Hi,
Here are the promised stats regarding FMT with new Settings 45/35 25BE+5 Starttime 7:15.
I made the back test, from Jan.01.2007 to Apr.22.2011, quotes from alpari UK, spread at back test 1.1 pips. All holydays are included, no day was left out. Then I run a Monte Carlo simulation as described in the books by van Tharp.
Here are the results:
If you use 2% risk
the average annual return is 68.7% and the average DrawDown is -13.3%
but
in 90% of all cases you will earn at least 10.7% p.a. and
in 90% of all cases your DrawDown will not exceed -26.3%
If you look for a 100% annual return you have
to risk 2.7%, the average DD is then -20.4%
but
in 90% of all cases you will earn at least 14.2% p.a. and
in 90% of all cases your DD will not exceed -40.2% (max DD in 10000 Simulations was -60%)
If you risk 5% a DrawDown of 100% is underwritten.
So don't be greedy.
The numbers slightly grade down these settings, comparing with settings 40/40/20BE.
But if you read hammy carefully he underlined, that the new settings outperform at the moment, no one knows the future.
And for the fans of van Tharp:
The System Quality number is 2.95 (both settings)
Score 2 – 3 good systems
Score 3 – 5 excellent systems
But this is all theory, in practice I lost 40 pips today in three live accounts
.
green pips for all
jore