Ultimate Algorithmic Trading System

TABLE 2.1
Performance of Directional Movement Algorithm
Ticker Net Profit Max. Sys DD # Trades Avg P/L Avg Bars Held % of Winners
AD0_E0B −21140.0 −26030 43 −491.63 13.53 32.56
BP0_E0B −5825.0 −27925 39 −149.36 12.74 38.46
C20_E0B 737.5 −10000 43 17.15 15.51 44.19
CC20_E0B −4050.0 −13560 35 −115.71 14.86 42.86
CL20_E0B 41350.0 −26750 36 1148.61 14.67 41.67
CT20_E0B 44530.0 −20220 46 968.04 16.7 39.13
CU0_E0B 5712.5 −20925 47 121.54 15.81 40.43
DX20_E0B 150.0 −9990 51 2.94 14.51 41.18
ED0_E0B 2009.4 −1513 58 34.64 18.12 29.31
EMD0_E0B −33400.0 −43910 31 −1077.42 13.81 29.03
ES0_E0B −18837.5 −23050 26 −724.52 15.96 30.77
FC0_E0B 20087.5 −9588 45 446.39 17.04 35.56
FV0_E0B 8226.4 −7203 49 167.89 17.41 34.69
GC20_E0B −32870.0 −41560 43 −764.42 12.84 27.91
HG20_E0B 300.0 −41338 34 8.82 14.5 29.41
HO20_E0B 20139.0 −40286 46 437.8 13.17 39.13
KC20_E0B −32606.3 −42413 36 −905.73 11.61 25
KW20_E0B 9887.5 −15863 43 229.94 16.56 39.53
LB0_E0B 957.0 −17259 39 24.54 15.62 38.46
LC0_E0B −1230.0 −9550 41 −30 17.24 26.83
LH0_E0B 1510.0 −10710 40 37.75 15.65 37.5
MP0_E0B 4775.0 −5295 33 144.7 14.42 39.39
NG20_E0B 54440.0 −69390 38 1432.63 16.11 39.47
NK0_E0B −8425.0 −15125 28 −300.89 15.39 46.43
OJ20_E0B −16620.0 −17790 45 −369.33 15.18 28.89
PL20_E0B 16610.0 −30895 36 461.39 16.39 33.33
RB0_E0B −17665.2 −46813 26 −679.43 13.62 23.08
S20_E0B −12212.5 −31463 50 −244.25 14.94 28
SB20_E0B 6563.2 −11995 61 107.59 12.95 26.23
SI20_E0B 40400.0 −51735 44 918.18 14.14 25
TF0_E0B −24920.0 −32610 33 −755.15 12.61 24.24
TU0_E0B 12124.8 −4156 42 288.69 17.1 33.33
TY0_E0B 12109.6 −7531 48 252.28 16.69 35.42
US0_E0B 14906.4 −18031 45 331.25 16.67 37.78
W20_E0B −19462.5 −31188 45 −432.5 14.64 26.67
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STOCHASTICS AND AVERAGES AND RSI! OH, MY!
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