Ultimate Algorithmic Trading System

TABLE 2.8 Performance of Bollinger Band Algorithm Version 1
Bollinger Band [60 Days 2 Standard Deviations]
Ticker Net Profit Max DD # Trades Avg P/L Avg Bars Held % Winners
<Portfolio> 1319369 −380897 3580 369 44 36
AD0_E0B 30100 −25600 95 317 45 35
BP0_E0B 86888 −90825 107 812 41 34
C20_E0B −1263 −23038 119 −11 42 35
CC20_E0B −67870 −69300 123 −552 33 22
CL20_E0B 168160 −55940 101 1665 47 47
CT20_E0B 54050 −34175 112 483 40 31
CU0_E0B 167738 −27425 91 1843 50 44
DX20_E0B 84575 −13820 94 900 49 47
ED0_E0B 4997 −3363 105 48 48 31
EMD0_E0B −18880 −38940 92 −205 39 29
ES0_E0B −41925 −52213 120 −349 36 31
FC0_E0B 55438 −25650 101 549 49 41
FV0_E0B 23631 −15335 89 266 45 39
GC20_E0B −19280 −59660 111 −174 39 32
HG20_E0B 76650 −42513 111 691 44 37
HO20_E0B 74941 71391 116 646 39 37
KC20_E0B 100294 −108269 99 1013 45 38
KW20_E0B 10800 −21350 109 99 41 31
LB0_E0B 37973 −24997 109 348 44 38
LC0_E0B −11770 −30010 121 −97 39 28
LH0_E0B 10880 −25480 113 96 42 37
MP0_E0B 6755 −25070 68 99 45 37
NG20_E0B 175690 −99650 87 2019 47 45
NK0_E0B 48150 −41675 85 566 46 36
OJ20_E0B −10130 −45408 110 −92 43 36
PL20_E0B 55340 −34340 109 508 41 31
RB0_E0B 124147 −58171 109 1139 44 39
S20_E0B 19475 −38125 115 169 41 36
SB20_E0B 31944 −13788 100 319 48 42
SI20_E0B −25660 −113680 111 −231 39 29
TF0_E0B −14570 −51590 49 −297 41 37
TU0_E0B 37075 −6975 78 475 50 42
TY0_E0B 42466 −19490 98 433 46 40
US0_E0B 22038 −42338 109 202 42 39
W20_E0B −19475 −34225 114 −171 38 32
65
STOCHASTICS AND AVERAGES AND RSI! OH, MY!
www.rasabourse.com