Ultimate Algorithmic Trading System

60
STOCHASTICS AND AVERAGES AND RSI! OH, MY!
TABLE 2.7 Examples of Trades Generated by Stochastics
Simple Moving Average Exponential Moving Average Weighted Moving Average
%of
Winners
Avg
Bars
Held
Trds Avg
Profit/
Loss
MAX.
Sys.
Drawdown
Net
Profit
%of
Winners
Avg
Bars
Held
Trds Avg
Profit/
Loss
MAX.
Sys.
DD
Net
Profit
%of
Winners
Avg
Bars
Held
Trds Avg
Profit/
Loss
MAX.
Sys.
DD
Ticker Net
Profit
AD0_E0B −2640 −70090 404 −6.53 18.62 15.59 7700 −53380 446 17.26 16.96 16.14 −3270 −73090 493 −6.63 15.59 17.04
BP0_E0B 74113 −179000 440 168.44 18.52 15.91 58013 −183950 488 118.88 16.8 16.6 40463 −203063 566 71.49 14.62 18.2
C20_E0B 18213 −26463 378 48.18 21.41 17.72 −29388 −46100 484 −60.72 16.94 14.67 −10388 −32075 512 −20.29 16.07 17.77
CC20_E0B −117190 −120040 487 −240.64 16.74 14.37 −108430 −111280 533 −203.43 15.38 15.38 −109730 −113060 575 −190.83 14.33 16
CL20_E0B 171330 −87180 375 456.88 21.48 19.47 126550 −85620 425 297.76 19.07 19.76 148610 −71240 519 286.34 15.8 20.81
CT20_E0B 39545 −48520 435 90.91 18.64 17.01 34695 −39435 485 71.54 16.82 16.49 1405 −68055 561 2.5 14.68 17.47
CU0_E0B 90850 −54625 401 226.56 20.23 18.95 94900 −55238 437 217.16 18.65 18.76 120775 −67600 477 253.2 17.17 20.75
DX20_E0B 16685 −49235 400 41.71 19.82 16.5 34655 −27280 431 80.41 18.46 19.26 41255 −30580 490 84.19 16.53 18.98
ED0_E0B −17053 −19866 355 −48.04 22.72 12.68 −11034 −14566 339 −32.55 23.75 14.16 −15378 −19566 414 −37.15 19.63 14.98
EMD0_E0B 20970 −34960 293 71.57 20.91 18.43 26900 −32140 340 79.12 18.16 19.71 −88920 −89980 450 −197.6 14.14 17.56
ES0_E0B −50000 −67588 470 −106.38 17.43 14.68 −69200 −70688 500 −138.4 16.44 15.4 −75350 −75613 578 −130.36 14.36 17.47
FC0_E0B 49313 −29350 358 137.74 22.56 18.16 83288 −18063 374 222.69 21.64 22.73 73038 −33000 480 152.16 17.08 20.21
FV0_E0B −1805 −28908 345 −5.23 20.61 15.07 17213 −21032 381 45.18 18.76 17.32 −15784 −35951 479 −32.95 15.29 16.28
GC20_E0B −114780 −125070 471 −243.69 17.32 12.95 −127580 −137870 565 −225.81 14.6 13.63 −126260 −137290 591 −213.64 14.01 14.89
HG20_E0B 134138 −39163 417 321.67 19.43 17.03 79013 −58988 477 165.64 17.11 17.61 61863 −74013 541 114.35 15.21 19.59
HO20_E0B 22025 −154637 457 48.19 17.8 15.54 418 −152914 507 0.82 16.15 17.16 39118 −102509 571 68.51 14.45 18.04
KC20_E0B 99019 −152544 405 244.49 19.92 17.04 45844 −167219 501 91.5 16.3 15.97 122619 −93356 517 237.17 15.82 18.76
KW20_E0B −16163 −41075 465 −34.76 17.59 15.7 2588 −29713 495 5.23 16.59 16.77 −42938 −59900 591 −72.65 14.06 16.24
LB0_E0B 87685 −26515 392 223.69 20.69 20.92 68033 −23342 442 153.92 18.46 20.14 70031 −26345 534 131.14 15.46 21.35
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