Sunday, May 17, 2009

Creating a monster


Just wanted to share an equity curve with y'all.

  • This is from an Exponential Crossover system, trading S&P 500 futures and Gold futures both long and short between 1975 and 2005.
  • Starting capital = $1,000,000
  • Ending equity = $124,036,093
  • Annual growth rate = 15.7%
  • Largest drawdown = 60.4%
  • Bliss (Growth rate/Lgst. drawdown) = .26
Looking forward to more testing, especially on more markets at once. Because, as of now, these system characteristics aren't too sexy, cf. the Bliss ratio. Looking for a Bliss ratio of 1.0 or better.

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