James Test

8/6/2019 James Test

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Stepped Parameter Summary Performance

Test Ending Balance CAGR% MARModifiedSharpe

AnnualSharpe

Max TotalEquity DD

LongestDrawdown

# Trades

1 363,740,511,653.08 36.24% 0.95 1.26 0.78 37.9% 23.5 3,830

of 7Trading Blox Summary Test Results

5/31/2011file://C:\TradingBlox for WORK2\Results\Test Suite LTB 2011-05-31_07_39_10.htm

8/6/2019 James Test




8/6/2019 James Test


Yearly Performance Summary

Year Days Closed Balance End Total Equity Total Equity Gain Gain % # Trades

1970 365 1,022,184.47 1,090,929.37 90,929.37 9.1% 34

1971 365 1,025,257.11 1,149,691.11 58,761.73 5.4% 51

1972 366 1,213,163.62 1,553,043.18 403,352.08 35.1% 37

1973 365 2,669,500.13 2,874,009.55 1,320,966.37 85.1% 33

1974 365 4,218,698.15 4,468,433.15 1,594,423.60 55.5% 43

1975 365 4,130,539.42 4,519,703.98 51,270.83 1.1% 40

1976 366 4,500,191.34 4,833,942.95 314,238.97 7.0% 65

1977 365 5,116,760.15 5,536,938.15 702,995.20 14.5% 52

1978 365 6,516,568.13 6,844,953.29 1,308,015.14 23.6% 53

1979 365 13,015,858.24 17,920,280.04 11,075,326.75 161.8% 51

1980 366 16,468,384.56 16,909,330.72 -1,010,949.32 -5.6% 55

1981 365 25,081,623.24 28,062,107.42 11,152,776.70 66.0% 33

1982 365 31,906,608.56 32,705,633.70 4,643,526.27 16.5% 60

1983 365 32,763,958.90 33,894,200.70 1,188,567 .00 3.6% 68

1984 366 42,342,789.93 48,722,732.88 14,828,532.18 43.7% 53

1985 365 59,086,152.88 62,527,575.38 13,804,842.51 28.3% 54

1986 365 64,464,129.70 69,898,784.14 7,371,208.76 11.8% 80

1987 365 88,634,520.07 103,964,836.76 34,066,052.62 48.7% 79

1988 366 93,917,694.29 98,223,330.12 -5,741,506.64 -5.5% 95

1989 365 98,677,080.74 108,478,458.66 10,255,128.53 10.4% 99

1990 365 167,859,393.47 187,038,275.65 78,559,816.99 72.4% 68

1991 365 214,222,887.85 264,342,377.83 77,304,102.18 41.3% 99

1992 366 292,971,983.88 309,169,690.15 44,827,312.32 17.0% 111

1993 365 362,008,754.67 415,559,565.94 106,389,875.79 34.4% 116

1994 365 555,159,813.12 670,230,305.76 254,670,739.81 61.3% 116



8/6/2019 James Test


1995 365 731,884,021.60 861,660,074.95 191,429,769.20 28.6% 106

1996 366 1,023,476,192.26 1,058,763,101.36 197,103,026.41 22.9% 102

1997 365 1,002,505,554.41 1,135,605,651.65 76,842,550.29 7.3% 118

1998 365 1,850,315,636.67 1,934,930,667.57 799,325,015.92 70.4% 114

1999 365 1,619,191,122.85 2,012,923,706.45 77,993,038.88 4.0% 136

2000 366 3,467,410,070.11 4,168,355,607.75 2,155,431,901.31 107.1% 129

2001 365 6,478,987,527.54 6,542,884,934.86 2,374,529,327.10 57.0% 126

2002 365 12,286,353,050.71 15,408,930,823.60 8,866,045,888.75 135.5% 125

2003 365 16,667,065,763.03 19,523,478,377.50 4,114,547,553.90 26.7% 144

2004 366 29,300,790,038.51 31,875,557,493.68 12,352,079,116.18 63.3% 139

2005 365 35,742,969,852.24 43,728,782,269.73 11,853,224,776.04 37.2% 142

2006 365 50,279,359,231.45 55,673,339,108.69 11,944,556,838.96 27.3% 154

2007 365 70,524,350,371.23 80,750,898,372.12 25,077,559,263.43 45.0% 153

2008 366 208,206,471,412.14 224,968,065,607.41 144,217,167,235.29 178.6% 122

2009 365 238,829,310,699.78 249,791,769,990.47 24,823,704,383.06 11.0% 139

2010 365 323,177,052,604.15 372,806,126,000.17 123,014,356,009.70 49.2% 142

2011 150 363,740,511,653.08 363,740,511,653.08 -9,065,614,347.09 -2.4% 94

Trading Performance

CAGR % 36.24%

MAR Ratio 0.95

RAR % 35.28%

R-Cubed 0.98

Robust Sharpe Ratio 1.28

Margin to Equity Ratio 38.12%

Daily Return % 0.1286%

Daily Geometric Return % 0.0847%

Daily Standard Deviation % 1.41%

Daily Downside Deviation % 1.00%

Daily Sharpe 0.085

Daily Geo Sharpe 0.054

Daily Sortino 0.120

Modified Sharpe Ratio 1.26

Annual Sharpe Ratio 0.78

Annual Sortino Ratio 18.29

Monthly Sharpe Ratio 0.33

Monthly Sortino Ratio 0.70

Calmar Ratio 1.21

R-Squared 0.980

Maximum Total Equity Drawdown % 37.95%

Longest Total Equi ty Drawdown (months) 23.49

Average Max TE Drawdown % 31.05%

Average Max TE Drawdown Length (months) 19.57

Maximum Monthly Total Equity Drawdown % 30.05%

Maximum Monthly Closed Equity Drawdown % 26.85%

Maximum Closed Equity Drawdown % 27.50%

Average Closed Equity Drawdown % 5.02%

Round Turns Per Million 1,526

Round Turns 1,430,730,559

Total Trades 3,830

Start Account Balance 1,000,000.00

Total Win Dollars 859,505,725,407.85

Total Loss Dollars 495,766,213,754.77

Total Profit 363,739,511,653.08

Earned Interest 0.00

Margin Interest 0.00

End Account Balance 363,740,511,653.08

End Open Equity 0.00

End Total Equity 363,740,511,653.08

Highest Total Equity 438,759,309,145.64

Highest Closed Equity 377,910,180,380.48

Total Commissions 42,921,916,770.00

Commission per Round Turn 30.00

Total Slippage 53,449,609,493.00

Slippage per Round Turn 37.36

Total Forex Carry 0.00

Total Dividends 0.00

Total Other Expenses 0.00

Monte Carlo Confidence Level Statistics

Win/Loss Statistics

Wins 1360 35.5%

Losses 2470 64.5%

Total 3830 100.0%

Winning Months 317 63.8%

Losing Months 180 36.2%

Total 497 100.0%

Average Risk Percent 2.01%

Average Win Percent 2.22%

Average Loss Percent 0.59%

Average Win Dollars 631,989,503.98

Average Loss Dollars 200,715,066.30

Average Trade Percent 0.41%

Average Trade Dollars 94,971,151.87

Profit Factor 1.73

Percent Profit Factor 2.08

Expectation 0.20

Equity Management

Test Starting Equity 1,000,000.00

Order Generation Equity 0.00

Order Generation Equity High 0.00

Leverage (fraction) 1.00

Trading Equity Base Total Equity

Drawdown Reduction Threshold (%) 0.00%

Drawdown Reduction Amount (%) 0.00%

Global Simulation Parameters

Earn Interest FALSE

Earn Dividends TRUE

Pay Margin on Stocks TRUE

Commission per Stock Trade 0.00

Commission per Stock Share 0.01

Commission per Contract 30.00

Commission by Stock Value (%) 0.00%

Slippage Percent 5.00%

Minimum Slippage 15.00

Forex Trade Size 1,000.00Account for Forex Carry TRUE

Use Pip Based Slippage FALSE

Account for Contract Rolls TRUE

Roll Slippage in % of ATR 5.00%

Minimum Stock Volume 10,000

Minimum Futures Volume 0

Max Percent Volume Per Trade 0.00%

Entry Day Retracement 0.00%

Max Margin Equity 100.00%

Trade on Lock Days FALSE

Convert Profit by Stock Split TRUE

Trade Always on Tick TRUE



8/6/2019 James Test


Copyright Trading Blox, LLC 2011

90% Return 30.30%

90% Sharpe 0.05

90% MAR 0.70

90% R Squared 0.975

90% Maximum Drawdown 47.46%

90% Second Largest Drawdown 38.70%

90% Third Largest Drawdown 34.86%

90% Longest Drawdown 45.7

90% Second Longest Drawdown 30.2

90% Third Longest Drawdown 23.6

Test Period

First Test Date 1970-01-01

Last Test Date 2011-05-30

Smart Fill Exit TRUE

Use Start Date Stepping FALSE

Use Broker Positions FALSE

Preferences

Risk Free Rate 3.00%

Load Volume TRUE

Load Unadjusted Close TRUE

Raise Negative Data FALSE

Process Weekly Bars TRUE

Process Monthly Bars TRUE

Process Daily Bars TRUE

Process Weekends TRUE

Additional Years of Data 5.00

Instrument Performance Summary

Symbol Wins % Losses % TradesWin

Months%

LossMonths

%Avg. Win

%Avg.

Loss %Avg. Trade

%% ProftFactor

AD 28 34.6% 53 65.4% 81 377 75.9% 120 24.1% 1.87% 0.54% 0.30% 1.84

C2 42 31.8% 90 68.2% 132 285 57.3% 212 42.7% 2.02% 0.67% 0.19% 1.41

CON 22 43.1% 29 56.9% 51 417 83.9% 80 16.1% 2.11% 0.76% 0.47% 2.09

CT2 48 35.0% 89 65.0% 137 291 58.6% 206 41.4% 2.13% 0.49% 0.43% 2.35

CU 50 43.1% 66 56.9% 116 320 64.4% 177 35.6% 1.93% 0.60% 0.49% 2.45

DA2 14 35.0% 26 65.0% 40 432 86.9% 65 13.1% 4.91% 0.60% 1.33% 4.41

DX 31 41.9% 43 58.1% 74 379 76.3% 118 23.7% 1.67% 0.49% 0.42% 2.48

EBL 18 42.9% 24 57.1% 42 438 88.1% 59 11.9% 1.13% 0.55% 0.17% 1.54

EBM 16 37.2% 27 62.8% 43 438 88.1% 59 11.9% 1.52% 0.48% 0.26% 1.88

EBS 12 26.7% 33 73.3% 45 435 87.5% 62 12.5% 1.65% 0.58% 0.01% 1.03

ED 32 47.1% 36 52.9% 68 378 76.1% 119 23.9% 2.79% 0.56% 1.01% 4.40

FC 37 28.9% 91 71.1% 128 292 58.8% 205 41.2% 2.13% 0.59% 0.20% 1.47

FCH 16 43.2% 21 56.8% 37 441 88.7% 56 11.3% 2.67% 0.54% 0.85% 3.78

FEI 13 44.8% 16 55.2% 29 440 88.5% 57 11.5% 1.91% 0.75% 0.44% 2.07

FF2 25 54.3% 21 45.7% 46 416 83.7% 81 16.3% 3.97% 0.92% 1.74% 5.13

GC2 43 37.7% 71 62.3% 114 308 62.0% 189 38.0% 2.34% 0.56% 0.54% 2.54

HG2 46 29.3% 111 70.7% 157 275 55.3% 222 44.7% 2.37% 0.60% 0.27% 1.65

ICL 3 14.3% 18 85.7% 21 474 95.4% 23 4.6% 2.38% 0.46% -0.06% 0.86

LB 47 32.9% 96 67.1% 143 281 56.5% 216 43.5% 2.35% 0.66% 0.33% 1.73

LC 48 32.9% 98 67.1% 146 280 56.3% 217 43.7% 1.75% 0.57% 0.19% 1.51

LCO 28 41.8% 39 58.2% 67 391 78.7% 106 21.3% 2.06% 0.59% 0.52% 2.51

LGO 34 35.1% 63 64.9% 97 347 69.8% 150 30.2% 2.27% 0.71% 0.33% 1.72

LH 47 32.4% 98 67.6% 145 271 54.5% 226 45.5% 1.67% 0.58% 0.15% 1.39

LRC 42 34.4% 80 65.6% 122 288 57.9% 209 42.1% 3.14% 0.68% 0.63% 2.42LSU 24 33.8% 47 66.2% 71 384 77.3% 113 22.7% 2.73% 0.60% 0.53% 2.32

MW 49 32.9% 100 67.1% 149 279 56.1% 218 43.9% 2.21% 0.63% 0.31% 1.73

NBB 14 33.3% 28 66.7% 42 421 84.7% 76 15.3% 5.37% 1.05% 1.09% 2.56

NE 19 44.2% 24 55.8% 43 434 87.3% 63 12.7% 2.85% 0.88% 0.77% 2.57

NG2 26 36.1% 46 63.9% 72 399 80.3% 98 19.7% 1.29% 0.51% 0.14% 1.42

NK 21 30.9% 47 69.1% 68 403 81.1% 94 18.9% 2.02% 0.48% 0.29% 1.89

O30 23 47.9% 25 52.1% 48 410 82.5% 87 17.5% 1.87% 0.66% 0.55% 2.61

PA2 42 36.5% 73 63.5% 115 319 64.2% 178 35.8% 2.35% 0.46% 0.57% 2.95

PL2 51 36.4% 89 63.6% 140 275 55.3% 222 44.7% 1.73% 0.58% 0.26% 1.71

RB2 30 31.3% 66 68.8% 96 365 73.4% 132 26.6% 1.68% 0.55% 0.15% 1.40

RR2 24 32.0% 51 68.0% 75 378 76.1% 119 23.9% 2.39% 0.52% 0.41% 2.17

RS 50 33.3% 100 66.7% 150 273 54.9% 224 45.1% 2.04% 0.59% 0.28% 1.71

RY 15 37.5% 25 62.5% 40 439 88.3% 58 11.7% 2.70% 0.46% 0.73% 3.55

SB2 51 39.5% 78 60.5% 129 282 56.7% 215 43.3% 2.43% 0.61% 0.59% 2.62

SI2 49 30.6% 111 69.4% 160 284 57.1% 213 42.9% 2.58% 0.55% 0.41% 2.08

SM2 45 31.5% 98 68.5% 143 275 55.3% 222 44.7% 1.95% 0.60% 0.21% 1.51

SSG 15 50.0% 15 50.0% 30 446 89.7% 51 10.3% 1.77% 0.40% 0.69% 4.46

TF 10 41.7% 14 58.3% 24 457 92.0% 40 8.0% 1.50% 0.32% 0.44% 3.36

TU 27 49.1% 28 50.9% 55 416 83.7% 81 16.3% 2.43% 0.53% 0.93% 4.43

TY 33 33.3% 66 66.7% 99 363 73.0% 134 27.0% 1.80% 0.54% 0.24% 1.67


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