Ultimate Algorithmic Trading System

TABLE 2.4
Performance of Stochastic Algorithm
Ticker Net Profit Max. Sys DD # Trades Avg P/L Avg Bars Held % of Winners
AD0_E0B −34820 −50330 356 −97.81 7.6 26.69
BP0_E0B 41213 −40563 324 127.2 8.42 31.17
C20_E0B 8400 −15675 358 23.46 7.58 29.89
CC20_E0B 44010 −8170 341 129.06 8.21 35.19
CL20_E0B −54320 −115190 346 −156.99 7.92 27.46
CT20_E0B −5770 −51165 362 −15.94 7.81 30.11
CU0_E0B −287 −53163 348 −0.83 8.01 27.87
DX20_E0B 4120 −20390 362 11.38 7.33 27.9
ED0_E0B −4066 −4103 255 −15.94 8.93 21.96
EMD0_E0B −53730 −89300 350 −153.51 7.29 24.86
ES0_E0B −52200 −75975 359 −145.4 7.15 25.07
FC0_E0B −17425 −32575 369 −47.22 7.41 26.83
FV0_E0B −17699 −25463 345 −51.3 7.66 25.8
GC20_E0B −27470 −67650 353 −77.82 7.54 29.18
HG20_E0B −48938 −106225 343 −142.67 7.65 26.82
HO20_E0B 36343 −96319 340 106.89 8.07 30
KC20_E0B 16838 −30375 334 50.41 8.26 28.74
KW20_E0B −188 −41688 350 −0.54 7.67 30.86
LB0_E0B 5302 −34562 418 12.68 6.53 28.95
LC0_E0B 42500 −8750 344 123.55 7.98 34.3
LH0_E0B −14110 −17640 363 −38.87 7.2 26.17
MP0_E0B 1730 −10580 297 5.82 8.34 28.96
NG20_E0B −193860 −199740 336 −576.96 7.95 25.3
NK0_E0B 17300 −38025 375 46.13 7.34 30.4
OJ20_E0B 34275 −8055 321 106.78 8.3 32.4
PL20_E0B 25415 −40470 341 74.53 7.91 30.5
RB0_E0B −48266 −101884 406 −118.88 5.96 28.33
S20_E0B −48888 −61063 367 −133.21 7.18 26.16
SB20_E0B −7045 −33309 380 −18.54 6.9 28.68
SI20_E0B −122305 −186355 323 −378.65 8.44 27.86
TF0_E0B −48910 −80540 333 −146.88 7.56 26.43
TU0_E0B −21736 −24441 309 −70.34 8.3 24.92
TY0_E0B −37139 −54734 350 −106.11 7.52 25.71
US0_E0B −74827 −74859 359 −208.43 7.67 25.07
W20_E0B −27838 −43613 351 −79.31 7.98 29.06
47
STOCHASTICS AND AVERAGES AND RSI! OH, MY!
www.rasabourse.com