Ultimate Algorithmic Trading System

TABLE 2.6
Performance of CCI Algorithm as Coincident Indicator
Ticker Net Profit Max. Sys DD # Trades Avg P/L Avg Bars Held % of Winners
54
STOCHASTICS AND AVERAGES AND RSI! OH, MY!
AD0_E0B 36660.0 −30990 105 349.14 32.94 42.86
BP0_E0B −35562.5 −95325 106 −335.5 32.35 34.91
C20_E0B −12000.0 −36738 104 −115.38 31.46 35.58
CC20_E0B −51890.0 −59700 112 −463.3 29.7 29.46
CL20_E0B 55630.0 −71870 111 501.17 31.23 39.64
CT20_E0B −16015.0 −39350 124 −129.15 27.79 37.1
CU0_E0B 25037.5 −72988 103 243.08 32.71 41.75
DX20_E0B 40065.0 −23940 106 377.97 33.84 43.4
ED0_E0B 6471.9 −2294 95 68.13 36.76 48.42
EMD0_E0B 18790.0 −56220 101 186.04 34.5 42.57
ES0_E0B 23250.0 −38975 96 242.19 36.84 39.58
FC0_E0B 37612.5 −22688 114 329.93 28.22 45.61
FV0_E0B 26687.9 −13273 104 256.61 34.76 41.35
GC20_E0B −18150.0 −76330 102 −177.94 35.28 39.22
HG20_E0B 105212.5 −52388 97 1084.66 35.79 47.42
HO20_E0B 15036.0 −128789 107 140.52 31.31 36.45
KC20_E0B 15881.3 −61125 103 154.19 32.87 34.95
KW20_E0B −26350.0 −50213 116 −227.16 28.53 32.76
LB0_E0B −7458.0 −40667 126 −59.19 25.39 39.68
LC0_E0B −3700.0 −22240 100 −37 33.59 39
LH0_E0B −4210.0 −24600 110 −38.27 31.46 36.36
MP0_E0B 2385.0 −12575 101 23.61 34.02 35.64
NG20_E0B 84340.0 −118220 96 878.54 34.81 44.79
NK0_E0B 29625.0 −43025 102 290.44 32 41.18
OJ20_E0B −23430.0 −31785 111 −211.08 29.85 34.23
PL20_E0B −19845.0 −85060 116 −171.08 28.65 37.93
RB0_E0B 78246.0 −91774 118 663.1 25.95 43.22
S20_E0B 0.0 0 0 N/A N/A N/A
SB20_E0B 23598.4 −16733 108 218.5 30.12 42.59
SI20_E0B −97730.0 −186135 113 −864.87 31.5 34.51
TF0_E0B −30550.0 −55750 92 −332.07 35.45 36.96
TU0_E0B 21468.0 −8188 93 230.84 38.05 38.71
TY0_E0B 6578.6 −22531 98 67.13 35.56 36.73
US0_E0B 40874.3 −28375 99 412.87 35.38 41.41
W20_E0B 0.0 0 0 N/A N/A N/A
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