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Part IV > System Performance

System Performance

We can use some of Trading Recipes’s analysis tools to see how our Trend Following system performed over the entire portfolio. The portfolio summary provides a wealth of useful information. Chart A3.3 shows the statistics for our 10-year in-sample test over 15 markets. Note that, for the sake of simplicity, commission and slippage costs (which can be very significant) were not factored into the backtest.

Chart A3.3. 10-Year In-Sample Test
Initial Balance1,000,000$ Won13,774,599
Net Win Loss5,732,456$ Lost8,770,406
Ending Equity6,732,456Incentive + Fees0
ROI573.25%Other Credits3,143
Compound Annual ROI21.02%Other Debits0
Max Drawdown %23.05%  
Max Drawdown % Date19931101Long Wins113
Longest Drawdown in Years0.28Long Losses150
Longest Drawdown Start Date19920901Short Wins132
Longest Drawdown End Date19940506Short Losses181
MAR Ratio0.91Long $ Won8,030,086
Sharpe Ratio1.02Long $ Lost4,104,701
Return Retracement Ratio2.88Short $ Won5,744,513
Sterling Ratio0.68Short $ Lost4,665,705
Std. Dev. Daily % Returns1.23%Largest Winning Trade480,563
Average Expectation Value20.33Largest Losing Trade141,900
Expectation32.79%Average Winning Trade56,223
DU Area / DD Area1.21Average Losing Trade26,497
Percent New Highs6.61%Max Consecutive Wins8
  Max Consecutive Losses15
Trades576Days Winning1,350
Trades Rejected85Days Losing1,176
Losses331Number of Margin Calls0
Percent Wins42.53%$ Largest Margin Call0
Avg $Win to Avg $Loss2.12  
Average Days in Winning Trade37Size Adjustments0
Average Days in Losing Trade15Size Adjusted Items0
Start Date19910102  
End Date20001231Total Slippage + Commission0
Max Items Held588PSR run time (H:M:S)0:00:03
Total Items Traded18,879  



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