | 2,493 | 30.82 | 0.95 | 0.91 | |
7 | 26 | 14,139,869.61 | 28.44% | 0.68 | 0.91 | 0.64 | 41.7% | 22.9 | 2,455 | 30.18 | 0.94 | 0.90 | |
8 | 27 | 11,923,979.94 | 27.09% | 0.65 | 0.88 | 0.63 | 41.9% | 22.9 | 2,430 | 28.84 | 0.91 | 0.87 | |
9 | 28 | 11,339,907.33 | 26.70% | 0.63 | 0.87 | 0.61 | 42.2% | 23.0 | 2,400 | 28.36 | 0.89 | 0.85 | |
10 | 29 | 11,806,343.03 | 27.01% | 0.62 | 0.88 | 0.63 | 43.5% | 23.1 | 2,369 | 28.83 | 0.93 | 0.87 | |
11 | 30 | 11,213,902.12 | 26.61% | 0.60 | 0.88 | 0.61 | 44.7% | 23.1 | 2,340 | 28.92 | 0.90 | 0.88 | |
Test Period for parameter run 1. | ||
First Test Date | 1996-01-01 | |
Last Test Date | 2012-02-14 | |