Simulation Results for TradeScience EOD

SwamiNathan

Well-Known Member
#1
In this thread I planning to post the results of my system - TradeScience EOD system in a periodical manner, say monthly. Initially I am posting the results for last three years, i.e from 18.9.2006 to 17.9.2009.

We will again have a review for 31.10.2009

Simulation Results for TradeScience EOD

Difference Between real signal and Simulation is - In simulation system will not buy if the stock is freezed but real signal will show Buy.

Parameters

Only Long
Portfolio Simulation
Pyramid Profits


Trading Capital: $5000000
Transaction Cost Each way:0.30%
Portfolio Limit: 100%
Margin Requirement: 100%
Maximum Open Positions: 100
Fraction of total trading capital per trade: 1%
Entry and Exits: Open Price delayed by one bar


Simulation Summary


Trade Summary
Earliest Date in the Trade Database: 18/09/2006
Latest Date in the Trade Database: 17/09/2009

Total Trading duration: 3 Years

Profit Summary
Profit Status: PROFITABLE
Starting Capital: $5,000,000.00
Finishing Capital: $9,658,495.21
Gross Trade Profit: $11,179,631.01 (223.59%)
Gross Trade Loss: ($6,521,135.80) (-130.42%)
Total Net Profit: $4,658,495.21 (93.17%)
Average Profit per Trade: $2,337.43
Profit Factor: 1.7144
Profit Index: 41.67%
Total Transaction Cost: $724,943.97
Annualized Compound Interest Rate: 24.5412%

Trade Statistics
Trades Processed: 3477
Trades Taken: 1993
Trades Rejected: 1484
Winning Trades: 808 (40.54%)
Losing Trades: 1185 (59.46%)
Average Winning Trade: $13,836.18
Average Losing Trade: ($5,503.07)
Average Win/Average Loss: 2.5143

Normal Exit: 1820 (91.32%) Open Trade: 101 (5.07%) Profit Stop: 72 (3.61%)

Trade Duration Statistics
Average Trade Duration:
Winning and Losing Trades 36.45 (days)
Winning Trades 52.87 (days)
Losing Trades 25.26 (days)

Maximum Percentage Drawdown/(Date): 4.6300% (24/12/2008)



Performance Summary Report

Trade Statistics : Long
Trades Taken: 1993
Total Net Profit: $4,658,495.21
Average Trade Profit: $2,337.43
Maximum Trade Profit: 105,503.83
Minimum Trade Profit: (70,130.44)
Winning Trades: 808
Losing Trades: 1185
Profitable Trades:40.54%
Losing Trades:59.46%
Average Winning Trade Profit: $13,836.18
Average Losing Trade Profit: ($5,503.07)

For Charts and Trade log, signal database use the following links



http://www.4shared.com/file/133507943/4357af16/Trade_Science_Capital_in_trades.html
http://www.4shared.com/file/133507978/ffa8255d/Trade_Science_EOD_Monthly_Returns.html
http://www.4shared.com/file/133508009/905ca8d5/Trade_Science_EOD_Trade_Positions.html
http://www.4shared.com/file/133508038/cc76cb80/Trade_Science_EOD_Yearly_Returns.html
http://www.4shared.com/file/133508072/48cfe79a/Trade_Science_Equity.html
http://www.4shared.com/file/133508115/8133bf88/Trade_Science_Equity_.html

Signal database and trade log
http://www.4shared.com/file/133508136/2a0c8cb0/Signals_Database.html
http://www.4shared.com/file/133508188/2e40787c/Trade_Log_-_Trade_science_EOD.html
 
Last edited:

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