Ultimate Algorithmic Trading System

TABLE 2.3
Performance of RSI Failure Swing Algorithm
Ticker Net Profit # Trades Avg P/L Avg Bars Held
@KC $11,381.25 45 $252.92 16.58 days
@SB −$8,162.60 40 −$198.40 15.13 days
@ES −$20,375.00 39 −$522.44 12.44 days
@DX −$23,245.00 44 −$528.30 13.89 days
@C $6,312.50 40 $157.81 13.38 days
@BP −$1,225.00 38 −$32.24 18.66 days
@CT −$21,485.00 47 −$456.60 13.83 days
@OJ $7,115.00 53 $134.25 18.49 days
@CC $18,785.00 55 $324.00 14.36 days
@HG −$14,250.00 51 −$279.41 17.8 days
@EC −$35,550.00 43 −$826.74 17.33 days
@HO −$58,426.40 52 −$1,123.58 12.42 days
@TU −$7,850.00 42 −$186.90 16.26 days
@US −$11,568.75 42 −$275.45 17.62 days
@FV −$4,939.06 43 −$114.86 13.86 days
@ED $3,025.00 44 $68.75 18.18 days
@TY −$6,540.63 43 −$152.11 14.21 days
@CL −$45,050.00 52 −$866.35 12.25 days
@RB −$51,377.40 45 −$1,141.72 17.24 days
@PL $7,980.00 41 $194.63 13.83 days
@GC $7,570.00 46 $164.57 18.26 days
@AD −$27,980.00 44 −$635.91 14.93 days
@SI −$9,300.00 53 −$175.47 12.34 days
@NG $28,730.00 38 $756.05 15.76 days
@EMD −$20,780.00 43 −$483.26 13.05 days
@TF $16,760.00 40 $419.00 15.35 days
@S $10,325.00 38 $271.71 14.18 days
@W −$3,112.50 35 −$88.93 14.71 days
@LH $15,190.00 41 $370.49 16.41 days
@LC −$21,160.00 29 −$729.66 12.9 days
@FC −$25,212.50 37 −$681.42 12.92 days
@KW $8,925.00 24 $371.88 14.42 days
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STOCHASTICS AND AVERAGES AND RSI! OH, MY!
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