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Profit
Taker System
+19,454%
1995-2006
Get in, get out
This
particular system is one of my favorites. It gets in and gets
out within a few trading session (1-5). One of my biggest
desires as a trader is to experience big gains without the pain
that is often associated with big winners. By pain, I mean
drawdowns. I've seen systems that can return 100% a year, but
the drawdowns were 50-60%. Ouch!
Consistent
new highs with great reward/risk ratios
Also,
I want to consistently hit new account highs as often as
possible. Going more than 12 months without making new equity
highs is tough on the psyche. This particular method has a nice
edge that can be exploited over and over again, and it fulfills
my requirements for gain/pain ratios and longest drawdown. The
CAGR (compound annual growth rate) is 50.1%, and the worst
drawdown was 16.9% (this is a superb gain/pain ratio).
The longest drawdown was 9.8 months.
Profit
Taker generates many possible buys for the next trading day. We get into a stock by placing a stop limit order at the buy
price (which will be higher than current trading
levels). We also give you a stop price and a target price. If
the target is not hit after a few days, we'll simply say to sell
on the next day's open.
I prefer to split my money evenly between 7-10
positions max with this particular system.
I've
compiled a thorough list of stats and graphs concerning this
system below. If you don't understand some of the terms, make
sure to read through our Trading Systems 101 and 201 pages.
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 |
$156,802.39 |
$156,475.90 |
$47,339.47 |
43.4% |
70 |
| 1996 |
366 |
$224,960.89 |
$226,005.79 |
$69,529.90 |
44.4% |
101 |
| 1997 |
365 |
$328,238.65 |
$328,238.65 |
$102,232.86 |
45.2% |
126 |
| 1998 |
365 |
$565,996.63 |
$576,659.72 |
$248,421.06 |
75.7% |
127 |
| 1999 |
365 |
$1,919,454.56 |
$1,952,707.12 |
$1,376,047.40 |
238.6% |
170 |
| 2000 |
366 |
$4,225,423.13 |
$4,224,719.61 |
$2,272,012.50 |
116.4% |
166 |
| 2001 |
365 |
$5,799,414.48 |
$5,680,635.29 |
$1,455,915.68 |
34.5% |
165 |
| 2002 |
365 |
$5,721,043.85 |
$5,703,783.15 |
$23,147.86 |
0.4% |
155 |
| 2003 |
365 |
$10,048,281.13 |
$10,097,189.44 |
$4,393,406.29 |
77.0% |
220 |
| 2004 |
366 |
$12,816,306.83 |
$12,750,840.94 |
$2,653,651.50 |
26.3% |
233 |
| 2005 |
365 |
$17,323,941.33 |
$17,323,941.33 |
$4,573,100.39 |
35.9% |
226 |
| 2006 |
361 |
$19,554,395.86 |
$19,554,395.86 |
$2,230,454.53 |
12.9% |
223 |
|
|
|
|
|
|
|
| Win/Loss
Statistics |
|
| Wins |
1063 |
53.3% |
| Losses |
932 |
46.7% |
|
| Total |
1995 |
100.0% |
|
| Winning
Months |
111 |
71.2% |
| Losing
Months |
45 |
28.8% |
|
| Total |
156 |
100.0% |
|
| Average
Risk Percent |
0.65% |
| Average
Win Percent |
0.67% |
| Average
Loss Percent |
0.46% |
| Average
Win Dollars |
$75,030.34 |
| Average
Loss Dollars |
$64,381.68 |
| Average
Trade Percent |
0.14% |
| Average
Trade Dollars |
$9,901.51 |
|
| Profit
Factor |
1.33 |
| Percent
Profit Factor |
1.67 |
| Expectation |
0.22 |
| Trading
Performance |
|
| CAGR
% |
50.06% |
| Maximum
Total Equity Drawdown % |
16.94% |
| MAR
Ratio |
2.96 |
|
| Margin
to Equity Ratio |
50.76% |
| Daily
Return % |
0.1646% |
| Daily
Geometric Return % |
0.1558% |
| Daily
Standard Deviation % |
1.33% |
| Daily
Downside Deviation % |
0.87% |
| Daily
Sharpe % |
0.12 |
| Daily
Sortino % |
0.18 |
|
| Modified
Sharpe Ratio |
1.60 |
| Annual
Sharpe Ratio |
0.75 |
| Annual
Sortino Ratio |
+
∞ |
| Monthly
Sharpe Ratio |
0.43 |
| Monthly
Sortino Ratio |
1.35 |
| Calmar
Ratio |
3.53 |
| R-Squared |
0.964 |
|
| Longest
Total Equity Drawdown (months) |
9.76 |
| Maximum
Monthly Total Equity Drawdown % |
14.17% |
| Maximum
Monthly Closed Equity Drawdown % |
16.56% |
| Maximum
Closed Equity Drawdown % |
16.97% |
| Average
Closed Equity Drawdown % |
2.91% |
|
| Round
Turns Per Million |
2,757,456 |
| Round
Turns |
227,163,732 |
| Total
Trades |
1,995 |
|
| Start
Account Balance |
$100,000.00 |
| Total
Win Dollars |
$79,757,247.11 |
| Total
Loss Dollars |
$60,003,727.68 |
| Total
Profit |
$19,753,519.43 |
| Earned
Interest |
$0.00 |
| Margin
Interest |
$299,123.57 |
| End
Account Balance |
$19,554,395.86 |
| End
Open Equity |
$0.00 |
| End
Total Equity |
$19,554,395.86 |
|
| Highest
Total Equity |
$21,401,680.98 |
| Highest
Closed Equity |
$21,177,060.20 |
|
| Total
Commissions |
$2,271,637.32 |
| Commission
per Round Turn |
$0.01 |
| Total
Slippage |
$5,882,058.96 |
| |
|
| |
|
| |
|
|
|
| Monte
Carlo Confidence Level Statistics |
|
| 90%
Return |
38.06% |
| 90%
Sharpe |
-0.11 |
| 90%
MAR |
1.85 |
| 90%
R Squared |
0.951 |
| 90%
Maximum Drawdown |
22.98% |
| 90%
Second Largest Drawdown |
18.90% |
| 90%
Third Largest Drawdown |
16.54% |
| 90%
Longest Drawdown |
14.3 |
| 90%
Second Longest Drawdown |
9.4 |
| 90%
Third Longest Drawdown |
7.5 |
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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.
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