CISCO Futures
1-303-306-1521 1-800 800 7227 Fax 1-303-306-1572
http://www.cisco-futures.com
dljones@cisco-futures.com
Background
Drawdown Studies with the Advice Engine Select Data
CISCO Futures© 2001, 2006
Drawdown
All trading methods experience gains and losses. Any loss is a 'drawdown' to the account. The bigger the loss
and the longer the string of net losses the larger the drawdown. Minimizing drawdown is a reasonable goal of
all traders. Probably most effort is put on trade selection (that 'model' that works).
Markets are complex and losses are inevitable. Experience teaches that
loss management is the most important factor in trading. Some parts of account management are relatively
easy to define: avoiding overtrading and over leveraging an account. More difficult is risk management of
ongoing trades. Certain rules are popular (buy two and sell out the first at a propitious time, or enter with
three and follow a scheme to exit and/or reenter, add a put or call to protect a profit, etc., etc.). Such rules
begs the question, relying on a mechanical methodology in lieu of being guided by the market itself.
It is impossible to know exactly what is coming in a complex market. It is possible to know where the
market is now (it's condition), what it is doing and estimate the chances of a change of condition.
Judgement, gained by experience and market
knowledge based on current observation is the key to decision making. In trading it comes down to risk
decisions. How much should I risk on this trade at this point in time? Drawdown analysis is a market connected
way to such risk analysis. The best starting condition is a balanced market. In a balance, the Overlay Demand
Curve is stable, showing well defined upper and lower balance limits.
(It is assumed in the following that you understand the Overlay
Demand Curve. For a refresher, go to Overlay Demand Curve Background.)
The balance region gives the current
value, defined by the market itself. For value to change price must exceed the balance limit.
Consequently, you know that price outside the balance is an alert for a change in market condition from
balance to trend. Again, experience shows that breakouts from balance often return to balance, breakouts being trial
baloons of a sort. As this is being written at 10:45 AM, of the 15 futures on the Advice Engine Marquee,
five have broken
out and four of them have returned to balance. The SP moved out $600 and returned (offering a nice play on
the return). (Note: we are reporting on the SP. To convert to the emini ES (UU on CISCO) simply divide any
dollar amounts by 5. SP and UU must track closely because of arbitrage.)
The Methodology
The Advice Engine Report Part 1 contains all futures in the CISCO list that are in balance at the end
of day (there are typically 125 such balances). There are four balance time periods 5, 10, 15 and 20 day
Overlays. For a 10 day balance to be
posted the 5 day must also be in balance. The 15 day requires confirming 5 and 10 day balances. And so on
for the
20 day balance. 5 day balances alone are not listed in the Report. Consequently, the 10 day balance is
the shortest one confirmed (by the 5 day). A subsection of Part 1 is the Todays Select Trades table.
Select trades are those in Part 1 that are deemed to have exceptional Potential. The following day those
Select Trades that broke out, along with their Potential are Part 2 of the Report. Potential is defined
as the extreme price reached after breakout. For the trader with perfect timing, Potential and gross
gain is synonomous. Thus Potential is an ideal that can be used to measure Opportunity.
CISCO maintains a breakout database with breakout price and time, breakout
direction, risk (the Octant), high price
and time, low price and time and last price (close or effective close) and time.
In the drawdown methodology discussed here it is assumed that the market moves smoothly from
breakout to high or low (whichever comes first) and then to the second extreme.
The low level trading model assumes entry at breakout and then a trailing stop of
the risk (an Octant modified by the percentage selected). For a long entry
followed first by the high, the Potential is the high less the entry price.
If the low comes first and the trailing stop is hit, the Potential is the
low less the stop. The assumption of smooth moves would be unsatisfactory for
an actual trading model but is adequate for mapping the general path and variations of the
market.
Example (Data available approximately 2100h Chicago time)
In the 100% Octant table below the Potl posted is -108 for 050128.
On that day the risk (R) is 238 ($1,190 for SP, $238 for ES/UU)
Breakout Short came at 10:19 at 116750
Entry stop is 116750 + 238 = 116988
The low of the day occurred at 10:20, price = 116620
Resetting the stop: stop = 116620 + 238 = 116858
The high of the day is 117500 at 15:14
As the market rose it passed through 116858, exiting the trade
Loss = 116750 - 116858 = -108
Application of Drawdown (Select) Analysis
The drawdown question is really one of "which stop is best". Best stop can be measured either by return
(averaged over some time period) or by the ratio Reward divided by Risk (R/R). Risk is defined in Overlay
analyses as one Octant, which is one-eighth the balance upper limit - lower limit range. The Octant is always
related closely to the market since market conditions determine the balance range. Further, the Octant is merely
the starting place. In the example below for SP the best results came for a stop that was either 60 percent
or 80 percent of an Octant, depending on the chosen parameter (return per trade or reward to risk ratio).
The procedure to find the exit point is a simple trailing stop, as shown in the example above. It is
assumed that a trade is made at breakout and the market's movement is followed tick by tick.
This drawdown procedure relies on having enough market activity (breakouts) to form valid averages (around ten
cases). In the sample runs below for SP, there were 68 completed trades for 2005. This broke down to 12 for
quarter 1, 12 for quarter 2, 28 for quarter 3 and 16 for quarter 4. So, for 2005, the data would support
studies on a quarterly basis. Each market will be different, but the ease of accessing the data makes
a search easy to do. You can follow a market through a variety of conditions, gaining an insight on how
that market reacts. You can know which of the historical conditions most fit the current, what risk is,
on average, the best for today.
Sample Data
You will be asked to input:
Commodity Name (from a list): e.g. SP
Delivery: e.g. 0603 (Mar 2006) or 0000 for all deliveries in the time range chosen
Octant Range: e.g. 50 specifies range 50 to 150 % of the Octant
Steps in Octant Range: e.g 2 ==> 50, 75, 100, 125, 150 % of the Octant
Date Range: e.g. 060103 and 060331
Output List Buttons
STATISTICS ONLY
ALL ENTRIES
All Research Results are in Trading Fractions.
Select Table Drawdown
Input:
Commodity
Delivery (or all)
Octant Percentage
Start Date
End Date
Report Type: Detail or Summary
Detail: lists each trade (breakout)
Summary: One line summary of gains, losses and Reward/Risk ratio
Username and Password
There are six data runs below, SP for all of 2005, with two reports
for each run. The first run is for a stop 20% of the Octant, the next
for 40% and on up through 120%. To convert to the emini SP divide the
Risk, Gain and Sum columns by 5.
A (hand) tally of the runs shows:
% of Octant Stop Size Ave Risk Ave Potl R/R (Gain/Risk)
20 Very, Very Small 50 150 3.00
40 Very Small 100 157 1,57
60 Medium 151 170 1.13
80 Medium to Large 201 162 0.81
100 Large 252 127 0.50
120 Very Large 302 116 0.38
Potl is the maximum possible, the highest (or lowest) price after breakout. This
is the Potential of the Advice Engine discussions. It is the holy grail of the
trader, the unattainable. But it is a valid measuring point for comparisons and is
used as such here.
You are interested in two key measures: Average Risk (some fraction of the Octant) and the
Average Potential. Research values, the Reward/Risk ratio, are dependent on both. In the
case of the very, very small risk (20% of the Octant) the average trade may be often
stopped out by market noise, the volatility. The won/loss ratio will suffer and one's
real world trading can be plagued by many small losses. Even though the R/R ratio may be large,
that can be a mirage. That is because the Potential is always the same (based on the high (low)
of the day) and the small,
stopped out trades are small compared to the Potential. But the Potential is not representative
of the scale of the trade. At normal risks the Potential is an attainable value. At very low
risks chances are much greater of being stopped out before reaching the Potential point by small
market fluctuations.
The average Potl column above is unusually large for the very,
very small risk trades in this case because of the large linear runs in the last quarter of the year.
----------------------- Data 6 Runs ------------------------------------------------
Very, Very Small Stop (20% of Octant)
Detail Report
All Research results are in trading fractions.
12345678 Period 050103 - 051231, Percentage of Basic Model Octant = 20
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0503 050103 57 121860 234 122063 203 203
SP 0503 050104 57 119550 1306 118757 793 996
SP 0503 050112 32 118250 850 118282 -32 964
SP 0503 050113 37 118000 1429 118037 -37 927
SP 0503 050118 45 119620 1330 119575 -45 882
SP 0503 050120 47 117680 1212 117447 233 1115
SP 0503 050121 52 117540 916 117592 -52 1063
SP 0503 050128 47 116750 1019 116667 83 1146
SP 0503 050131 37 118270 1127 118233 -37 1109
SP 0503 050201 37 118220 713 119123 903 2012
SP 0503 050211 47 120520 1025 120473 -47 1965
SP 0503 050222 50 119230 1125 119280 -50 1915
SP 0503 050304 47 121650 735 121603 -47 1868
SP 0503 050311 72 119950 1355 119872 78 1946
SP 0503 050315 73 119910 1450 119840 70 2016
SP 0503 050316 77 119300 830 119377 -77 1939
SP 0506 050316 75 120200 640 120275 -75 1864
SP 0506 050329 62 117280 157 117342 -62 1802
SP 0506 050407 60 119260 1133 119200 -60 1742
SP 0506 050414 57 117120 925 115647 1473 3215
SP 0506 050425 52 116330 909 116548 218 3433
SP 0509 050502 17 116840 859 116823 -17 3416
SP 0506 050503 67 116700 1334 116783 83 3499
SP 0506 050526 30 119820 919 119790 -30 3469
SP 0506 050601 37 120070 909 120643 573 4042
SP 0506 050603 47 120680 733 120633 -47 3995
SP 0506 050607 45 120640 908 120925 285 4280
SP 0506 050609 35 119170 901 119165 5 4285
SP 0509 050609 30 119880 830 119660 220 4505
SP 0509 050610 32 119790 1349 119782 8 4513
SP 0506 050613 36 120690 1008 120664 -26 4487
SP 0509 050613 32 121170 1007 121198 28 4515
SP 0509 050614 35 121170 1258 121315 145 4660
SP 0506 050616 43 121000 937 121187 187 4847
SP 0509 050616 42 121460 909 121708 248 5095
SP 0509 050617 47 121690 418 122040 350 5445
SP 0509 050622 65 122370 427 122415 45 5490
SP 0509 050707 46 119270 358 119316 -46 5444
SP 0509 050708 42 121020 1035 120978 -42 5402
SP 0509 050720 52 123420 1219 123368 -52 5350
SP 0509 050721 62 123810 357 124518 708 6058
SP 0509 050725 50 123900 20 124130 230 6288
SP 0509 050727 40 123980 1356 123940 -40 6248
SP 0509 050728 36 124010 536 123974 -36 6212
SP 0509 050802 50 124720 1449 124670 -50 6162
SP 0509 050803 50 124720 1124 124790 70 6232
SP 0509 050805 45 122930 1027 122795 135 6367
SP 0509 050808 45 122990 945 123035 -45 6322
SP 0509 050816 58 122430 1320 122488 -58 6264
SP 0509 050818 58 122040 229 121768 272 6536
SP 0509 050822 55 121830 1212 121885 -55 6481
SP 0509 050831 32 121570 1357 121538 -32 6449
SP 0509 050914 32 122860 1320 122892 -32 6417
SP 0512 050914 32 123470 1318 123502 -32 6385
SP 0512 050920 41 123100 1347 123141 -41 6344
SP 0512 050929 40 122920 1230 122880 -40 6304
SP 0512 051024 67 120020 1442 119953 -67 6237
SP 0512 051026 75 120310 515 120625 315 6552
SP 0603 051031 55 121200 830 121720 520 7072
SP 0512 051031 67 120510 621 121383 873 7945
SP 0512 051102 82 121120 946 121770 650 8595
SP 0512 051107 105 122620 1317 122515 -105 8490
SP 0512 051109 107 122750 1124 122843 93 8583
SP 0512 051110 60 122820 1243 122760 -60 8523
SP 0512 051117 55 124050 1311 124480 430 8953
SP 0603 051206 22 127630 832 128258 628 9581
SP 0512 051206 51 127110 1054 127369 259 9840
SP 0603 051207 36 126600 1228 126236 364 10204
Number Trades= 68 POTL= 10204 AVG= 150 AVG-RISK= 50 RW/RSK= 3.00
WINS-TRADES 11778/ 35 LOSS-TRADES -1574/ 33
Summary Report
All Research results are in trading fractions.
1234567890 Period Covered: 050103 - 051231, Octant % = 20
SYMB %Octant #-TD #Win #Loss Av-Potl Av-Loss RW/RSK
SP 20 68 35 33 150 50 3.00
Very Small Stop (40% of Octant)
Detail Report
All Research results are in trading fractions.
12345678 Period 050102 - 051231, Percentage of Basic Model Octant = 40
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0503 050103 115 121860 234 122005 145 145
SP 0503 050104 115 119550 1306 118815 735 880
SP 0503 050112 65 118250 850 118315 -65 815
SP 0503 050113 75 118000 1429 117725 275 1090
SP 0503 050118 90 119620 1330 119530 -90 1000
SP 0503 050120 95 117680 1212 117495 185 1185
SP 0503 050121 105 117540 916 117645 -105 1080
SP 0503 050128 95 116750 1019 116715 35 1115
SP 0503 050131 75 118270 1127 118195 -75 1040
SP 0503 050201 75 118220 713 119085 865 1905
SP 0503 050211 95 120520 1025 120885 365 2270
SP 0503 050222 100 119230 1125 119330 -100 2170
SP 0503 050304 95 121650 735 121555 -95 2075
SP 0503 050311 145 119950 1355 119945 5 2080
SP 0503 050315 147 119910 1450 119840 70 2150
SP 0503 050316 155 119300 830 119455 -155 1995
SP 0506 050316 150 120200 640 119100 1100 3095
SP 0506 050329 125 117280 157 117405 -125 2970
SP 0506 050407 120 119260 1133 119140 -120 2850
SP 0506 050414 115 117120 925 115705 1415 4265
SP 0506 050425 105 116330 909 116495 165 4430
SP 0509 050502 35 116840 859 116805 -35 4395
SP 0506 050503 135 116700 1334 116715 15 4410
SP 0506 050526 60 119820 919 119760 -60 4350
SP 0506 050601 75 120070 909 120605 535 4885
SP 0506 050603 95 120680 733 120585 -95 4790
SP 0506 050607 90 120640 908 120880 240 5030
SP 0506 050609 70 119170 901 119200 -30 5000
SP 0509 050609 60 119880 830 119690 190 5190
SP 0509 050610 65 119790 1349 119815 -25 5165
SP 0506 050613 72 120690 1008 120628 -62 5103
SP 0509 050613 65 121170 1007 121165 -5 5098
SP 0509 050614 70 121170 1258 121280 110 5208
SP 0506 050616 87 121000 937 121143 143 5351
SP 0509 050616 85 121460 909 121665 205 5556
SP 0509 050617 95 121690 418 122040 350 5906
SP 0509 050622 130 122370 427 122350 -20 5886
SP 0509 050707 92 119270 358 119362 -92 5794
SP 0509 050708 85 121020 1035 120935 -85 5709
SP 0509 050720 105 123420 1219 123875 455 6164
SP 0509 050721 125 123810 357 124455 645 6809
SP 0509 050725 100 123900 20 124080 180 6989
SP 0509 050727 80 123980 1356 123900 -80 6909
SP 0509 050728 72 124010 536 123938 -72 6837
SP 0509 050802 100 124720 1449 124620 -100 6737
SP 0509 050803 100 124720 1124 124740 20 6757
SP 0509 050805 90 122930 1027 122840 90 6847
SP 0509 050808 90 122990 945 123080 -90 6757
SP 0509 050816 117 122430 1320 122547 -117 6640
SP 0509 050818 117 122040 229 121827 213 6853
SP 0509 050822 110 121830 1212 121940 -110 6743
SP 0509 050831 65 121570 1357 121505 -65 6678
SP 0509 050914 65 122860 1320 122925 -65 6613
SP 0512 050914 65 123470 1318 123535 -65 6548
SP 0512 050920 82 123100 1347 123182 -82 6466
SP 0512 050929 80 122920 1230 122840 -80 6386
SP 0512 051024 135 120020 1442 120195 175 6561
SP 0512 051026 150 120310 515 120550 240 6801
SP 0603 051031 110 121200 830 121720 520 7321
SP 0512 051031 135 120510 621 121315 805 8126
SP 0512 051102 165 121120 946 121770 650 8776
SP 0512 051107 210 122620 1317 122410 -210 8566
SP 0512 051109 215 122750 1124 122735 -15 8551
SP 0512 051110 120 122820 1243 123410 590 9141
SP 0512 051117 110 124050 1311 124480 430 9571
SP 0603 051206 45 127630 832 128235 605 10176
SP 0512 051206 102 127110 1054 127318 208 10384
SP 0603 051207 72 126600 1228 126272 328 10712
Number Trades= 68 POTL= 10712 AVG= 157 AVG-RISK= 100 RW/RSK= 1.57
WINS-TRADES 13302/ 36 LOSS-TRADES -2590/ 32
Summary Report
All Research results are in trading fractions.
1234567890 Period Covered: 050102 - 051231, Octant % = 40
SYMB %Octant #-TD #Win #Loss Av-Potl Av-Loss RW/RSK
SP 40 68 36 32 157 100 1.57
Medium Stop (60% of Octant)
Detail Report
All Research results are in trading fractions.
12345678 Period 050102 - 051231, Percentage of Basic Model Octant = 60
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0503 050103 172 121860 234 121948 88 88
SP 0503 050104 172 119550 1306 118872 678 766
SP 0503 050112 97 118250 850 118347 -97 669
SP 0503 050113 112 118000 1429 117762 238 907
SP 0503 050118 135 119620 1330 119485 -135 772
SP 0503 050120 142 117680 1212 117542 138 910
SP 0503 050121 157 117540 916 117697 -157 753
SP 0503 050128 142 116750 1019 116762 -12 741
SP 0503 050131 112 118270 1127 118158 -112 629
SP 0503 050201 112 118220 713 119048 828 1457
SP 0503 050211 142 120520 1025 120838 318 1775
SP 0503 050222 150 119230 1125 118510 720 2495
SP 0503 050304 142 121650 735 122430 780 3275
SP 0503 050311 217 119950 1355 120017 -67 3208
SP 0503 050315 221 119910 1450 119840 70 3278
SP 0503 050316 232 119300 830 118780 520 3798
SP 0506 050316 225 120200 640 119175 1025 4823
SP 0506 050329 187 117280 157 117467 -187 4636
SP 0506 050407 180 119260 1133 119080 -180 4456
SP 0506 050414 172 117120 925 115762 1358 5814
SP 0506 050425 157 116330 909 116443 113 5927
SP 0509 050502 52 116840 859 116830 -10 5917
SP 0506 050503 202 116700 1334 116648 -52 5865
SP 0506 050526 90 119820 919 119730 -90 5775
SP 0506 050601 112 120070 909 120568 498 6273
SP 0506 050603 142 120680 733 120538 -142 6131
SP 0506 050607 135 120640 908 120835 195 6326
SP 0506 050609 105 119170 901 119235 -65 6261
SP 0509 050609 90 119880 830 119720 160 6421
SP 0509 050610 97 119790 1349 119847 -57 6364
SP 0506 050613 109 120690 1008 120591 -99 6265
SP 0509 050613 97 121170 1007 121133 -37 6228
SP 0509 050614 105 121170 1258 121245 75 6303
SP 0506 050616 131 121000 937 121099 99 6402
SP 0509 050616 127 121460 909 121623 163 6565
SP 0509 050617 142 121690 418 122040 350 6915
SP 0509 050622 195 122370 427 122285 -85 6830
SP 0509 050707 139 119270 358 119409 -139 6691
SP 0509 050708 127 121020 1035 120893 -127 6564
SP 0509 050720 157 123420 1219 123823 403 6967
SP 0509 050721 187 123810 357 124393 583 7550
SP 0509 050725 150 123900 20 124030 130 7680
SP 0509 050727 120 123980 1356 123860 -120 7560
SP 0509 050728 109 124010 536 123901 -109 7451
SP 0509 050802 150 124720 1449 124570 -150 7301
SP 0509 050803 150 124720 1124 124690 -30 7271
SP 0509 050805 135 122930 1027 122885 45 7316
SP 0509 050808 135 122990 945 122565 425 7741
SP 0509 050816 176 122430 1320 122606 -176 7565
SP 0509 050818 176 122040 229 121886 154 7719
SP 0509 050822 165 121830 1212 121995 -165 7554
SP 0509 050831 97 121570 1357 121473 -97 7457
SP 0509 050914 97 122860 1320 122747 113 7570
SP 0512 050914 97 123470 1318 123567 -97 7473
SP 0512 050920 124 123100 1347 122600 500 7973
SP 0512 050929 120 122920 1230 122800 -120 7853
SP 0512 051024 202 120020 1442 120128 108 7961
SP 0512 051026 225 120310 515 120475 165 8126
SP 0603 051031 165 121200 830 121720 520 8646
SP 0512 051031 202 120510 621 121248 738 9384
SP 0512 051102 247 121120 946 121770 650 10034
SP 0512 051107 315 122620 1317 122305 -315 9719
SP 0512 051109 322 122750 1124 122628 -122 9597
SP 0512 051110 180 122820 1243 123360 540 10137
SP 0512 051117 165 124050 1311 124480 430 10567
SP 0603 051206 67 127630 832 128213 583 11150
SP 0512 051206 154 127110 1054 127266 156 11306
SP 0603 051207 109 126600 1228 126309 291 11597
Number Trades= 68 POTL= 11597 AVG= 170 AVG-RISK= 151 RW/RSK= 1.13
WINS-TRADES 14948/ 38 LOSS-TRADES -3351/ 30
Summary Report
All Research results are in trading fractions.
1234567890 Period Covered: 050102 - 051231, Octant % = 60
SYMB %Octant #-TD #Win #Loss Av-Potl Av-Loss RW/RSK
SP 60 68 38 30 170 151 1.13
Medium to Large Stop
Detail Report
All Research results are in trading fractions.
12345678 Period 050102 - 051231, Percentage of Basic Model Octant = 80
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0503 050103 230 121860 234 121890 30 30
SP 0503 050104 230 119550 1306 118930 620 650
SP 0503 050112 130 118250 850 118380 -130 520
SP 0503 050113 150 118000 1429 117800 200 720
SP 0503 050118 180 119620 1330 119440 -180 540
SP 0503 050120 190 117680 1212 117590 90 630
SP 0503 050121 210 117540 916 117750 -210 420
SP 0503 050128 190 116750 1019 116810 -60 360
SP 0503 050131 150 118270 1127 118120 -150 210
SP 0503 050201 150 118220 713 119010 790 1000
SP 0503 050211 190 120520 1025 120790 270 1270
SP 0503 050222 200 119230 1125 118510 720 1990
SP 0503 050304 190 121650 735 122430 780 2770
SP 0503 050311 290 119950 1355 120090 -140 2630
SP 0503 050315 295 119910 1450 119840 70 2700
SP 0503 050316 310 119300 830 118780 520 3220
SP 0506 050316 300 120200 640 119250 950 4170
SP 0506 050329 250 117280 157 117530 -250 3920
SP 0506 050407 240 119260 1133 119020 -240 3680
SP 0506 050414 230 117120 925 115820 1300 4980
SP 0506 050425 210 116330 909 116390 60 5040
SP 0509 050502 70 116840 859 116830 -10 5030
SP 0506 050503 270 116700 1334 116580 -120 4910
SP 0506 050526 120 119820 919 119700 -120 4790
SP 0506 050601 150 120070 909 120530 460 5250
SP 0506 050603 190 120680 733 120490 -190 5060
SP 0506 050607 180 120640 908 120790 150 5210
SP 0506 050609 140 119170 901 119270 -100 5110
SP 0509 050609 120 119880 830 119750 130 5240
SP 0509 050610 130 119790 1349 119880 -90 5150
SP 0506 050613 145 120690 1008 120555 -135 5015
SP 0509 050613 130 121170 1007 121100 -70 4945
SP 0509 050614 140 121170 1258 121210 40 4985
SP 0506 050616 175 121000 937 121055 55 5040
SP 0509 050616 170 121460 909 121580 120 5160
SP 0509 050617 190 121690 418 122040 350 5510
SP 0509 050622 260 122370 427 122220 -150 5360
SP 0509 050707 185 119270 358 119455 -185 5175
SP 0509 050708 170 121020 1035 121640 620 5795
SP 0509 050720 210 123420 1219 123770 350 6145
SP 0509 050721 250 123810 357 124330 520 6665
SP 0509 050725 200 123900 20 123980 80 6745
SP 0509 050727 160 123980 1356 123970 -10 6735
SP 0509 050728 145 124010 536 123865 -145 6590
SP 0509 050802 200 124720 1449 124520 -200 6390
SP 0509 050803 200 124720 1124 124640 -80 6310
SP 0509 050805 180 122930 1027 122930 0 6310
SP 0509 050808 180 122990 945 122610 380 6690
SP 0509 050816 235 122430 1320 122665 -235 6455
SP 0509 050818 235 122040 229 121945 95 6550
SP 0509 050822 220 121830 1212 122050 -220 6330
SP 0509 050831 130 121570 1357 122270 700 7030
SP 0509 050914 130 122860 1320 122780 80 7110
SP 0512 050914 130 123470 1318 123600 -130 6980
SP 0512 050920 165 123100 1347 122600 500 7480
SP 0512 050929 160 122920 1230 123270 350 7830
SP 0512 051024 270 120020 1442 120060 40 7870
SP 0512 051026 300 120310 515 120400 90 7960
SP 0603 051031 220 121200 830 121720 520 8480
SP 0512 051031 270 120510 621 121180 670 9150
SP 0512 051102 330 121120 946 121770 650 9800
SP 0512 051107 420 122620 1317 122200 -420 9380
SP 0512 051109 430 122750 1124 122520 -230 9150
SP 0512 051110 240 122820 1243 123360 540 9690
SP 0512 051117 220 124050 1311 124480 430 10120
SP 0603 051206 90 127630 832 128190 560 10680
SP 0512 051206 205 127110 1054 127215 105 10785
SP 0603 051207 145 126600 1228 126345 255 11040
Number Trades= 68 POTL= 11040 AVG= 162 AVG-RISK= 201 RW/RSK= 0.81
WINS-TRADES 15240/ 40 LOSS-TRADES -4200/ 28
Summary Report
All Research results are in trading fractions.
1234567890 Period Covered: 050102 - 051231, Octant % = 80
SYMB %Octant #-TD #Win #Loss Av-Potl Av-Loss RW/RSK
SP 80 68 40 28 162 201 0.81
Large Stop
Detail Report
All Research results are in trading fractions.
12345678 Period 050102 - 051231, Percentage of Basic Model Octant = 100
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0503 050103 288 121860 234 121832 -28 -28
SP 0503 050104 288 119550 1306 118988 562 534
SP 0503 050112 163 118250 850 118413 -163 371
SP 0503 050113 188 118000 1429 117838 162 533
SP 0503 050118 225 119620 1330 119395 -225 308
SP 0503 050120 238 117680 1212 117638 42 350
SP 0503 050121 263 117540 916 117803 -263 87
SP 0503 050128 238 116750 1019 116858 -108 -21
SP 0503 050131 188 118270 1127 118082 -188 -209
SP 0503 050201 188 118220 713 118972 752 543
SP 0503 050211 238 120520 1025 120742 222 765
SP 0503 050222 250 119230 1125 118510 720 1485
SP 0503 050304 238 121650 735 122430 780 2265
SP 0503 050311 363 119950 1355 120163 -213 2052
SP 0503 050315 369 119910 1450 119840 70 2122
SP 0503 050316 388 119300 830 118780 520 2642
SP 0506 050316 375 120200 640 119320 880 3522
SP 0506 050329 313 117280 157 117593 -313 3209
SP 0506 050407 300 119260 1133 118960 -300 2909
SP 0506 050414 288 117120 925 115878 1242 4151
SP 0506 050425 263 116330 909 116337 7 4158
SP 0509 050502 88 116840 859 116830 -10 4148
SP 0506 050503 338 116700 1334 116512 -188 3960
SP 0506 050526 150 119820 919 119670 -150 3810
SP 0506 050601 188 120070 909 120492 422 4232
SP 0506 050603 238 120680 733 120442 -238 3994
SP 0506 050607 225 120640 908 120745 105 4099
SP 0506 050609 175 119170 901 119305 -135 3964
SP 0509 050609 150 119880 830 119780 100 4064
SP 0509 050610 163 119790 1349 119913 -123 3941
SP 0506 050613 182 120690 1008 120518 -172 3769
SP 0509 050613 163 121170 1007 121067 -103 3666
SP 0509 050614 175 121170 1258 121175 5 3671
SP 0506 050616 219 121000 937 121011 11 3682
SP 0509 050616 213 121460 909 121537 77 3759
SP 0509 050617 238 121690 418 122040 350 4109
SP 0509 050622 325 122370 427 122155 -215 3894
SP 0509 050707 232 119270 358 119502 -232 3662
SP 0509 050708 213 121020 1035 121640 620 4282
SP 0509 050720 263 123420 1219 123717 297 4579
SP 0509 050721 313 123810 357 124267 457 5036
SP 0509 050725 250 123900 20 123930 30 5066
SP 0509 050727 200 123980 1356 123970 -10 5056
SP 0509 050728 182 124010 536 123828 -182 4874
SP 0509 050802 250 124720 1449 124470 -250 4624
SP 0509 050803 250 124720 1124 124590 -130 4494
SP 0509 050805 225 122930 1027 122975 -45 4449
SP 0509 050808 225 122990 945 122655 335 4784
SP 0509 050816 294 122430 1320 122724 -294 4490
SP 0509 050818 294 122040 229 122004 36 4526
SP 0509 050822 275 121830 1212 122105 -275 4251
SP 0509 050831 163 121570 1357 122237 667 4918
SP 0509 050914 163 122860 1320 122813 47 4965
SP 0512 050914 163 123470 1318 123383 87 5052
SP 0512 050920 207 123100 1347 122600 500 5552
SP 0512 050929 200 122920 1230 123270 350 5902
SP 0512 051024 338 120020 1442 119992 -28 5874
SP 0512 051026 375 120310 515 120325 15 5889
SP 0603 051031 275 121200 830 121720 520 6409
SP 0512 051031 338 120510 621 121112 602 7011
SP 0512 051102 413 121120 946 121770 650 7661
SP 0512 051107 525 122620 1317 122175 -445 7216
SP 0512 051109 538 122750 1124 122412 -338 6878
SP 0512 051110 300 122820 1243 123360 540 7418
SP 0512 051117 275 124050 1311 124480 430 7848
SP 0603 051206 113 127630 832 128167 537 8385
SP 0512 051206 257 127110 1054 127163 53 8438
SP 0603 051207 182 126600 1228 126382 218 8656
Number Trades= 68 POTL= 8656 AVG= 127 AVG-RISK= 252 RW/RSK= 0.50
WINS-TRADES 14020/ 39 LOSS-TRADES -5364/ 29
Summary Report
All Research results are in trading fractions.
1234567890 Period Covered: 050102 - 051231, Octant % = 100
SYMB %Octant #-TD #Win #Loss Av-Potl Av-Loss RW/RSK
SP 100 68 39 29 127 252 0.50
Large+ Stop
Detail Report
All Research results are in trading fractions.
12345678 Period 050102 - 051231, Percentage of Basic Model Octant = 120
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0503 050103 345 121860 234 121775 -85 -85
SP 0503 050104 345 119550 1306 119045 505 420
SP 0503 050112 195 118250 850 118445 -195 225
SP 0503 050113 225 118000 1429 117875 125 350
SP 0503 050118 270 119620 1330 119580 -40 310
SP 0503 050120 285 117680 1212 117685 -5 305
SP 0503 050121 315 117540 916 117855 -315 -10
SP 0503 050128 285 116750 1019 116905 -155 -165
SP 0503 050131 225 118270 1127 118045 -225 -390
SP 0503 050201 225 118220 713 118935 715 325
SP 0503 050211 285 120520 1025 120700 180 505
SP 0503 050222 300 119230 1125 118510 720 1225
SP 0503 050304 285 121650 735 122430 780 2005
SP 0503 050311 435 119950 1355 120110 -160 1845
SP 0503 050315 442 119910 1450 119840 70 1915
SP 0503 050316 465 119300 830 118780 520 2435
SP 0506 050316 450 120200 640 119320 880 3315
SP 0506 050329 375 117280 157 117655 -375 2940
SP 0506 050407 360 119260 1133 118900 -360 2580
SP 0506 050414 345 117120 925 115935 1185 3765
SP 0506 050425 315 116330 909 116285 -45 3720
SP 0509 050502 105 116840 859 116830 -10 3710
SP 0506 050503 405 116700 1334 116445 -255 3455
SP 0506 050526 180 119820 919 119640 -180 3275
SP 0506 050601 225 120070 909 120455 385 3660
SP 0506 050603 285 120680 733 120395 -285 3375
SP 0506 050607 270 120640 908 120700 60 3435
SP 0506 050609 210 119170 901 119340 -170 3265
SP 0509 050609 180 119880 830 119810 70 3335
SP 0509 050610 195 119790 1349 119945 -155 3180
SP 0506 050613 218 120690 1008 120482 -208 2972
SP 0509 050613 195 121170 1007 121035 -135 2837
SP 0509 050614 210 121170 1258 121140 -30 2807
SP 0506 050616 262 121000 937 120968 -32 2775
SP 0509 050616 255 121460 909 121495 35 2810
SP 0509 050617 285 121690 418 122040 350 3160
SP 0509 050622 390 122370 427 122090 -280 2880
SP 0509 050707 278 119270 358 119548 -278 2602
SP 0509 050708 255 121020 1035 121640 620 3222
SP 0509 050720 315 123420 1219 123665 245 3467
SP 0509 050721 375 123810 357 124205 395 3862
SP 0509 050725 300 123900 20 123880 -20 3842
SP 0509 050727 240 123980 1356 123970 -10 3832
SP 0509 050728 218 124010 536 124710 700 4532
SP 0509 050802 300 124720 1449 124420 -300 4232
SP 0509 050803 300 124720 1124 124540 -180 4052
SP 0509 050805 270 122930 1027 123020 -90 3962
SP 0509 050808 270 122990 945 122700 290 4252
SP 0509 050816 352 122430 1320 122290 140 4392
SP 0509 050818 352 122040 229 122062 -22 4370
SP 0509 050822 330 121830 1212 122160 -330 4040
SP 0509 050831 195 121570 1357 122205 635 4675
SP 0509 050914 195 122860 1320 122840 20 4695
SP 0512 050914 195 123470 1318 123415 55 4750
SP 0512 050920 248 123100 1347 122600 500 5250
SP 0512 050929 240 122920 1230 123270 350 5600
SP 0512 051024 405 120020 1442 119960 -60 5540
SP 0512 051026 450 120310 515 120250 -60 5480
SP 0603 051031 330 121200 830 121720 520 6000
SP 0512 051031 405 120510 621 121045 535 6535
SP 0512 051102 495 121120 946 121770 650 7185
SP 0512 051107 630 122620 1317 122130 -490 6695
SP 0512 051109 645 122750 1124 122305 -445 6250
SP 0512 051110 360 122820 1243 123360 540 6790
SP 0512 051117 330 124050 1311 124480 430 7220
SP 0603 051206 135 127630 832 128145 515 7735
SP 0512 051206 308 127110 1054 127112 2 7737
SP 0603 051207 218 126600 1228 126418 182 7919
Number Trades= 68 POTL= 7919 AVG= 116 AVG-RISK= 302 RW/RSK= 0.38
WINS-TRADES 13904/ 34 LOSS-TRADES -5985/ 34
Summary Report
All Research results are in trading fractions.
1234567890 Period Covered: 050102 - 051231, Octant % = 120
SYMB %Octant #-TD #Win #Loss Av-Potl Av-Loss RW/RSK
SP 120 68 34 34 116 302 0.38
For additional studies of Drawdown: Drawdown Studies for SP.