Ticker | Trade | Date | Price | Ex. date | Ex. Price | Points |
SPIM_CCB | Long | 30/09/2008 | 4494 | 1/10/2008 | 4885 | 391 |
SPIM_CCB | Short | 2/10/2008 | 4875 | 3/10/2008 | 4670 | 205 |
SPIM_CCB | Long | 6/10/2008 | 4575 | 7/10/2008 | 4685 | 110 |
SPIM_CCB | Long | 7/10/2008 | 4420 | 7/10/2008 | 4685 | 265 |
SPIM_CCB | Long | 10/10/2008 | 4080 | 14/10/2008 | 4500 | 420 |
SPIM_CCB | Short | 14/10/2008 | 4500 | 16/10/2008 | 4055 | 445 |
SPIM_CCB | Long | 24/10/2008 | 3903 | 29/10/2008 | 3980 | 77 |
SPIM_CCB | Short | 30/10/2008 | 3917 | 6/11/2008 | 4176 | -259 |
SPIM_CCB | Short | 3/11/2008 | 4121 | 6/11/2008 | 4176 | -55 |
SPIM_CCB | Short | 5/11/2008 | 4330 | 6/11/2008 | 4176 | 154 |
SPIM_CCB | Open Short | 11/11/2008 | 4018 | 11/11/2008 | 3993 | 25 |
SPIM_CCB | Open Long | 11/11/2008 | 3980 | 11/11/2008 | 3993 | 13 |
New trades since last update shaded
Statistics
Total | 1791 |
No Win | 10 |
No Loss | 2 |
Total | 12 |
Win % | 83% |
Avg Win | 211 |
Avg Loss | -314 |
W/L | 0.67 |
Expectancy | 123 |
Comments - the system experienced a very large intra trade drawdown on that losing trade which was more than a tad annoying. On review I found I had included a model with a very small trade size (about 12) which was obviously curve fitted to the recent short market. Removing that model would have reduced the total return but W/L ratio increased & open drawdown decreased significantly. Lesson of the day - don't get too greedy & curve fit data!
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