|Traded Instruments||@EMD - E-mini S&P MidCap 400 Futures
@CL - Crude Oil Futures
@TF - E-mini Russel 2000 Futures
|Systems in Portfolio||LCH Shortstar
|Type of Systems in Portfolio||Intraday, breakout|
|Max. Drawdown||$ 17360|
The presented final equity as well as all presented results below:
- come from walk-forward tests of systems included in this portfolio
- contain no in-sample* data and are comprised solely of out-of-sample** intervals
- incorporate SL, a transaction cost of $5 per side and slippage 2 ticks RT
- simulate trading with one contract without the application of position sizing
The systems contained in a particular portfolio are always chosen in a way that results in the best possible diversification in the given portfolio. Each portfolio is comprised of systems trading different markets, built on different approaches and conditions, and, of course, in a way that it correlates as little as possible with other systems.
Hypothetical Performance Results Have Many Inherent Limitation, Some Of Which Are Described Below. No Representation Is Being Made That Any Account Will Or Is Likely To Achieve Profits Or Losses Similar To Those Shown. In fact, There Are Frequently Sharp Differences Between Hypothetical Performance Result And The Actual Results Subsequently Achieved By Any Particular Trading Program. One Of The Limitations Of Hypothetical Performance Results Is That They Are Generally Prepared With The Benefit Of Hindsight. In Addition, Hypothetical Trading Does Not Involve Financial Risk, And No Hypothetical Trading Record Can Completely Account For The Impact Of Financial Risk Of Actual Trading. For Example, The Ability To Withstand Losses Or To Adhere To A Particular Trading Program In Spite Of Trading Losses Are Material Points Which Can Also Adversely Affect Actual Trading Results. There Are Numerous Other Factors Related To The Markets In General Or To The Implementation Of Any Specific Trading Program Which Cannot Be Fully Accounted For In The Preparation Of Hypothetical Performance Results And All Which Can Adversely Affect Trading Results. These Performance Tables And Results Are Hypothetical In Nature And Do Not Represent Trading In Actual Accounts.