kobeyashi
Junior member
- Messages
- 42
- Likes
- 1
Hi All,
I would love to know your views on the results of these tests I have just completed. The instruments included in these tests were exchange traded currencies and/or financial instruments.
1. Australian Dollar (CME)
2. British Pound (CBT)
3. Canadian Dollar (CME)
4. Euro (CME)
5. Eurodollar 3mnth (CME)
6. Interbank Offer Rate LIBOR (CME)
7. Japanese Yen (CME)
8. Mexican Peso (CME)
9. Swiss Franc (CME)
10. T-Note US 10Yr (CBT)
11. T-Bond US (CBT)
Test Period: 1996-01-01 to 2008-04-11
A Summary of the results:
Test Starting Equity: 250,000
Ending Balance : 59,330,915.87
CAGR% : 56.3%
MAR : 1.01
Modified Sharpe : 1.20
Annual Sharpe : 0.78
Max Total Equity DD : 55.8%
Longest Drawdown : 26.3
# Trades : 727
Kobeyashi
I would love to know your views on the results of these tests I have just completed. The instruments included in these tests were exchange traded currencies and/or financial instruments.
1. Australian Dollar (CME)
2. British Pound (CBT)
3. Canadian Dollar (CME)
4. Euro (CME)
5. Eurodollar 3mnth (CME)
6. Interbank Offer Rate LIBOR (CME)
7. Japanese Yen (CME)
8. Mexican Peso (CME)
9. Swiss Franc (CME)
10. T-Note US 10Yr (CBT)
11. T-Bond US (CBT)
Test Period: 1996-01-01 to 2008-04-11
A Summary of the results:
Test Starting Equity: 250,000
Ending Balance : 59,330,915.87
CAGR% : 56.3%
MAR : 1.01
Modified Sharpe : 1.20
Annual Sharpe : 0.78
Max Total Equity DD : 55.8%
Longest Drawdown : 26.3
# Trades : 727
Kobeyashi
Last edited:
