CISCO Futures
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dljones@cisco-futures.com
Drawdown Studies: SP
December 15, 2006
Copyright CISCO
Drawdown
Just as work is the curse of the drinking man, so drawdown is the curse of the trading man. Many seemingly
successful trading methodologies have hidden in them the potential for exceptionally large drawdowns that will
destroy any trading
account at some point in time. One such was the Parabolic System in Welles Wilder's book, which we researched
in 1979 - 1980. A very well known case is the stock market's 'Black Monday' October 19, 1987 when the market
plunged 36 percent in 4 days. Another case, possibly the world record trading loss ($1.3 trillion) by Long
Term Capital, occurred in September 1998.
In mathematics, this sort of function is said to have an 'infinity' or a pole, i.e. that under certain
conditions the risk gets very large very quickly.
Whatever trading method you use, you would like to avoid implicitly trading a model that has a pole. A start is
to gain some idea of the method's historic drawdowns. But how do you get this information?
Back testing a trading model is one way to find drawdowns. But markets often change their characteristics
over time and what today's model tells about the past may not be valid unless you are able to adjust for
current conditions back at any point in time. Few models can do this. You can shorten the test period
to get better coupling with the present, but then you may not have enough trading events to make a valid sample.
There is a more serious fly in the ointment.
In doing your back testing you are most likely using technical analysis with moving averages, oscillators,
cycles, etc. In most such cases the methodology dooms the test, see: The Market Unit.
In spite of all the advertising, an understanding of the Market Unit and Auction Market Value Theory
leads to the incontrovertible
conclusion that virtually no sort of smoothing is permitted by market theory.
Auction Market Value Theory.
Value methodology takes the tack of evaluating a market within it's historic timeframe.
This is accomplished by 1) limiting the analysis to balanced markets (they identify value at that point in time) and
2) by testing such markets for breakout and follow through. This process is called 'normalization'. By using a
market specific measure, the balance, we are examining a market in it's natural state. The balance 'normalizes'
our measure to the market's condition at the time the measurement is taking place.
It is assumed in the following that you understand the Overlay
Demand Curve. For a refresher, go to Overlay Demand Curve Background.
An Example
For instance, in the Detail Report below:
The S&P market of September 26, 2006 shows a long side breakout at 133920 (at 9:04 AM).
The Risk stop is 131 (60 percent of the Octant for that balance).
Thus, there is a stop out at 133789, should the market get that low.
But the low of the day is 133800 at 11:00 AM and was never reached.
The exit is at 134600 (2:30 PM).
The Potential, 680 is the exit (134600) less entry, 133920, or 680.
This approach has enough of a trading strategy, a trailing stop, to permit evaluation
of the Potential. Remember, Potential is not a trading gain, it is the ideal return for a trader who has perfect
timing. Just how far the average trader might deviate from ideal timing is not known. A guess is that a good
trader could get as much as half the ideal.
Changing the Risk (stop) to another fraction of the Octant tests the change in (ideal) returns because
of the altered Risk. A warning: reducing the Risk to lie within the volatility band of a market will give
spurious results. The method of a gross trailing stop used here overlooks the smaller counter runs that would
elect a small stop. A second problem with too-small stops is that the reward to risk ratio becomes more
and more invalid because the basis of the Potential (high or low of day) does not describe a valid point. That
is, too-small stops require an exceptionally smooth and directional market for the trade to be kept in until
the price extreme is reached. A rule of thumb is that Risks below 20 percent of an Octant are too small.
Conversely, too-large Risks keep a trade too far past the price extreme. Just like Goldilocks and the three
bears, there is a 'just right' Risk region. The Drawdown link on the Advice Engine page is the tool to use
to find it.
Discussion of the Data
CISCO customers have access to the research tool used to develop the data in this report. It is on the
Advice Engine page (main page, Data link, Advice Engine link and the Drawdown (Select) link). This link can
be used to study any of the futures that appear in Select Table, over the life of the database, 2001 to present.
Detail Report of Data Set #1 examines the drawdown details of each SP trade in the Select Tables from January 2, 2001 to
December 15, 2006. There are 321 breakout trades. SP appeared in the Select Tables many more times, but these
are the breakouts. Each Select Table entry is accompanied by the balance upper and lower limits. Balances for the study
are defined as a 10 day balance and a 5 day balance at the same time. The Detail Report data are listed by
trade, with each transaction showing date, Risk, price in, time in, price out and the Potential. Risk is
set prior to a run at a chosen percentage of the Octant. Data runs are split up in half-year segments.
Typically, there are about 25 trades in a six month run. Since the Detail Report lists trade-by-trade, drawdown
is simple to calculate, not only the losses, but the maximum cumulative loss.
A Summary Table precedes the 12 six month runs.
The Summary Table shows the overall average Potential and Risk ($199 and $211) which leads to a Reward
to Risk ratio of 0.94. Over six years a risk of $1 led to a Potential of 94 cents. This ratio gives you
a quantitative yardstick for measurement. The six-month averages of Potential, Risk and R/R shows the
variablility of this market. You have statistics based on market theory upon which you can base trading
judgements. While not a trading model, the procedure used to acquire the data (trailing stop) may give
you ideas for your own trading strategy. The Detail Data are trading points for your use in validaing
your strategy.
Those of you who have taken our Short or Long Courses may recall the problem sets where you were asked
to verify a series of trades using a full Octant stop. Then you were asked to work the same problems with
a reduced stop. Here, we have the data set for the 60 percent Octant stop. How does this square with
other percentages? The Drawdown (Select) link permits you to find that. We have done both the 80 percent
and 40 percent studies (Data Sets #2 and #3). We will summarize the results.
Percent Potential Risk R/R
80 $179 $230 0.78
60 199 211 0.94
40 214 141 1.52
It seems that the Potential grows with smaller stops while the Risk decreases. Naturally, the Risk will
decrease as the percentage of the Octant decreases. Since the Risk is in the denominator the pressure
on the Reward/Risk ratio is up. Potential is a free variable, depending on market action. As noted earlier,
there is a limit beyond which Risk cannot be safely reduced. We estimate that is around 20 percent of an Octant, but
no quantitative studies are available. Doubtless the minimum is market specific. Drawdown (Select) is
a research tool. It is left to the traders to work out the details for markets of their choice.
Range Table
High Price Date 5 Day Range Max
Sep 1999 1429 19990716 58
Dec 1999 1452 19991203 69
Mar 2000 1496 20000103 87
Jun 2000 1574 20000324 162
Sep 2000 1540 20000901 59
Dec 2000 1516 20000914 84
Mar 2001 1390 20010131 84
Jun 2001 1313 20010522 60
Sep 2001 1227 20010803 48
Dec 2001 1170 20011207 96
Mar 2002 1178 20020104 52
Mar 2006 1301 20060111 26
Jun 2006 1331 20060505 40
Sep 2006 1317 20060905 34
Dec 2006 1419 20061207 26
These sampled prices and ranges tell a sad tale. Those trading prior to June 2000 were in
a booming market (the dot com madness) that was directionally up from 1995 to 2000. There
was opportunity to spare. Many long runs, as shown by the large ranges, offered exceptional
opportunity. Everyone made money.
As with many bubbles, the party may be over but many of the guests do not know it yet. So trading
retained a good bit of opportunity into the first quarter of 2001. After that, the Summary Table
for the 60 percent Octant risk shows a continuing deflation. Now, as the Range Table shows,
the opportunity is about one-sixth of what it was at the peak of the bubble.
------------------ Data Set #1 Risk = 60% of Octant ---------------------------------
Drawdown Analysis of SP on 6 Month Intervals: Stop = 60% of Octant
Summary Table
#Td Win Lose Potl Ave$ Risk Ave$ R/R Gross Potl$ Win$ Lose$
2001 Jun 23 18 5 482 378 1.28 11,103 12,557 1,454
2001 Dec 25 13 12 108 297 0.36 2,705 5,497 2,792
2002 Jun 19 10 9 383 278 1.38 7,282 9,045 1,763
2002 Dec 23 12 11 319 317 1.01 7,355 9,769 2,414
2003 Jun 19 12 7 223 273 0.82 4,246 5,724 1,478
2003 Dec 22 13 9 182 172 1.06 4,022 5,301 1,279
2004 Jun 25 11 14 158 169 0.93 3,972 6,214 2,242
2004 Dec 40 19 21 100 169 0.59 4,026 7,142 3,116
2005 Jun 37 20 17 184 143 1.29 6,830 8,414 1,584
2005 Dec 31 18 13 153 160 0.96 4,767 6,534 1,767
2006 Jun 27 11 16 71 155 0.46 1,935 4,260 2,325
2006 Dec 30 15 15 226 159 1.42 6,809 8,383 1,574
Total Trades 321
Potl 53,949 Average $199
Risk 67,854 Average $211
Wins 88,860 Average $276
Losses 23,788 Average $ 74
R/R Average 0.94
Detail Report
All Research results are in trading fractions.
12345678 Period 010102 - 010630, Percentage of Basic Model Octant = 60
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0103 010119 547 136450 1649 136633 183 183
SP 0103 010122 540 136350 1004 135880 -470 -287
SP 0103 010123 547 136450 1303 136753 303 16
SP 0103 010130 382 137720 1351 138250 530 546
SP 0103 010207 255 135160 1558 135415 -255 291
SP 0103 010208 322 134270 1233 134592 -322 -31
SP 0103 010214 495 131900 844 131345 555 524
SP 0103 010216 435 131050 810 130085 965 1489
SP 0103 010220 487 130080 957 128550 1530 3019
SP 0103 010301 480 122150 1124 122080 70 3089
SP 0106 010320 322 115750 1434 115300 450 3539
SP 0106 010403 540 111850 1326 110850 1000 4539
SP 0106 010427 322 125750 1445 125850 100 4639
SP 0106 010501 352 126200 1309 127300 1100 5739
SP 0106 010502 442 127310 1545 127358 48 5787
SP 0106 010511 240 124460 1407 124620 -160 5627
SP 0106 010516 247 124200 645 124447 -247 5380
SP 0106 010612 255 124400 830 123805 595 5975
SP 0109 010612 247 125860 722 124767 1093 7068
SP 0106 010613 262 124750 1344 124330 420 7488
SP 0109 010613 255 125770 1317 125280 490 7978
SP 0109 010614 337 124650 808 122350 2300 10278
SP 0109 010626 405 121580 556 120755 825 11103
Number Trades= 23 POTL= 11103 AVG= 482 AVG-RISK= 378 RW/RSK= 1.28
WINS-TRADES 12557/ 18 LOSS-TRADES -1454/ 5
Detail Report
All Research results are in trading fractions.
12345678 Period 010701 - 011231, Percentage of Basic Model Octant = 60
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0109 010719 330 122550 831 122820 270 270
SP 0109 010802 412 123020 558 123008 -12 258
SP 0109 010803 390 122710 1716 122390 -320 -62
SP 0109 010807 195 120080 429 120045 35 -27
SP 0109 010808 195 120050 537 120245 -195 -222
SP 0109 010816 412 117410 501 117212 198 -24
SP 0109 010817 375 116850 920 116215 635 611
SP 0109 010820 367 116290 1911 116467 -177 434
SP 0109 010821 352 116280 1432 115600 680 1114
SP 0112 010824 142 118580 944 118438 -142 972
SP 0109 010906 382 112080 830 112462 -382 590
SP 0112 011011 270 108750 652 109980 1230 1820
SP 0112 011017 375 110220 1615 111075 855 2675
SP 0112 011025 330 110450 1514 110220 -230 2445
SP 0112 011113 285 113550 944 114055 505 2950
SP 0112 011115 360 114550 2329 114830 280 3230
SP 0112 011123 285 115250 1137 114965 -285 2945
SP 0112 011126 165 115310 1737 115145 -165 2780
SP 0112 011127 202 115850 1256 116278 428 3208
SP 0112 011128 202 113080 1444 112950 130 3338
SP 0112 011203 217 112850 900 112717 133 3471
SP 0112 011213 360 112590 737 112950 -360 3111
SP 0203 011219 247 115020 1013 114773 -247 2864
SP 0203 011226 277 115450 850 115173 -277 2587
SP 0203 011228 322 116160 11 116278 118 2705
Number Trades= 25 POTL= 2705 AVG= 108 AVG-RISK= 297 RW/RSK= 0.36
WINS-TRADES 5497/ 13 LOSS-TRADES -2792/ 12
Detail Report
All Research results are in trading fractions.
12345678 Period 020102 - 020630, Percentage of Basic Model Octant = 60
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0203 020103 195 116540 1430 116345 -195 -195
SP 0203 020107 255 117510 225 117595 85 -110
SP 0203 020114 270 114080 945 114350 -270 -380
SP 0203 020115 285 113850 1259 113985 -135 -515
SP 0203 020116 292 113780 839 114072 -292 -807
SP 0203 020118 337 112700 6 113037 -337 -1144
SP 0203 020122 382 112420 1106 112162 258 -886
SP 0203 020123 307 111980 902 112057 -77 -963
SP 0203 020129 232 111700 1101 110002 1698 735
SP 0203 020205 382 108600 904 108582 18 753
SP 0206 020318 210 117550 852 117340 -210 543
SP 0206 020319 195 117520 1113 117505 -15 528
SP 0206 020325 225 114560 945 113525 1035 1563
SP 0206 020403 225 113380 925 112305 1075 2638
SP 0206 020415 300 110380 1020 110330 50 2688
SP 0206 020423 232 110180 1434 110412 -232 2456
SP 0206 020506 225 106360 1402 105190 1170 3626
SP 0206 020614 397 99600 829 98197 1403 5029
SP 0209 020614 337 100590 325 98337 2253 7282
Number Trades= 19 POTL= 7282 AVG= 383 AVG-RISK= 278 RW/RSK= 1.38
WINS-TRADES 9045/ 10 LOSS-TRADES -1763/ 9
Detail Report
All Research results are in trading fractions.
12345678 Period 020701 - 021231, Percentage of Basic Model Octant = 60
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0209 020702 390 95410 938 94950 460 460
SP 0209 020703 450 94670 338 93950 720 1180
SP 0209 020718 525 88650 1355 87495 1155 2335
SP 0209 020828 360 91580 1112 91940 -360 1975
SP 0212 020930 390 81770 650 80240 1530 3505
SP 0212 021004 397 80280 1022 79647 633 4138
SP 0212 021007 457 79450 948 79907 -457 3681
SP 0212 021024 307 89940 730 89633 -307 3374
SP 0212 021028 330 90290 9 90610 320 3694
SP 0212 021104 277 90850 10 92223 1373 5067
SP 0212 021127 330 93720 1056 93750 30 5097
SP 0212 021127 330 93720 1056 93750 30 5127
SP 0212 021129 345 93970 12 93855 -115 5012
SP 0212 021202 345 93940 15 95135 1195 6207
SP 0212 021205 255 90700 1012 90785 -85 6122
SP 0212 021209 277 90450 830 89127 1323 7445
SP 0303 021213 232 89270 333 89502 -232 7213
SP 0212 021213 262 89270 830 89532 -262 6951
SP 0303 021218 217 88730 959 88827 -97 6854
SP 0212 021218 247 88850 959 88967 -117 6737
SP 0303 021219 180 88650 518 88830 -180 6557
SP 0212 021219 202 88700 830 88902 -202 6355
SP 0303 021227 202 88170 944 87170 1000 7355
Number Trades= 23 POTL= 7355 AVG= 319 AVG-RISK= 317 RW/RSK= 1.01
WINS-TRADES 9769/ 12 LOSS-TRADES -2414/ 11
Detail Report
All Research results are in trading fractions.
12345678 Period 030102 - 030630, Percentage of Basic Model Octant = 60
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0303 030110 277 93120 954 93023 -97 -97
SP 0303 030113 247 93160 209 93403 243 146
SP 0303 030204 210 84150 903 84060 90 236
SP 0303 030206 225 83910 731 84135 -225 11
SP 0303 030207 277 83280 916 83557 -277 -266
SP 0303 030210 277 82680 913 82957 -277 -543
SP 0303 030212 300 82360 933 81800 560 17
SP 0306 030331 322 84990 646 84502 488 505
SP 0306 030414 307 88620 1509 88580 -40 465
SP 0306 030415 172 88620 20 90128 1508 1973
SP 0306 030422 262 89980 951 90938 958 2931
SP 0306 030429 307 91910 855 92063 153 3084
SP 0306 030430 307 91950 1010 91643 -307 2777
SP 0306 030502 255 92180 905 91925 -255 2522
SP 0306 030506 277 93280 903 93673 393 2915
SP 0306 030512 262 93720 954 94150 430 3345
SP 0306 030527 247 94830 1232 95053 223 3568
SP 0306 030612 382 99920 203 100048 128 3696
SP 0306 030616 292 100480 1001 101030 550 4246
Number Trades= 19 POTL= 4246 AVG= 223 AVG-RISK= 273 RW/RSK= 0.82
WINS-TRADES 5724/ 12 LOSS-TRADES -1478/ 7
Detail Report
All Research results are in trading fractions.
12345678 Period 030701 - 031231, Percentage of Basic Model Octant = 60
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0309 030702 135 98610 842 99255 645 645
SP 0309 030707 247 100170 916 100253 83 728
SP 0309 030714 300 100850 831 101130 280 1008
SP 0309 030717 247 98050 1140 97947 103 1111
SP 0309 030721 270 97780 1015 98050 -270 841
SP 0309 030804 184 97480 841 96734 746 1587
SP 0309 030805 232 96780 1413 96070 710 2297
SP 0309 030819 210 99920 5 99710 -210 2087
SP 0309 030910 97 101880 844 101977 -97 1990
SP 0312 030910 90 101780 833 101870 -90 1900
SP 0312 031016 172 104950 1134 105048 98 1998
SP 0312 031022 142 103180 942 102592 588 2586
SP 0312 031023 180 102400 6 102050 350 2936
SP 0312 031024 195 102200 5 101845 355 3291
SP 0312 031107 127 105970 15 106293 323 3614
SP 0312 031113 124 105960 220 105836 -124 3490
SP 0312 031114 120 105970 839 106210 240 3730
SP 0312 031117 131 104330 316 104461 -131 3599
SP 0312 031211 176 107390 1431 107214 -176 3423
SP 0312 031212 131 107400 1410 107339 -61 3362
SP 0312 031215 120 108450 832 108330 -120 3242
SP 0403 031218 157 107980 857 108760 780 4022
Number Trades= 22 POTL= 4022 AVG= 182 AVG-RISK= 172 RW/RSK= 1.06
WINS-TRADES 5301/ 13 LOSS-TRADES -1279/ 9
Detail Report
All Research results are in trading fractions.
12345678 Period 040102 - 040630, Percentage of Basic Model Octant = 60
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0403 040107 172 112220 25 112048 -172 -172
SP 0403 040114 187 113120 1504 112933 -187 -359
SP 0403 040116 165 113570 14 113405 -165 -524
SP 0403 040121 187 114050 1123 114663 613 89
SP 0403 040123 240 114850 910 114660 -190 -101
SP 0403 040126 247 114940 1401 115253 313 212
SP 0403 040219 165 115810 830 115665 -145 67
SP 0403 040224 161 113680 722 113841 -161 -94
SP 0406 040304 90 115200 1026 115110 -90 -184
SP 0403 040305 161 115720 921 116189 469 285
SP 0406 040308 94 114400 1501 114300 100 385
SP 0403 040310 169 113600 5 113769 -169 216
SP 0406 040319 172 112630 13 112548 -82 134
SP 0406 040322 172 110190 242 110362 -172 -38
SP 0406 040413 225 114920 732 114695 -225 -263
SP 0406 040420 202 112180 1444 111552 628 365
SP 0406 040506 180 110550 1141 110660 -110 255
SP 0406 040507 172 110580 740 110752 -172 83
SP 0406 040519 202 110420 909 110218 -202 -119
SP 0406 040525 210 110520 1204 111160 640 521
SP 0406 040525 210 110520 1204 111160 640 1161
SP 0406 040604 127 112750 1131 112823 73 1234
SP 0406 040607 135 112810 102 114035 1225 2459
SP 0409 040607 56 112790 832 114064 1274 3733
SP 0409 040623 131 114150 1414 114389 239 3972
Number Trades= 25 POTL= 3972 AVG= 158 AVG-RISK= 169 RW/RSK= 0.93
WINS-TRADES 6214/ 11 LOSS-TRADES -2242/ 14
Detail Report
All Research results are in trading fractions.
12345678 Period 040701 - 041231, Percentage of Basic Model Octant = 60
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0409 040701 146 112500 1012 112396 104 104
SP 0409 040714 165 110670 740 110835 -165 -61
SP 0409 040715 165 110650 1453 110415 235 174
SP 0409 040719 146 110140 839 109696 444 618
SP 0409 040720 184 109640 44 109754 -114 504
SP 0409 040721 184 109630 1444 109134 496 1000
SP 0409 040723 225 108780 902 109005 -225 775
SP 0409 040726 255 108370 924 108625 -255 520
SP 0409 040805 214 107780 1502 107920 -140 380
SP 0409 040813 120 106180 908 106300 -120 260
SP 0409 040816 127 107830 1011 107703 -127 133
SP 0409 040817 142 108020 628 108558 538 671
SP 0409 040818 202 108830 943 108628 -202 469
SP 0409 040824 292 110020 232 109818 -202 267
SP 0409 040825 300 110150 1144 110380 230 497
SP 0409 040827 225 110620 802 110820 200 697
SP 0409 040902 184 110970 1305 111816 846 1543
SP 0409 040913 75 112580 830 112945 365 1908
SP 0412 040913 75 112510 259 113015 505 2413
SP 0409 040914 112 112930 1158 112818 -112 2301
SP 0412 040914 112 113030 1202 112928 -102 2199
SP 0412 040917 116 113020 947 113004 -16 2183
SP 0412 040921 120 113150 1358 113030 -120 2063
SP 0412 040922 124 111420 1300 111544 -124 1939
SP 0412 041001 101 111790 648 113320 1530 3469
SP 0412 041020 195 110160 7 109575 585 4054
SP 0412 041022 232 109790 1352 109590 200 4254
SP 0412 041119 120 117270 935 117390 -120 4134
SP 0412 041129 150 118910 348 118980 70 4204
SP 0412 041201 150 118910 1121 118760 -150 4054
SP 0412 041202 165 119110 423 119485 375 4429
SP 0412 041203 187 119480 11 119643 163 4592
SP 0503 041213 154 119680 806 119526 -154 4438
SP 0412 041213 157 119550 835 119393 -157 4281
SP 0503 041222 240 120940 300 120700 -240 4041
SP 0503 041223 217 121320 831 121433 113 4154
SP 0503 041223 217 121320 831 121433 113 4267
SP 0503 041228 169 121560 931 121391 -169 4098
SP 0503 041229 157 121670 1500 121700 30 4128
SP 0503 041231 172 121900 1332 121798 -102 4026
Number Trades= 40 POTL= 4026 AVG= 100 AVG-RISK= 169 RW/RSK= 0.59
WINS-TRADES 7142/ 19 LOSS-TRADES -3116/ 21
Detail Report
All Research results are in trading fractions.
12345678 Period 050102 - 050630, 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
Number Trades= 37 POTL= 6830 AVG= 184 AVG-RISK= 143 RW/RSK= 1.29
WINS-TRADES 8414/ 20 LOSS-TRADES -1584/ 17
Detail Report
All Research results are in trading fractions.
12345678 Period 050701 - 051231, Percentage of Basic Model Octant = 60
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0509 050707 139 119270 358 119409 -139 -139
SP 0509 050708 127 121020 1035 120893 -127 -266
SP 0509 050720 157 123420 1219 123823 403 137
SP 0509 050721 187 123810 357 124393 583 720
SP 0509 050725 150 123900 20 124030 130 850
SP 0509 050727 120 123980 1356 123860 -120 730
SP 0509 050728 109 124010 536 123901 -109 621
SP 0509 050802 150 124720 1449 124570 -150 471
SP 0509 050803 150 124720 1124 124690 -30 441
SP 0509 050805 135 122930 1027 122885 45 486
SP 0509 050808 135 122990 945 122565 425 911
SP 0509 050816 176 122430 1320 122606 -176 735
SP 0509 050818 176 122040 229 121886 154 889
SP 0509 050822 165 121830 1212 121995 -165 724
SP 0509 050831 97 121570 1357 121473 -97 627
SP 0509 050914 97 122860 1320 122747 113 740
SP 0512 050914 97 123470 1318 123567 -97 643
SP 0512 050920 124 123100 1347 122600 500 1143
SP 0512 050929 120 122920 1230 122800 -120 1023
SP 0512 051024 202 120020 1442 120128 108 1131
SP 0512 051026 225 120310 515 120475 165 1296
SP 0603 051031 165 121200 830 121720 520 1816
SP 0512 051031 202 120510 621 121248 738 2554
SP 0512 051102 247 121120 946 121770 650 3204
SP 0512 051107 315 122620 1317 122305 -315 2889
SP 0512 051109 322 122750 1124 122628 -122 2767
SP 0512 051110 180 122820 1243 123360 540 3307
SP 0512 051117 165 124050 1311 124480 430 3737
SP 0603 051206 67 127630 832 128213 583 4320
SP 0512 051206 154 127110 1054 127266 156 4476
SP 0603 051207 109 126600 1228 126309 291 4767
Number Trades= 31 POTL= 4767 AVG= 153 AVG-RISK= 160 RW/RSK= 0.96
WINS-TRADES 6534/ 18 LOSS-TRADES -1767/ 13
Detail Report
All Research results are in trading fractions.
12345678 Period 060102 - 060630, Percentage of Basic Model Octant = 60
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0603 060120 165 127780 952 127945 -165 -165
SP 0603 060125 255 126520 1125 126775 -255 -420
SP 0603 060214 150 127790 1305 127640 -150 -570
SP 0603 060215 172 127990 911 128198 208 -362
SP 0603 060222 255 129230 1022 129345 115 -247
SP 0603 060223 270 129550 1142 129320 -230 -477
SP 0603 060227 157 129520 13 129363 -157 -634
SP 0606 060227 49 130480 841 130431 -49 -683
SP 0606 060228 64 129700 931 129164 536 -147
SP 0606 060302 64 129750 830 129564 186 39
SP 0603 060303 131 128020 800 128131 -111 -72
SP 0603 060306 131 128130 1238 127781 349 277
SP 0606 060306 97 129480 1230 128827 653 930
SP 0603 060307 161 127740 206 127901 -161 769
SP 0603 060314 191 129740 1326 129850 110 879
SP 0606 060314 154 130310 1214 130880 570 1449
SP 0606 060328 120 130380 1333 130500 -120 1329
SP 0606 060405 112 131720 854 131608 -112 1217
SP 0606 060406 131 131960 122 131829 -131 1086
SP 0606 060407 135 130180 1441 130295 -115 971
SP 0606 060410 135 130170 1328 130305 -135 836
SP 0606 060411 142 130070 921 129112 958 1794
SP 0606 060427 135 130420 507 130185 235 2029
SP 0606 060505 127 132380 730 132253 -127 1902
SP 0606 060612 375 123980 1425 123640 340 2242
SP 0609 060628 150 124760 1023 124910 -150 2092
SP 0609 060629 157 126880 1010 126723 -157 1935
Number Trades= 27 POTL= 1935 AVG= 71 AVG-RISK= 155 RW/RSK= 0.46
WINS-TRADES 4260/ 11 LOSS-TRADES -2325/ 16
Detail Report
All Research results are in trading fractions.
12345678 Period 060701 - 061231, Percentage of Basic Model Octant = 60
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0609 060713 195 126250 653 124525 1725 1725
SP 0609 060802 292 128460 1015 128508 48 1773
SP 0609 060803 217 128720 1252 128683 -37 1736
SP 0609 060804 202 128860 724 129558 698 2434
SP 0609 060811 157 126780 1156 126737 43 2477
SP 0609 060815 172 128950 1425 128778 -172 2305
SP 0609 060816 206 129360 740 129794 434 2739
SP 0609 060828 97 130550 1056 130653 103 2842
SP 0609 060829 109 130680 1432 130641 -39 2803
SP 0609 060830 116 130770 830 130754 -16 2787
SP 0609 060831 120 130810 731 130720 -90 2697
SP 0609 060901 120 130940 730 130820 -120 2577
SP 0609 060905 157 131500 25 131343 -157 2420
SP 0612 060922 112 132290 925 132232 58 2478
SP 0612 060925 127 133920 1355 133793 -127 2351
SP 0612 060926 131 133920 904 134600 680 3031
SP 0612 060928 210 134960 837 134750 -210 2821
SP 0612 061004 210 134960 1040 135870 910 3731
SP 0612 061012 79 136270 757 136191 -79 3652
SP 0612 061023 165 137790 21 137625 -165 3487
SP 0612 061031 120 137830 1137 137830 0 3487
SP 0612 061101 127 137730 1127 137857 -127 3360
SP 0612 061114 195 139390 737 139755 365 3725
SP 0612 061122 82 140760 103 141018 258 3983
SP 0612 061127 94 139580 903 138374 1206 5189
SP 0703 061204 180 142050 1017 141870 -180 5009
SP 0612 061204 195 140920 1204 141135 215 5224
SP 0703 061213 195 142950 730 142895 -55 5169
SP 0703 061214 202 143050 851 143840 790 5959
SP 0612 061214 199 141800 851 142650 850 6809
Number Trades= 30 POTL= 6809 AVG= 226 AVG-RISK= 159 RW/RSK= 1.42
WINS-TRADES 8383/ 15 LOSS-TRADES -1574/ 15
------------------ Data Set #2 Risk = 80% of Octant ----------------------------------------
Drawdown Analysis of SP on 6 Month Intervals: Stop = 80% of Octant
Summary Table
#Td Win Lose Potl Ave$ Risk Ave$ R/R Gross Potl$ Win$ Lose$
2001 Jun 23 15 8 404 505 0.80 9,310 11,490 2,180
2001 Dec 25 14 11 80 397 0.20 2,010 5,450 3,440
2002 Jun 19 8 11 365 371 1.38 6,940 9,250 2,310
2002 Dec 23 10 13 218 423 0.52 5,020 8,580 3,560
2003 Jun 19 11 8 149 365 0.41 2,840 4,860 2,020
2003 Dec 22 15 7 197 229 0.86 4,340 5,430 1,090
2004 Jun 25 12 13 118 226 0.52 2,960 5,910 2,950
2004 Dec 40 20 20 67 226 0.30 2,700 6,605 3,905
2005 Jun 37 20 17 144 191 0.75 6,830 7,705 2.345
2005 Dec 31 20 11 183 213 0.86 5,680 7,535 1,855
2006 Jun 27 15 12 136 206 0.66 3,680 6,110 2,430
2006 Dec 30 15 15 228 212 1.08 6,825 8,855 2,030
Total Trades 321
Potl 57,549 Average $179
Risk 73,698 Average $230
Wins 76,290 Average $238
Losses 30,115 Average $ 94
R/R Average 0.78
Detail Report
All Research results are in trading fractions.
12345678 Period 010102 - 010630, Percentage of Basic Model Octant = 80
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0103 010119 730 136450 1649 136450 0 0
SP 0103 010122 720 136350 1004 135700 -650 -650
SP 0103 010123 730 136450 1303 136600 150 -500
SP 0103 010130 510 137720 1351 138250 530 30
SP 0103 010207 340 135160 1558 135500 -340 -310
SP 0103 010208 430 134270 1233 134700 -430 -740
SP 0103 010214 660 131900 844 131510 390 -350
SP 0103 010216 580 131050 810 130230 820 470
SP 0103 010220 650 130080 957 128550 1530 2000
SP 0103 010301 640 122150 1124 122240 -90 1910
SP 0106 010320 430 115750 1434 115300 450 2360
SP 0106 010403 720 111850 1326 110850 1000 3360
SP 0106 010427 430 125750 1445 125850 100 3460
SP 0106 010501 470 126200 1309 127300 1100 4560
SP 0106 010502 590 127310 1545 127210 -100 4460
SP 0106 010511 320 124460 1407 124700 -240 4220
SP 0106 010516 330 124200 645 124530 -330 3890
SP 0106 010612 340 124400 830 123890 510 4400
SP 0109 010612 330 125860 722 124850 1010 5410
SP 0106 010613 350 124750 1344 124330 420 5830
SP 0109 010613 340 125770 1317 125280 490 6320
SP 0109 010614 450 124650 808 122350 2300 8620
SP 0109 010626 540 121580 556 120890 690 9310
Number Trades= 23 POTL= 9310 AVG= 404 AVG-RISK= 505 RW/RSK= 0.80
WINS-TRADES 11490/ 15 LOSS-TRADES -2180/ 8
Detail Report
All Research results are in trading fractions.
12345678 Period 010701 - 011231, Percentage of Basic Model Octant = 80
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0109 010719 440 122550 831 122710 160 160
SP 0109 010802 550 123020 558 122870 -150 10
SP 0109 010803 520 122710 1716 122260 -450 -440
SP 0109 010807 260 120080 429 120110 -30 -470
SP 0109 010808 260 120050 537 120310 -260 -730
SP 0109 010816 550 117410 501 117350 60 -670
SP 0109 010817 500 116850 920 116340 510 -160
SP 0109 010820 490 116290 1911 116590 -300 -460
SP 0109 010821 470 116280 1432 115600 680 220
SP 0112 010824 190 118580 944 119450 870 1090
SP 0109 010906 510 112080 830 112590 -510 580
SP 0112 011011 360 108750 652 109960 1210 1790
SP 0112 011017 500 110220 1615 110950 730 2520
SP 0112 011025 440 110450 1514 110110 -340 2180
SP 0112 011113 380 113550 944 113960 410 2590
SP 0112 011115 480 114550 2329 114710 160 2750
SP 0112 011123 380 115250 1137 115350 100 2850
SP 0112 011126 220 115310 1737 115090 -220 2630
SP 0112 011127 270 115850 1256 116210 360 2990
SP 0112 011128 270 113080 1444 112950 130 3120
SP 0112 011203 290 112850 900 112790 60 3180
SP 0112 011213 480 112590 737 113070 -480 2700
SP 0203 011219 330 115020 1013 114690 -330 2370
SP 0203 011226 370 115450 850 115080 -370 2000
SP 0203 011228 430 116160 11 116170 10 2010
Number Trades= 25 POTL= 2010 AVG= 80 AVG-RISK= 397 RW/RSK= 0.20
WINS-TRADES 5450/ 14 LOSS-TRADES -3440/ 11
Detail Report
All Research results are in trading fractions.
12345678 Period 020102 - 020630, Percentage of Basic Model Octant = 80
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0203 020103 260 116540 1430 116280 -260 -260
SP 0203 020107 340 117510 225 117510 0 -260
SP 0203 020114 360 114080 945 114440 -360 -620
SP 0203 020115 380 113850 1259 114080 -230 -850
SP 0203 020116 390 113780 839 112820 960 110
SP 0203 020118 450 112700 6 113150 -450 -340
SP 0203 020122 510 112420 1106 112290 130 -210
SP 0203 020123 410 111980 902 112160 -180 -390
SP 0203 020129 310 111700 1101 110080 1620 1230
SP 0203 020205 510 108600 904 108710 -110 1120
SP 0206 020318 280 117550 852 117270 -280 840
SP 0206 020319 260 117520 1113 117440 -80 760
SP 0206 020325 300 114560 945 113600 960 1720
SP 0206 020403 300 113380 925 112380 1000 2720
SP 0206 020415 400 110380 1020 110430 -50 2670
SP 0206 020423 310 110180 1434 110490 -310 2360
SP 0206 020506 300 106360 1402 105190 1170 3530
SP 0206 020614 530 99600 829 98330 1270 4800
SP 0209 020614 450 100590 325 98450 2140 6940
Number Trades= 19 POTL= 6940 AVG= 365 AVG-RISK= 371 RW/RSK= 0.98
WINS-TRADES 9250/ 8 LOSS-TRADES -2310/ 11
Detail Report
All Research results are in trading fractions.
12345678 Period 020701 - 021231, Percentage of Basic Model Octant = 80
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0209 020702 520 95410 938 95080 330 330
SP 0209 020703 600 94670 338 94100 570 900
SP 0209 020718 700 88650 1355 87670 980 1880
SP 0209 020828 480 91580 1112 92060 -480 1400
SP 0212 020930 520 81770 650 80370 1400 2800
SP 0212 021004 530 80280 1022 79780 500 3300
SP 0212 021007 610 79450 948 80060 -610 2690
SP 0212 021024 410 89940 730 89530 -410 2280
SP 0212 021028 440 90290 9 90500 210 2490
SP 0212 021104 370 90850 10 92130 1280 3770
SP 0212 021127 440 93720 1056 93660 -60 3710
SP 0212 021127 440 93720 1056 93660 -60 3650
SP 0212 021129 460 93970 12 93740 -230 3420
SP 0212 021202 460 93940 15 95020 1080 4500
SP 0212 021205 340 90700 1012 90870 -170 4330
SP 0212 021209 370 90450 830 89220 1230 5560
SP 0303 021213 310 89270 333 89580 -310 5250
SP 0212 021213 350 89270 830 89620 -350 4900
SP 0303 021218 290 88730 959 88900 -170 4730
SP 0212 021218 330 88850 959 89050 -200 4530
SP 0303 021219 240 88650 518 88890 -240 4290
SP 0212 021219 270 88700 830 88970 -270 4020
SP 0303 021227 270 88170 944 87170 1000 5020
Number Trades= 23 POTL= 5020 AVG= 218 AVG-RISK= 423 RW/RSK= 0.52
WINS-TRADES 8580/ 10 LOSS-TRADES -3560/ 13
Detail Report
All Research results are in trading fractions.
12345678 Period 030102 - 030630, Percentage of Basic Model Octant = 80
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0303 030110 370 93120 954 92930 -190 -190
SP 0303 030113 330 93160 209 93320 160 -30
SP 0303 030204 280 84150 903 84130 20 -10
SP 0303 030206 300 83910 731 84210 -300 -310
SP 0303 030207 370 83280 916 83650 -370 -680
SP 0303 030210 370 82680 913 83050 -370 -1050
SP 0303 030212 400 82360 933 81900 460 -590
SP 0306 030331 430 84990 646 84610 380 -210
SP 0306 030414 410 88620 1509 88580 -40 -250
SP 0306 030415 230 88620 20 90070 1450 1200
SP 0306 030422 350 89980 951 90850 870 2070
SP 0306 030429 410 91910 855 91960 50 2120
SP 0306 030430 410 91950 1010 91540 -410 1710
SP 0306 030502 340 92180 905 91840 -340 1370
SP 0306 030506 370 93280 903 93580 300 1670
SP 0306 030512 350 93720 954 94150 430 2100
SP 0306 030527 330 94830 1232 95020 190 2290
SP 0306 030612 510 99920 203 99920 0 2290
SP 0306 030616 390 100480 1001 101030 550 2840
Number Trades= 19 POTL= 2840 AVG= 149 AVG-RISK= 365 RW/RSK= 0.41
WINS-TRADES 4860/ 11 LOSS-TRADES -2020/ 8
Detail Report
All Research results are in trading fractions.
12345678 Period 030701 - 031231, Percentage of Basic Model Octant = 80
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0309 030702 180 98610 842 99210 600 600
SP 0309 030707 330 100170 916 100170 0 600
SP 0309 030714 400 100850 831 101030 180 780
SP 0309 030717 330 98050 1140 98000 50 830
SP 0309 030721 360 97780 1015 97720 60 890
SP 0309 030804 245 97480 841 96795 685 1575
SP 0309 030805 310 96780 1413 96070 710 2285
SP 0309 030819 280 99920 5 99640 -280 2005
SP 0309 030910 130 101880 844 102010 -130 1875
SP 0312 030910 120 101780 833 101900 -120 1755
SP 0312 031016 230 104950 1134 104990 40 1795
SP 0312 031022 190 103180 942 102640 540 2335
SP 0312 031023 240 102400 6 102110 290 2625
SP 0312 031024 260 102200 5 101910 290 2915
SP 0312 031107 170 105970 15 106250 280 3195
SP 0312 031113 165 105960 220 105795 -165 3030
SP 0312 031114 160 105970 839 106170 200 3230
SP 0312 031117 175 104330 316 103625 705 3935
SP 0312 031211 235 107390 1431 107155 -235 3700
SP 0312 031212 175 107400 1410 107420 20 3720
SP 0312 031215 160 108450 832 108290 -160 3560
SP 0403 031218 210 107980 857 108760 780 4340
Number Trades= 22 POTL= 4340 AVG= 197 AVG-RISK= 229 RW/RSK= 0.86
WINS-TRADES 5430/ 15 LOSS-TRADES -1090/ 7
Detail Report
All Research results are in trading fractions.
12345678 Period 040102 - 040630, Percentage of Basic Model Octant = 80
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0403 040107 230 112220 25 111990 -230 -230
SP 0403 040114 250 113120 1504 112870 -250 -480
SP 0403 040116 220 113570 14 113350 -220 -700
SP 0403 040121 250 114050 1123 114620 570 -130
SP 0403 040123 320 114850 910 114580 -270 -400
SP 0403 040126 330 114940 1401 115250 310 -90
SP 0403 040219 220 115810 830 115610 -200 -290
SP 0403 040224 215 113680 722 113895 -215 -505
SP 0406 040304 120 115200 1026 115330 130 -375
SP 0403 040305 215 115720 921 116135 415 40
SP 0406 040308 125 114400 1501 114300 100 140
SP 0403 040310 225 113600 5 113825 -225 -85
SP 0406 040319 230 112630 13 112490 -140 -225
SP 0406 040322 230 110190 242 110420 -230 -455
SP 0406 040413 300 114920 732 114620 -300 -755
SP 0406 040420 270 112180 1444 111620 560 -195
SP 0406 040506 240 110550 1141 110720 -170 -365
SP 0406 040507 230 110580 740 110810 -230 -595
SP 0406 040519 270 110420 909 110150 -270 -865
SP 0406 040525 280 110520 1204 111090 570 -295
SP 0406 040525 280 110520 1204 111090 570 275
SP 0406 040604 170 112750 1131 112780 30 305
SP 0406 040607 180 112810 102 113990 1180 1485
SP 0409 040607 75 112790 832 114045 1255 2740
SP 0409 040623 175 114150 1414 114370 220 2960
Number Trades= 25 POTL= 2960 AVG= 118 AVG-RISK= 226 RW/RSK= 0.52
WINS-TRADES 5910/ 12 LOSS-TRADES -2950/ 13
Detail Report
All Research results are in trading fractions.
12345678 Period 040701 - 041231, Percentage of Basic Model Octant = 80
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0409 040701 195 112500 1012 112445 55 55
SP 0409 040714 220 110670 740 110890 -220 -165
SP 0409 040715 220 110650 1453 110470 180 15
SP 0409 040719 195 110140 839 109745 395 410
SP 0409 040720 245 109640 44 109815 -175 235
SP 0409 040721 245 109630 1444 109150 480 715
SP 0409 040723 300 108780 902 109080 -300 415
SP 0409 040726 340 108370 924 108710 -340 75
SP 0409 040805 285 107780 1502 107920 -140 -65
SP 0409 040813 160 106180 908 106340 -160 -225
SP 0409 040816 170 107830 1011 107660 -170 -395
SP 0409 040817 190 108020 628 108510 490 95
SP 0409 040818 270 108830 943 108560 -270 -175
SP 0409 040824 390 110020 232 109720 -300 -475
SP 0409 040825 400 110150 1144 110380 230 -245
SP 0409 040827 300 110620 802 110820 200 -45
SP 0409 040902 245 110970 1305 111755 785 740
SP 0409 040913 100 112580 830 112920 340 1080
SP 0412 040913 100 112510 259 112990 480 1560
SP 0409 040914 150 112930 1158 112780 -150 1410
SP 0412 040914 150 113030 1202 112890 -140 1270
SP 0412 040917 155 113020 947 112965 -55 1215
SP 0412 040921 160 113150 1358 112990 -160 1055
SP 0412 040922 165 111420 1300 111585 -165 890
SP 0412 041001 135 111790 648 113320 1530 2420
SP 0412 041020 260 110160 7 109640 520 2940
SP 0412 041022 310 109790 1352 109590 200 3140
SP 0412 041119 160 117270 935 117430 -160 2980
SP 0412 041129 200 118910 348 118930 20 3000
SP 0412 041201 200 118910 1121 118710 -200 2800
SP 0412 041202 220 119110 423 119430 320 3120
SP 0412 041203 250 119480 11 119580 100 3220
SP 0503 041213 205 119680 806 119475 -205 3015
SP 0412 041213 210 119550 835 119340 -210 2805
SP 0503 041222 320 120940 300 121110 170 2975
SP 0503 041223 290 121320 831 121360 40 3015
SP 0503 041223 290 121320 831 121360 40 3055
SP 0503 041228 225 121560 931 121335 -225 2830
SP 0503 041229 210 121670 1500 121700 30 2860
SP 0503 041231 230 121900 1332 121740 -160 2700
Number Trades= 40 POTL= 2700 AVG= 67 AVG-RISK= 226 RW/RSK= 0.30
WINS-TRADES 6605/ 20 LOSS-TRADES -3905/ 20
Detail Report
All Research results are in trading fractions.
12345678 Period 050102 - 050630, 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
Number Trades= 37 POTL= 5360 AVG= 144 AVG-RISK= 191 RW/RSK= 0.75
WINS-TRADES 7705/ 20 LOSS-TRADES -2345/ 17
Detail Report
All Research results are in trading fractions.
12345678 Period 050701 - 051231, Percentage of Basic Model Octant = 80
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0509 050707 185 119270 358 119455 -185 -185
SP 0509 050708 170 121020 1035 121640 620 435
SP 0509 050720 210 123420 1219 123770 350 785
SP 0509 050721 250 123810 357 124330 520 1305
SP 0509 050725 200 123900 20 123980 80 1385
SP 0509 050727 160 123980 1356 123970 -10 1375
SP 0509 050728 145 124010 536 123865 -145 1230
SP 0509 050802 200 124720 1449 124520 -200 1030
SP 0509 050803 200 124720 1124 124640 -80 950
SP 0509 050805 180 122930 1027 122930 0 950
SP 0509 050808 180 122990 945 122610 380 1330
SP 0509 050816 235 122430 1320 122665 -235 1095
SP 0509 050818 235 122040 229 121945 95 1190
SP 0509 050822 220 121830 1212 122050 -220 970
SP 0509 050831 130 121570 1357 122270 700 1670
SP 0509 050914 130 122860 1320 122780 80 1750
SP 0512 050914 130 123470 1318 123600 -130 1620
SP 0512 050920 165 123100 1347 122600 500 2120
SP 0512 050929 160 122920 1230 123270 350 2470
SP 0512 051024 270 120020 1442 120060 40 2510
SP 0512 051026 300 120310 515 120400 90 2600
SP 0603 051031 220 121200 830 121720 520 3120
SP 0512 051031 270 120510 621 121180 670 3790
SP 0512 051102 330 121120 946 121770 650 4440
SP 0512 051107 420 122620 1317 122200 -420 4020
SP 0512 051109 430 122750 1124 122520 -230 3790
SP 0512 051110 240 122820 1243 123360 540 4330
SP 0512 051117 220 124050 1311 124480 430 4760
SP 0603 051206 90 127630 832 128190 560 5320
SP 0512 051206 205 127110 1054 127215 105 5425
SP 0603 051207 145 126600 1228 126345 255 5680
Number Trades= 31 POTL= 5680 AVG= 183 AVG-RISK= 213 RW/RSK= 0.86
WINS-TRADES 7535/ 20 LOSS-TRADES -1855/ 11
Detail Report
All Research results are in trading fractions.
12345678 Period 060102 - 060630, Percentage of Basic Model Octant = 80
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0603 060120 220 127780 952 126480 1300 1300
SP 0603 060125 340 126520 1125 126860 -340 960
SP 0603 060214 200 127790 1305 127930 140 1100
SP 0603 060215 230 127990 911 128140 150 1250
SP 0603 060222 340 129230 1022 129260 30 1280
SP 0603 060223 360 129550 1142 129230 -320 960
SP 0603 060227 210 129520 13 129310 -210 750
SP 0606 060227 65 130480 841 130865 385 1135
SP 0606 060228 85 129700 931 129185 515 1650
SP 0606 060302 85 129750 830 129585 165 1815
SP 0603 060303 175 128020 800 128175 -155 1660
SP 0603 060306 175 128130 1238 127800 330 1990
SP 0606 060306 130 129480 1230 128860 620 2610
SP 0603 060307 215 127740 206 127385 355 2965
SP 0603 060314 255 129740 1326 129850 110 3075
SP 0606 060314 205 130310 1214 130880 570 3645
SP 0606 060328 160 130380 1333 130540 -160 3485
SP 0606 060405 150 131720 854 131570 -150 3335
SP 0606 060406 175 131960 122 131785 -175 3160
SP 0606 060407 180 130180 1441 130340 -160 3000
SP 0606 060410 180 130170 1328 130350 -180 2820
SP 0606 060411 190 130070 921 129160 910 3730
SP 0606 060427 180 130420 507 130230 190 3920
SP 0606 060505 170 132380 730 132210 -170 3750
SP 0606 060612 500 123980 1425 123640 340 4090
SP 0609 060628 200 124760 1023 124960 -200 3890
SP 0609 060629 210 126880 1010 126670 -210 3680
Number Trades= 27 POTL= 3680 AVG= 136 AVG-RISK= 206 RW/RSK= 0.66
WINS-TRADES 6110/ 15 LOSS-TRADES -2430/ 12
Detail Report
All Research results are in trading fractions.
12345678 Period 060701 - 061231, Percentage of Basic Model Octant = 80
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0609 060713 260 126250 653 124590 1660 1660
SP 0609 060802 390 128460 1015 128410 -50 1610
SP 0609 060803 290 128720 1252 128610 -110 1500
SP 0609 060804 270 128860 724 129490 630 2130
SP 0609 060811 210 126780 1156 126790 -10 2120
SP 0609 060815 230 128950 1425 128720 -230 1890
SP 0609 060816 275 129360 740 129750 390 2280
SP 0609 060828 130 130550 1056 130620 70 2350
SP 0609 060829 145 130680 1432 130605 -75 2275
SP 0609 060830 155 130770 830 130715 -55 2220
SP 0609 060831 160 130810 731 130680 -130 2090
SP 0609 060901 160 130940 730 130780 -160 1930
SP 0609 060905 210 131500 25 131290 -210 1720
SP 0612 060922 150 132290 925 132270 20 1740
SP 0612 060925 170 133920 1355 133750 -170 1570
SP 0612 060926 175 133920 904 134600 680 2250
SP 0612 060928 280 134960 837 134680 -280 1970
SP 0612 061004 280 134960 1040 135870 910 2880
SP 0612 061012 105 136270 757 137070 800 3680
SP 0612 061023 220 137790 21 137570 -220 3460
SP 0612 061031 160 137830 1137 137870 -40 3420
SP 0612 061101 170 137730 1127 137900 -170 3250
SP 0612 061114 260 139390 737 139690 300 3550
SP 0612 061122 110 140760 103 140990 230 3780
SP 0612 061127 125 139580 903 138405 1175 4955
SP 0703 061204 240 142050 1017 142280 230 5185
SP 0612 061204 260 140920 1204 141070 150 5335
SP 0703 061213 260 142950 730 142830 -120 5215
SP 0703 061214 270 143050 851 143840 790 6005
SP 0612 061214 265 141800 851 142650 850 6855
Number Trades= 30 POTL= 6855 AVG= 228 AVG-RISK= 212 RW/RSK= 1.08
WINS-TRADES 8885/ 15 LOSS-TRADES -2030/ 15
------------------ Data Set #3 Risk = 40% of Octant ---------------------------------
Drawdown Analysis of SP on 6 Month Intervals: Stop = 40% of Octant
Summary Table
#Td Win Lose Potl Ave$ Risk Ave$ R/R Gross Potl$ Win$ Lose$
2001 Jun 23 15 8 447 252 1.77 10,290 11,830 1,540
2001 Dec 25 13 12 159 198 0.80 3,990 5,975 1,985
2002 Jun 19 11 8 439 185 2.37 8,355 9,675 1,320
2002 Dec 23 12 11 422 211 2.00 9,720 11,115 1,395
2003 Jun 19 10 9 235 182 1.29 4,475 5,775 1,300
2003 Dec 22 12 10 221 114 1.94 4,870 5,863 993
2004 Jun 25 7 18 78 112 0.70 1,950 3,773 1,823
2004 Dec 40 19 21 140 113 1.24 5,600 7,785 2,185
2005 Jun 37 20 17 159 95 1.67 5,922 7,184 1,262
2005 Dec 31 16 15 155 106 1.46 4,826 6,154 1,328
2006 Jun 27 11 16 114 103 1.11 3.091 4,614 1,523
2006 Dec 30 16 14 190 106 1.79 5,713 7,021 1,308
Total Trades 321
Potl 68,766 Average $214
Risk 45,162 Average $141
Wins 86,766 Average $270
Losses 17,962 Average $ 56
R/R Average 1.52
Detail Report
All Research results are in trading fractions.
12345678 Period 010102 - 010630, Percentage of Basic Model Octant = 40
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0103 010119 365 136450 1649 136815 365 365
SP 0103 010122 360 136350 1004 136060 -290 75
SP 0103 010123 365 136450 1303 136935 485 560
SP 0103 010130 255 137720 1351 138250 530 1090
SP 0103 010207 170 135160 1558 135330 -170 920
SP 0103 010208 215 134270 1233 134485 -215 705
SP 0103 010214 330 131900 844 131180 720 1425
SP 0103 010216 290 131050 810 129940 1110 2535
SP 0103 010220 325 130080 957 128525 1555 4090
SP 0103 010301 320 122150 1124 121920 230 4320
SP 0106 010320 215 115750 1434 115965 -215 4105
SP 0106 010403 360 111850 1326 110850 1000 5105
SP 0106 010427 215 125750 1445 125850 100 5205
SP 0106 010501 235 126200 1309 125965 -235 4970
SP 0106 010502 295 127310 1545 127505 195 5165
SP 0106 010511 160 124460 1407 124540 -80 5085
SP 0106 010516 165 124200 645 124365 -165 4920
SP 0106 010612 170 124400 830 123720 680 5600
SP 0109 010612 165 125860 722 124685 1175 6775
SP 0106 010613 175 124750 1344 124325 425 7200
SP 0109 010613 170 125770 1317 125940 -170 7030
SP 0109 010614 225 124650 808 122350 2300 9330
SP 0109 010626 270 121580 556 120620 960 10290
Number Trades= 23 POTL= 10290 AVG= 447 AVG-RISK= 252 RW/RSK= 1.77
WINS-TRADES 11830/ 15 LOSS-TRADES -1540/ 8
Detail Report
All Research results are in trading fractions.
12345678 Period 010701 - 011231, Percentage of Basic Model Octant = 40
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0109 010719 220 122550 831 122930 380 380
SP 0109 010802 275 123020 558 123145 125 505
SP 0109 010803 260 122710 1716 122520 -190 315
SP 0109 010807 130 120080 429 119980 100 415
SP 0109 010808 130 120050 537 120180 -130 285
SP 0109 010816 275 117410 501 117075 335 620
SP 0109 010817 250 116850 920 117100 -250 370
SP 0109 010820 245 116290 1911 116345 -55 315
SP 0109 010821 235 116280 1432 115600 680 995
SP 0112 010824 95 118580 944 118485 -95 900
SP 0109 010906 255 112080 830 112335 -255 645
SP 0112 011011 180 108750 652 110070 1320 1965
SP 0112 011017 250 110220 1615 111200 980 2945
SP 0112 011025 220 110450 1514 110330 -120 2825
SP 0112 011113 190 113550 944 114150 600 3425
SP 0112 011115 240 114550 2329 114950 400 3825
SP 0112 011123 190 115250 1137 115060 -190 3635
SP 0112 011126 110 115310 1737 115200 -110 3525
SP 0112 011127 135 115850 1256 116345 495 4020
SP 0112 011128 135 113080 1444 112950 130 4150
SP 0112 011203 145 112850 900 112645 205 4355
SP 0112 011213 240 112590 737 112830 -240 4115
SP 0203 011219 165 115020 1013 114855 -165 3950
SP 0203 011226 185 115450 850 115265 -185 3765
SP 0203 011228 215 116160 11 116385 225 3990
Number Trades= 25 POTL= 3990 AVG= 159 AVG-RISK= 198 RW/RSK= 0.80
WINS-TRADES 5975/ 13 LOSS-TRADES -1985/ 12
Detail Report
All Research results are in trading fractions.
12345678 Period 020102 - 020630, Percentage of Basic Model Octant = 40
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0203 020103 130 116540 1430 116410 -130 -130
SP 0203 020107 170 117510 225 117680 170 40
SP 0203 020114 180 114080 945 114260 -180 -140
SP 0203 020115 190 113850 1259 113890 -40 -180
SP 0203 020116 195 113780 839 113975 -195 -375
SP 0203 020118 225 112700 6 112925 -225 -600
SP 0203 020122 255 112420 1106 112675 -255 -855
SP 0203 020123 205 111980 902 111955 25 -830
SP 0203 020129 155 111700 1101 109925 1775 945
SP 0203 020205 255 108600 904 108455 145 1090
SP 0206 020318 140 117550 852 117410 -140 950
SP 0206 020319 130 117520 1113 117570 50 1000
SP 0206 020325 150 114560 945 113450 1110 2110
SP 0206 020403 150 113380 925 112230 1150 3260
SP 0206 020415 200 110380 1020 110230 150 3410
SP 0206 020423 155 110180 1434 110335 -155 3255
SP 0206 020506 150 106360 1402 105160 1200 4455
SP 0206 020614 265 99600 829 98065 1535 5990
SP 0209 020614 225 100590 325 98225 2365 8355
Number Trades= 19 POTL= 8355 AVG= 439 AVG-RISK= 185 RW/RSK= 2.37
WINS-TRADES 9675/ 11 LOSS-TRADES -1320/ 8
Detail Report
All Research results are in trading fractions.
12345678 Period 020701 - 021231, Percentage of Basic Model Octant = 40
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0209 020702 260 95410 938 94820 590 590
SP 0209 020703 300 94670 338 93800 870 1460
SP 0209 020718 350 88650 1355 87320 1330 2790
SP 0209 020828 240 91580 1112 91820 -240 2550
SP 0212 020930 260 81770 650 80110 1660 4210
SP 0212 021004 265 80280 1022 79515 765 4975
SP 0212 021007 305 79450 948 79755 -305 4670
SP 0212 021024 205 89940 730 89735 -205 4465
SP 0212 021028 220 90290 9 90720 430 4895
SP 0212 021104 185 90850 10 92315 1465 6360
SP 0212 021127 220 93720 1056 93860 140 6500
SP 0212 021127 220 93720 1056 93860 140 6640
SP 0212 021129 230 93970 12 93970 0 6640
SP 0212 021202 230 93940 15 95250 1310 7950
SP 0212 021205 170 90700 1012 90700 0 7950
SP 0212 021209 185 90450 830 89035 1415 9365
SP 0303 021213 155 89270 333 89425 -155 9210
SP 0212 021213 175 89270 830 89445 -175 9035
SP 0303 021218 145 88730 959 88755 -25 9010
SP 0212 021218 165 88850 959 88885 -35 8975
SP 0303 021219 120 88650 518 88770 -120 8855
SP 0212 021219 135 88700 830 88835 -135 8720
SP 0303 021227 135 88170 944 87170 1000 9720
Number Trades= 23 POTL= 9720 AVG= 422 AVG-RISK= 211 RW/RSK= 2.00
WINS-TRADES 11115/ 12 LOSS-TRADES -1395/ 11
Detail Report
All Research results are in trading fractions.
12345678 Period 030102 - 030630, Percentage of Basic Model Octant = 40
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0303 030110 185 93120 954 93115 -5 -5
SP 0303 030113 165 93160 209 93485 325 320
SP 0303 030204 140 84150 903 83990 160 480
SP 0303 030206 150 83910 731 84060 -150 330
SP 0303 030207 185 83280 916 83465 -185 145
SP 0303 030210 185 82680 913 82865 -185 -40
SP 0303 030212 200 82360 933 81700 660 620
SP 0306 030331 215 84990 646 84395 595 1215
SP 0306 030414 205 88620 1509 88580 -40 1175
SP 0306 030415 115 88620 20 90185 1565 2740
SP 0306 030422 175 89980 951 91025 1045 3785
SP 0306 030429 205 91910 855 92165 255 4040
SP 0306 030430 205 91950 1010 91745 -205 3835
SP 0306 030502 170 92180 905 92010 -170 3665
SP 0306 030506 185 93280 903 93765 485 4150
SP 0306 030512 175 93720 954 94150 430 4580
SP 0306 030527 165 94830 1232 94665 -165 4415
SP 0306 030612 255 99920 203 100175 255 4670
SP 0306 030616 195 100480 1001 100285 -195 4475
Number Trades= 19 POTL= 4475 AVG= 235 AVG-RISK= 182 RW/RSK= 1.29
WINS-TRADES 5775/ 10 LOSS-TRADES -1300/ 9
Detail Report
All Research results are in trading fractions.
12345678 Period 030701 - 031231, Percentage of Basic Model Octant = 40
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0309 030702 90 98610 842 99300 690 690
SP 0309 030707 165 100170 916 100335 165 855
SP 0309 030714 200 100850 831 101230 380 1235
SP 0309 030717 165 98050 1140 98215 -165 1070
SP 0309 030721 180 97780 1015 97960 -180 890
SP 0309 030804 122 97480 841 96672 808 1698
SP 0309 030805 155 96780 1413 96005 775 2473
SP 0309 030819 140 99920 5 99780 -140 2333
SP 0309 030910 65 101880 844 101945 -65 2268
SP 0312 030910 60 101780 833 101840 -60 2208
SP 0312 031016 115 104950 1134 105105 155 2363
SP 0312 031022 95 103180 942 102545 635 2998
SP 0312 031023 120 102400 6 101990 410 3408
SP 0312 031024 130 102200 5 101780 420 3828
SP 0312 031107 85 105970 15 106335 365 4193
SP 0312 031113 82 105960 220 105878 -82 4111
SP 0312 031114 80 105970 839 106250 280 4391
SP 0312 031117 87 104330 316 104417 -87 4304
SP 0312 031211 117 107390 1431 107273 -117 4187
SP 0312 031212 87 107400 1410 107383 -17 4170
SP 0312 031215 80 108450 832 108370 -80 4090
SP 0403 031218 105 107980 857 108760 780 4870
Number Trades= 22 POTL= 4870 AVG= 221 AVG-RISK= 114 RW/RSK= 1.94
WINS-TRADES 5863/ 12 LOSS-TRADES -993/ 10
Detail Report
All Research results are in trading fractions.
12345678 Period 040102 - 040630, Percentage of Basic Model Octant = 40
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0403 040107 115 112220 25 112105 -115 -115
SP 0403 040114 125 113120 1504 112995 -125 -240
SP 0403 040116 110 113570 14 113460 -110 -350
SP 0403 040121 125 114050 1123 114725 675 325
SP 0403 040123 160 114850 910 114740 -110 215
SP 0403 040126 165 114940 1401 115335 395 610
SP 0403 040219 110 115810 830 115720 -90 520
SP 0403 040224 107 113680 722 113787 -107 413
SP 0406 040304 60 115200 1026 115140 -60 353
SP 0403 040305 107 115720 921 116243 523 876
SP 0406 040308 62 114400 1501 114300 100 976
SP 0403 040310 112 113600 5 113712 -112 864
SP 0406 040319 115 112630 13 112605 -25 839
SP 0406 040322 115 110190 242 110305 -115 724
SP 0406 040413 150 114920 732 114770 -150 574
SP 0406 040420 135 112180 1444 111485 695 1269
SP 0406 040506 120 110550 1141 110600 -50 1219
SP 0406 040507 115 110580 740 110695 -115 1104
SP 0406 040519 135 110420 909 110285 -135 969
SP 0406 040525 140 110520 1204 110380 -140 829
SP 0406 040525 140 110520 1204 110380 -140 689
SP 0406 040604 85 112750 1131 112865 115 804
SP 0406 040607 90 112810 102 114080 1270 2074
SP 0409 040607 37 112790 832 112753 -37 2037
SP 0409 040623 87 114150 1414 114063 -87 1950
Number Trades= 25 POTL= 1950 AVG= 78 AVG-RISK= 112 RW/RSK= 0.70
WINS-TRADES 3773/ 7 LOSS-TRADES -1823/ 18
Detail Report
All Research results are in trading fractions.
12345678 Period 040701 - 041231, Percentage of Basic Model Octant = 40
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0409 040701 97 112500 1012 112347 153 153
SP 0409 040714 110 110670 740 110780 -110 43
SP 0409 040715 110 110650 1453 110360 290 333
SP 0409 040719 97 110140 839 109647 493 826
SP 0409 040720 122 109640 44 109692 -52 774
SP 0409 040721 122 109630 1444 109072 558 1332
SP 0409 040723 150 108780 902 108930 -150 1182
SP 0409 040726 170 108370 924 108540 -170 1012
SP 0409 040805 142 107780 1502 107922 -142 870
SP 0409 040813 80 106180 908 106260 -80 790
SP 0409 040816 85 107830 1011 107745 -85 705
SP 0409 040817 95 108020 628 108605 585 1290
SP 0409 040818 135 108830 943 108695 -135 1155
SP 0409 040824 195 110020 232 109915 -105 1050
SP 0409 040825 200 110150 1144 110450 300 1350
SP 0409 040827 150 110620 802 110470 -150 1200
SP 0409 040902 122 110970 1305 111878 908 2108
SP 0409 040913 50 112580 830 112970 390 2498
SP 0412 040913 50 112510 259 113040 530 3028
SP 0409 040914 75 112930 1158 112855 -75 2953
SP 0412 040914 75 113030 1202 112965 -65 2888
SP 0412 040917 77 113020 947 113043 23 2911
SP 0412 040921 80 113150 1358 113070 -80 2831
SP 0412 040922 82 111420 1300 111502 -82 2749
SP 0412 041001 67 111790 648 113320 1530 4279
SP 0412 041020 130 110160 7 109510 650 4929
SP 0412 041022 155 109790 1352 109590 200 5129
SP 0412 041119 80 117270 935 117350 -80 5049
SP 0412 041129 100 118910 348 119030 120 5169
SP 0412 041201 100 118910 1121 118810 -100 5069
SP 0412 041202 110 119110 423 119540 430 5499
SP 0412 041203 125 119480 11 119705 225 5724
SP 0503 041213 102 119680 806 119578 -102 5622
SP 0412 041213 105 119550 835 119445 -105 5517
SP 0503 041222 160 120940 300 120780 -160 5357
SP 0503 041223 145 121320 831 121505 185 5542
SP 0503 041223 145 121320 831 121505 185 5727
SP 0503 041228 112 121560 931 121448 -112 5615
SP 0503 041229 105 121670 1500 121700 30 5645
SP 0503 041231 115 121900 1332 121855 -45 5600
Number Trades= 40 POTL= 5600 AVG= 140 AVG-RISK= 113 RW/RSK= 1.24
WINS-TRADES 7785/ 19 LOSS-TRADES -2185/ 21
Detail Report
All Research results are in trading fractions.
12345678 Period 050102 - 050630, 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
Number Trades= 37 POTL= 5886 AVG= 159 AVG-RISK= 95 RW/RSK= 1.67
WINS-TRADES 7148/ 20 LOSS-TRADES -1262/ 17
Detail Report
All Research results are in trading fractions.
12345678 Period 050701 - 051231, Percentage of Basic Model Octant = 40
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0509 050707 92 119270 358 119362 -92 -92
SP 0509 050708 85 121020 1035 120935 -85 -177
SP 0509 050720 105 123420 1219 123875 455 278
SP 0509 050721 125 123810 357 124455 645 923
SP 0509 050725 100 123900 20 124080 180 1103
SP 0509 050727 80 123980 1356 123900 -80 1023
SP 0509 050728 72 124010 536 123938 -72 951
SP 0509 050802 100 124720 1449 124620 -100 851
SP 0509 050803 100 124720 1124 124740 20 871
SP 0509 050805 90 122930 1027 122840 90 961
SP 0509 050808 90 122990 945 123080 -90 871
SP 0509 050816 117 122430 1320 122547 -117 754
SP 0509 050818 117 122040 229 121827 213 967
SP 0509 050822 110 121830 1212 121940 -110 857
SP 0509 050831 65 121570 1357 121505 -65 792
SP 0509 050914 65 122860 1320 122925 -65 727
SP 0512 050914 65 123470 1318 123535 -65 662
SP 0512 050920 82 123100 1347 123182 -82 580
SP 0512 050929 80 122920 1230 122840 -80 500
SP 0512 051024 135 120020 1442 120195 175 675
SP 0512 051026 150 120310 515 120550 240 915
SP 0603 051031 110 121200 830 121720 520 1435
SP 0512 051031 135 120510 621 121315 805 2240
SP 0512 051102 165 121120 946 121770 650 2890
SP 0512 051107 210 122620 1317 122410 -210 2680
SP 0512 051109 215 122750 1124 122735 -15 2665
SP 0512 051110 120 122820 1243 123410 590 3255
SP 0512 051117 110 124050 1311 124480 430 3685
SP 0603 051206 45 127630 832 128235 605 4290
SP 0512 051206 102 127110 1054 127318 208 4498
SP 0603 051207 72 126600 1228 126272 328 4826
Number Trades= 31 POTL= 4826 AVG= 155 AVG-RISK= 106 RW/RSK= 1.46
WINS-TRADES 6154/ 16 LOSS-TRADES -1328/ 15
Detail Report
All Research results are in trading fractions.
12345678 Period 060102 - 060630, Percentage of Basic Model Octant = 40
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0603 060120 110 127780 952 127890 -110 -110
SP 0603 060125 170 126520 1125 126690 -170 -280
SP 0603 060214 100 127790 1305 127690 -100 -380
SP 0603 060215 115 127990 911 128255 265 -115
SP 0603 060222 170 129230 1022 129430 200 85
SP 0603 060223 180 129550 1142 129410 -140 -55
SP 0603 060227 105 129520 13 129415 -105 -160
SP 0606 060227 32 130480 841 130448 -32 -192
SP 0606 060228 42 129700 931 129142 558 366
SP 0606 060302 42 129750 830 129542 208 574
SP 0603 060303 87 128020 800 128087 -67 507
SP 0603 060306 87 128130 1238 127737 393 900
SP 0606 060306 65 129480 1230 128795 685 1585
SP 0603 060307 107 127740 206 127847 -107 1478
SP 0603 060314 127 129740 1326 129850 110 1588
SP 0606 060314 102 130310 1214 130880 570 2158
SP 0606 060328 80 130380 1333 130460 -80 2078
SP 0606 060405 75 131720 854 131645 -75 2003
SP 0606 060406 87 131960 122 131873 -87 1916
SP 0606 060407 90 130180 1441 130250 -70 1846
SP 0606 060410 90 130170 1328 130260 -90 1756
SP 0606 060411 95 130070 921 129065 1005 2761
SP 0606 060427 90 130420 507 130140 280 3041
SP 0606 060505 85 132380 730 132295 -85 2956
SP 0606 060612 250 123980 1425 123640 340 3296
SP 0609 060628 100 124760 1023 124860 -100 3196
SP 0609 060629 105 126880 1010 126775 -105 3091
Number Trades= 27 POTL= 3091 AVG= 114 AVG-RISK= 103 RW/RSK= 1.11
WINS-TRADES 4614/ 11 LOSS-TRADES -1523/ 16
Detail Report
All Research results are in trading fractions.
12345678 Period 060701 - 061231, Percentage of Basic Model Octant = 40
Del Date Risk Pr-In Time Pr-Out Potl Sum
SP 0609 060713 130 126250 653 124460 1790 1790
SP 0609 060802 195 128460 1015 128605 145 1935
SP 0609 060803 145 128720 1252 128755 35 1970
SP 0609 060804 135 128860 724 129625 765 2735
SP 0609 060811 105 126780 1156 126685 95 2830
SP 0609 060815 115 128950 1425 128835 -115 2715
SP 0609 060816 137 129360 740 129223 -137 2578
SP 0609 060828 65 130550 1056 130685 135 2713
SP 0609 060829 72 130680 1432 130678 -2 2711
SP 0609 060830 77 130770 830 130793 23 2734
SP 0609 060831 80 130810 731 130760 -50 2684
SP 0609 060901 80 130940 730 130860 -80 2604
SP 0609 060905 105 131500 25 131395 -105 2499
SP 0612 060922 75 132290 925 132195 95 2594
SP 0612 060925 85 133920 1355 133835 -85 2509
SP 0612 060926 87 133920 904 133833 -87 2422
SP 0612 060928 140 134960 837 134820 -140 2282
SP 0612 061004 140 134960 1040 134820 -140 2142
SP 0612 061012 52 136270 757 136218 -52 2090
SP 0612 061023 110 137790 21 137680 -110 1980
SP 0612 061031 80 137830 1137 137790 40 2020
SP 0612 061101 85 137730 1127 137815 -85 1935
SP 0612 061114 130 139390 737 139820 430 2365
SP 0612 061122 55 140760 103 141045 285 2650
SP 0612 061127 62 139580 903 138342 1238 3888
SP 0703 061204 120 142050 1017 141930 -120 3768
SP 0612 061204 130 140920 1204 141200 280 4048
SP 0703 061213 130 142950 730 142960 10 4058
SP 0703 061214 135 143050 851 143855 805 4863
SP 0612 061214 132 141800 851 142650 850 5713
Number Trades= 30 POTL= 5713 AVG= 190 AVG-RISK= 106 RW/RSK= 1.79
WINS-TRADES 7021/ 16 LOSS-TRADES -1308/ 14