Ultimate Algorithmic Trading System

TABLE 3.3
Turtle System 1 with LTLF for the Sample Portfolio
Summary Value Markets PNL
Total Return $667,013.78 @AD $2,890.00
Total Realized Return $652,511.28 @BP ($6,031.25)
Gross Profit $3,632,117.44 @C $5,912.50
Gross Loss −$2,979,606.16 @CC ($19,900.00)
Open Trade P/L $14,502.50 @CL $107,830.00
@CT $7,250.00
Number of Trades $3,301.00 @DX $20,110.00
Number of Winning Trades $1,125.00 @EC $83,300.00
Number of Losing Trades $2,175.00 @ED ($13,356.25)
% Profitable 34.08% @EMD ($30,180.00)
@ES ($23,475.00)
Average Trade $197.67 @FC $4,300.00
Average Trade (%) 0.51% @FV ($1,917.18)
Standard Deviation $3,963.63 @GC $17,970.00
Standard Deviation Trade % 26.13% @HG $114,037.50
Largest Winning Trade $53,275.00 @HO $60,120.20
Largest Losing Trade −$7,925.00 @KC $18,531.25
@KW $2,450.00
Profit Factor 1.22 @LC ($18,630.00)
Average Win/Average Loss 2.36 @LH $28,620.00
Sharpe Ratio 0.15 @NG $64,760.00
K-Ratio 0.22 @OJ $11,230.00
Return Retracement Ratio 1.10 @PL $88,465.00
@RB $46,595.20
Compounded Annual Return 14.96% @S $14,581.25
Compounded Monthly Return 1.15% @SB $9,156.80
@SI $169,050.00
Average Annual Return $44,467.59 @TF ($73,960.00)
Average Annual Return (%) 19.54% @TU ($8,718.73)
Average Monthly Return $3,789.85 @TY $1,725.00
Average Monthly Return (%) 1.59% @US ($10,581.25)
@W ($9,400.00)
Percent Days Profitable 50.69%
Percent Months Profitable 52.27%
Percent Years Profitable 73.33%
83
COMPLETE TRADING ALGORITHMS
Commissions on Currencies $165,375.00
Commissions on Futures $0.00
Commissions on Equities $0.00
Total Commissions $165,375.00
www.rasabourse.com