 |
Breakout
System
+5,888% 1995-2006
Let your winners run!
Trend following is still alive
and well, and this particular breakout system epitomizes the
strategy of cutting your losers quickly, and letting your
winners run. With an average win size more than double the loss
size, this is a very robust trading system.
Very simple to trade
It doesn't get much easier than
to trade this particular system. We simply tell you to buy on
the open, with a given stop loss. Over time, we increase our
stop loss. We stick with the trade until our stop is hit. The
goal is to catch the meaty part of a stock's rally...where most
of the money is made.
Like all our longer trading
systems, this one relies on our Smart Money indicator for
timing. Don't let the 37% CAGR fool you. It's out of the market
quite a bit, but still manages to pack a punch.
As for money management, I like
to split the money allocated to this system between 10 positions
evenly (as I do with most). If I were to trade this system
exclusively, I would probably split between 15 positions (I tend
to be very risk adverse as I get older).
Yearly Performance Summary
(starting with $100,000 and
including commissions, interest,
and slippage)
| Year |
Days |
Closed
Balance |
End
Total Equity |
Total
Equity Gain |
Gain
% |
#
Trades |
 |
|
|
|
|
|
|
|
| 1995 |
365 |
$121,556.13 |
$143,225.82 |
$43,225.82 |
43.2% |
72 |
| 1996 |
366 |
$163,191.92 |
$153,660.75 |
$10,434.93 |
7.3% |
90 |
| 1997 |
365 |
$221,503.81 |
$221,503.81 |
$67,843.06 |
44.2% |
58 |
| 1998 |
365 |
$421,113.83 |
$574,379.22 |
$352,875.41 |
159.3% |
55 |
| 1999 |
365 |
$883,881.67 |
$883,881.67 |
$309,502.45 |
53.9% |
67 |
| 2000 |
366 |
$913,521.97 |
$913,521.97 |
$29,640.30 |
3.4% |
26 |
| 2001 |
365 |
$867,950.30 |
$1,040,219.05 |
$126,697.08 |
13.9% |
35 |
| 2002 |
365 |
$1,156,674.62 |
$1,156,674.62 |
$116,455.57 |
11.2% |
33 |
| 2003 |
365 |
$1,465,452.80 |
$1,833,615.84 |
$676,941.22 |
58.5% |
84 |
| 2004 |
366 |
$3,164,159.56 |
$3,164,159.56 |
$1,330,543.72 |
72.6% |
93 |
| 2005 |
365 |
$2,743,066.52 |
$3,409,261.66 |
$245,102.10 |
7.7% |
91 |
| 2006 |
361 |
$5,998,119.27 |
$5,998,119.27 |
$2,588,857.60 |
75.9% |
102 |
| Trading
Performance |
|
| CAGR
% |
37.02% |
| Maximum
Total Equity Drawdown % |
30.03% |
| MAR
Ratio |
1.23 |
|
| Margin
to Equity Ratio |
88.97% |
| Daily
Return % |
0.1397% |
| Daily
Geometric Return % |
0.1209% |
| Daily
Standard Deviation % |
1.94% |
| Daily
Downside Deviation % |
1.71% |
| Daily
Sharpe % |
0.07 |
| Daily
Sortino % |
0.08 |
|
| Modified
Sharpe Ratio |
1.12 |
| Annual
Sharpe Ratio |
0.77 |
| Annual
Sortino Ratio |
+
∞ |
| Monthly
Sharpe Ratio |
0.30 |
| Monthly
Sortino Ratio |
0.51 |
| Calmar
Ratio |
1.44 |
| R-Squared |
0.972 |
|
| Longest
Total Equity Drawdown (months) |
13.71 |
| Maximum
Monthly Total Equity Drawdown % |
25.76% |
| Maximum
Monthly Closed Equity Drawdown % |
26.37% |
| Maximum
Closed Equity Drawdown % |
26.85% |
| Average
Closed Equity Drawdown % |
6.89% |
|
| Round
Turns Per Million |
833,450 |
| Round
Turns |
12,932,693 |
| Total
Trades |
806 |
|
| Start
Account Balance |
$100,000.00 |
| Total
Win Dollars |
$14,054,691.59 |
| Total
Loss Dollars |
$7,675,359.88 |
| Total
Profit |
$6,379,331.71 |
| Earned
Interest |
$0.00 |
| Margin
Interest |
$481,212.45 |
| End
Account Balance |
$5,998,119.27 |
| End
Open Equity |
$0.00 |
| End
Total Equity |
$5,998,119.27 |
|
| Highest
Total Equity |
$6,320,499.47 |
| Highest
Closed Equity |
$5,998,119.27 |
|
| Total
Commissions |
$129,326.93 |
| Commission
per Round Turn |
$0.01 |
| Total
Slippage |
$461,117.46 |
|
|
|
|
|
|
|
|
| Monte
Carlo Confidence Level Statistics |
|
| 90%
Return |
25.07% |
| 90%
Sharpe |
-0.06 |
| 90%
MAR |
0.61 |
| 90%
R Squared |
0.902 |
| 90%
Maximum Drawdown |
45.65% |
| 90%
Second Largest Drawdown |
37.50% |
| 90%
Third Largest Drawdown |
33.13% |
| 90%
Longest Drawdown |
25.2 |
| 90%
Second Longest Drawdown |
14.8 |
| 90%
Third Longest Drawdown |
10.8 |
Click here for instant access to your free
trial
The results listed herein are based on hypothetical trades.
Plainly speaking, these trades were not actually executed. Hypothetical or
simulated performance results have certain inherent limitations. Unlike an
actual performance record, simulated results do not represent actual trading.
Also, since the trades have not actually been executed, the results may have
under (or over) compensated for the impact, if any, of certain market factors
such as lack of liquidity. You may have done better or worse than the results
portrayed.
|
|
 |
Join
our team. The first 30 days are free. Click
here
|
 |
|
|
|
