Trading Blox Summary Test Results

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Stepped Parameter Summary Performance

Test
1

Ending Balance CAGR%

363,740,511,653.08

36.24%

MAR
0.95

Modified Annual
Sharpe Sharpe
1.26

0.78

Max Total
Equity DD
37.9%

Longest
# Trades
Drawdown
23.5

3,830

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Trading Blox Summary Test Results

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Trading Blox Summary Test Results

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Trading Blox Summary Test Results

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Trading Blox Summary Test Results

Page 5 of 7

Yearly Performance Summary

Year Days

Closed Balance

End Total Equity Total Equity Gain

Gain % # Trades

1970

365

1,022,184.47

1,090,929.37

90,929.37

9.1%

1971

365

1,025,257.11

1,149,691.11

58,761.73

5.4%

34
51

1972

366

1,213,163.62

1,553,043.18

403,352.08

35.1%

37

1973

365

2,669,500.13

2,874,009.55

1,320,966.37

85.1%

33

1974

365

4,218,698.15

4,468,433.15

1,594,423.60

55.5%

43

1975

365

4,130,539.42

4,519,703.98

51,270.83

1.1%

40

1976

366

4,500,191.34

4,833,942.95

314,238.97

7.0%

65

1977

365

5,116,760.15

5,536,938.15

702,995.20

14.5%

52

1978

365

6,516,568.13

6,844,953.29

1,308,015.14

23.6%

53

1979

365

13,015,858.24

17,920,280.04

11,075,326.75 161.8%

51

1980

366

16,468,384.56

16,909,330.72

-1,010,949.32

-5.6%

55

1981

365

25,081,623.24

28,062,107.42

11,152,776.70

66.0%

33

1982

365

31,906,608.56

32,705,633.70

4,643,526.27

16.5%

60

1983

365

32,763,958.90

33,894,200.70

1,188,567.00

3.6%

68

1984

366

42,342,789.93

48,722,732.88

14,828,532.18

43.7%

53

1985

365

59,086,152.88

62,527,575.38

13,804,842.51

28.3%

54

1986

365

64,464,129.70

69,898,784.14

7,371,208.76

11.8%

80

1987

365

88,634,520.07

103,964,836.76

34,066,052.62

48.7%

79

1988

366

93,917,694.29

98,223,330.12

-5,741,506.64

-5.5%

95

1989

365

98,677,080.74

108,478,458.66

10,255,128.53

10.4%

99

1990

365

167,859,393.47

187,038,275.65

78,559,816.99

72.4%

68

1991

365

214,222,887.85

264,342,377.83

77,304,102.18

41.3%

99

1992

366

292,971,983.88

309,169,690.15

44,827,312.32

17.0%

111

1993

365

362,008,754.67

415,559,565.94

106,389,875.79

34.4%

116

1994

365

555,159,813.12

670,230,305.76

254,670,739.81

61.3%

116

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Trading Blox Summary Test Results

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1995

365

731,884,021.60

861,660,074.95

191,429,769.20

28.6%

1996

366

1,023,476,192.26

1,058,763,101.36

197,103,026.41

22.9%

106
102

1997

365

1,002,505,554.41

1,135,605,651.65

76,842,550.29

7.3%

118

1998

365

1,850,315,636.67

1,934,930,667.57

799,325,015.92

70.4%

114

1999

365

1,619,191,122.85

2,012,923,706.45

77,993,038.88

4.0%

136

2000

366

3,467,410,070.11

4,168,355,607.75

2,155,431,901.31 107.1%

129

2001

365

6,478,987,527.54

6,542,884,934.86

2,374,529,327.10

2002

57.0%

126

365 12,286,353,050.71 15,408,930,823.60

8,866,045,888.75 135.5%

125

2003

365 16,667,065,763.03 19,523,478,377.50

4,114,547,553.90

26.7%

144

2004

366 29,300,790,038.51 31,875,557,493.68 12,352,079,116.18

63.3%

139

2005

365 35,742,969,852.24 43,728,782,269.73 11,853,224,776.04

37.2%

142

2006

365 50,279,359,231.45 55,673,339,108.69 11,944,556,838.96

27.3%

154

2007

365 70,524,350,371.23 80,750,898,372.12 25,077,559,263.43

45.0%

153

2008

366 208,206,471,412.14 224,968,065,607.41 144,217,167,235.29 178.6%

122

2009

365 238,829,310,699.78 249,791,769,990.47 24,823,704,383.06

11.0%

139

2010

365 323,177,052,604.15 372,806,126,000.17 123,014,356,009.70

49.2%

142

2011

150 363,740,511,653.08 363,740,511,653.08

-2.4%

94

-9,065,614,347.09

Win/Loss Statistics

Trading Performance
CAGR %
MAR Ratio
RAR %
R-Cubed
Robust Sharpe Ratio

36.24%
0.95
35.28%
0.98
1.28

Margin to Equity Ratio

Daily Return %
Daily Geometric Return %
Daily Standard Deviation %
Daily Downside Deviation %
Daily Sharpe
Daily Geo Sharpe
Daily Sortino

38.12%
0.1286%
0.0847%
1.41%
1.00%
0.085
0.054
0.120

Modified Sharpe Ratio

Annual Sharpe Ratio
Annual Sortino Ratio
Monthly Sharpe Ratio
Monthly Sortino Ratio
Calmar Ratio
R-Squared

1.26
0.78
18.29
0.33
0.70
1.21
0.980

Maximum Total Equity Drawdown %

Longest Total Equity Drawdown (months)
Average Max TE Drawdown %
Average Max TE Drawdown Length (months)
Maximum Monthly Total Equity Drawdown %
Maximum Monthly Closed Equity Drawdown %
Maximum Closed Equity Drawdown %
Average Closed Equity Drawdown %
Round Turns Per Million
Round Turns
Total Trades

37.95%
23.49
31.05%
19.57
30.05%
26.85%
27.50%
5.02%
1,526
1,430,730,559
3,830

Start Account Balance

Total Win Dollars
Total Loss Dollars
Total Profit
Earned Interest
Margin Interest
End Account Balance
End Open Equity
End Total Equity

1,000,000.00
859,505,725,407.85
495,766,213,754.77
363,739,511,653.08
0.00
0.00
363,740,511,653.08
0.00
363,740,511,653.08

Highest Total Equity

Highest Closed Equity

438,759,309,145.64
377,910,180,380.48

Total Commissions
Commission per Round Turn
Total Slippage
Slippage per Round Turn
Total Forex Carry
Total Dividends
Total Other Expenses

42,921,916,770.00
30.00
53,449,609,493.00
37.36
0.00
0.00
0.00

Monte Carlo Confidence Level Statistics

Wins
Losses

1360
2470

35.5%
64.5%

Total

3830

100.0%

Winning Months
Losing Months

317
180

63.8%
36.2%

Total

497

100.0%

Average Risk Percent

Average Win Percent
Average Loss Percent
Average Win Dollars
Average Loss Dollars
Average Trade Percent
Average Trade Dollars

2.01%
2.22%
0.59%
631,989,503.98
200,715,066.30
0.41%
94,971,151.87

Profit Factor
Percent Profit Factor
Expectation

1.73
2.08
0.20
Equity Management

Test Starting Equity

Order Generation Equity
Order Generation Equity High
Leverage (fraction)
Trading Equity Base
Drawdown Reduction Threshold (%)
Drawdown Reduction Amount (%)

1,000,000.00
0.00
0.00
1.00
Total Equity
0.00%
0.00%

Global Simulation Parameters

Earn Interest
Earn Dividends
Pay Margin on Stocks
Commission per Stock Trade
Commission per Stock Share
Commission per Contract
Commission by Stock Value (%)
Slippage Percent
Minimum Slippage
Forex Trade Size
Account for Forex Carry
Use Pip Based Slippage
Account for Contract Rolls
Roll Slippage in % of ATR
Minimum Stock Volume
Minimum Futures Volume
Max Percent Volume Per Trade
Entry Day Retracement
Max Margin Equity
Trade on Lock Days
Convert Profit by Stock Split
Trade Always on Tick

FALSE
TRUE
TRUE
0.00
0.01
30.00
0.00%
5.00%
15.00
1,000.00
TRUE
FALSE
TRUE
5.00%
10,000
0
0.00%
0.00%
100.00%
FALSE
TRUE
TRUE

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Trading Blox Summary Test Results

90% Return
90% Sharpe
90% MAR
90% R Squared
90% Maximum Drawdown
90% Second Largest Drawdown
90% Third Largest Drawdown
90% Longest Drawdown
90% Second Longest Drawdown
90% Third Longest Drawdown

Page 7 of 7

30.30%
0.05
0.70
0.975
47.46%
38.70%
34.86%
45.7
30.2
23.6

Test Period
First Test Date
Last Test Date

1970-01-01
2011-05-30

Smart Fill Exit

Use Start Date Stepping
Use Broker Positions

TRUE
FALSE
FALSE
Preferences

Risk Free Rate

Load Volume
Load Unadjusted Close
Raise Negative Data
Process Weekly Bars
Process Monthly Bars
Process Daily Bars
Process Weekends
Additional Years of Data

3.00%
TRUE
TRUE
FALSE
TRUE
TRUE
TRUE
TRUE
5.00

Instrument Performance Summary

Symbol

Wins

% Losses

% Trades

Win
Months

Loss
Months

Avg. Win
%

Avg. Avg. Trade

Loss %
%

% Proft
Factor

AD

28

34.6%

53

65.4%

81

377

75.9%

120

24.1%

1.87%

0.54%

0.30%

1.84

C2

42

31.8%

90

68.2%

132

285

57.3%

212

42.7%

2.02%

0.67%

0.19%

1.41

CON

22

43.1%

29

56.9%

51

417

83.9%

80

16.1%

2.11%

0.76%

0.47%

2.09

CT2

48

35.0%

89

65.0%

137

291

58.6%

206

41.4%

2.13%

0.49%

0.43%

2.35

CU

50

43.1%

66

56.9%

116

320

64.4%

177

35.6%

1.93%

0.60%

0.49%

2.45

DA2

14

35.0%

26

65.0%

40

432

86.9%

65

13.1%

4.91%

0.60%

1.33%

4.41

DX

31

41.9%

43

58.1%

74

379

76.3%

118

23.7%

1.67%

0.49%

0.42%

2.48

EBL

18

42.9%

24

57.1%

42

438

88.1%

59

11.9%

1.13%

0.55%

0.17%

1.54

EBM

16

37.2%

27

62.8%

43

438

88.1%

59

11.9%

1.52%

0.48%

0.26%

1.88

EBS

12

26.7%

33

73.3%

45

435

87.5%

62

12.5%

1.65%

0.58%

0.01%

1.03

ED

32

47.1%

36

52.9%

68

378

76.1%

119

23.9%

2.79%

0.56%

1.01%

4.40

FC

37

28.9%

91

71.1%

128

292

58.8%

205

41.2%

2.13%

0.59%

0.20%

1.47

FCH

16

43.2%

21

56.8%

37

441

88.7%

56

11.3%

2.67%

0.54%

0.85%

3.78

FEI

13

44.8%

16

55.2%

29

440

88.5%

57

11.5%

1.91%

0.75%

0.44%

2.07

FF2

25

54.3%

21

45.7%

46

416

83.7%

81

16.3%

3.97%

0.92%

1.74%

5.13

GC2

43

37.7%

71

62.3%

114

308

62.0%

189

38.0%

2.34%

0.56%

0.54%

2.54

HG2

46

29.3%

111

70.7%

157

275

55.3%

222

44.7%

2.37%

0.60%

0.27%

1.65

ICL

14.3%

18

85.7%

21

474

95.4%

23

4.6%

2.38%

0.46%

-0.06%

0.86

LB

47

32.9%

96

67.1%

143

281

56.5%

216

43.5%

2.35%

0.66%

0.33%

1.73

LC

48

32.9%

98

67.1%

146

280

56.3%

217

43.7%

1.75%

0.57%

0.19%

1.51

LCO

28

41.8%

39

58.2%

67

391

78.7%

106

21.3%

2.06%

0.59%

0.52%

2.51

LGO

34

35.1%

63

64.9%

97

347

69.8%

150

30.2%

2.27%

0.71%

0.33%

1.72

LH

47

32.4%

98

67.6%

145

271

54.5%

226

45.5%

1.67%

0.58%

0.15%

1.39

LRC

42

34.4%

80

65.6%

122

288

57.9%

209

42.1%

3.14%

0.68%

0.63%

2.42

LSU

24

33.8%

47

66.2%

71

384

77.3%

113

22.7%

2.73%

0.60%

0.53%

2.32
1.73

MW

49

32.9%

100

67.1%

149

279

56.1%

218

43.9%

2.21%

0.63%

0.31%

NBB

14

33.3%

28

66.7%

42

421

84.7%

76

15.3%

5.37%

1.05%

1.09%

2.56

NE

19

44.2%

24

55.8%

43

434

87.3%

63

12.7%

2.85%

0.88%

0.77%

2.57

NG2

26

36.1%

46

63.9%

72

399

80.3%

98

19.7%

1.29%

0.51%

0.14%

1.42

NK

21

30.9%

47

69.1%

68

403

81.1%

94

18.9%

2.02%

0.48%

0.29%

1.89

O30

23

47.9%

25

52.1%

48

410

82.5%

87

17.5%

1.87%

0.66%

0.55%

2.61

PA2

42

36.5%

73

63.5%

115

319

64.2%

178

35.8%

2.35%

0.46%

0.57%

2.95

PL2

51

36.4%

89

63.6%

140

275

55.3%

222

44.7%

1.73%

0.58%

0.26%

1.71

RB2

30

31.3%

66

68.8%

96

365

73.4%

132

26.6%

1.68%

0.55%

0.15%

1.40

RR2

24

32.0%

51

68.0%

75

378

76.1%

119

23.9%

2.39%

0.52%

0.41%

2.17

RS

50

33.3%

100

66.7%

150

273

54.9%

224

45.1%

2.04%

0.59%

0.28%

1.71

RY

15

37.5%

25

62.5%

40

439

88.3%

58

11.7%

2.70%

0.46%

0.73%

3.55

SB2

51

39.5%

78

60.5%

129

282

56.7%

215

43.3%

2.43%

0.61%

0.59%

2.62

SI2

49

30.6%

111

69.4%

160

284

57.1%

213

42.9%

2.58%

0.55%

0.41%

2.08

SM2

45

31.5%

98

68.5%

143

275

55.3%

222

44.7%

1.95%

0.60%

0.21%

1.51

SSG

15

50.0%

15

50.0%

30

446

89.7%

51

10.3%

1.77%

0.40%

0.69%

4.46
3.36

TF

10

41.7%

14

58.3%

24

457

92.0%

40

8.0%

1.50%

0.32%

0.44%

TU

27

49.1%

28

50.9%

55

416

83.7%

81

16.3%

2.43%

0.53%

0.93%

4.43

TY

33

33.3%

66

66.7%

99

363

73.0%

134

27.0%

1.80%

0.54%

0.24%

1.67

Copyright Trading Blox, LLC 2011

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