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AUTOMATIC TRADING SYSTEMS - Performance of System 8.3IX on miniIBEX

Systems

The System 8.3IX on miniIBEX future.
As you can see there are differences between IBEX and miniIBEX outcomes, that´s because the differences on the underlying prices.

For further information, go to Statistics

(*)miniIBEX Data available from 22/11/2001(*) (*) 2002 TOTAL Outcome includes 2001 negative outcome of: -2,475 EUROS(*)

VARIACIÓN EQUITY MENSUAL

SISTEMA

8.3IX

 

ACTUALIZADO EL:

31-Dec-11

 

 

AÑO

ENE

FEB

MAR

ABR

MAY

JUN

JUL

AGO

SEP

OCT

NOV

DIC

ANUAL

TOTAL

2002

-1,571

-413

-1,075

-1,361

800

4,360

2,052

-674

6,951

-5,071

-574

166

3,590

1,115

2003

-3,153

-825

-1,815

-3,011

-999

243

2,240

440

-560

-3,029

979

3,400

-6,091

-4,976

2004

1,960

2,600

-4,600

-3,320

-2,750

-1,684

-1,402

46

-1,337

2,712

2,400

2,800

-2,575

-7,551

2005

982

1,440

-1,085

407

-3,800

2,400

2,762

-1,525

3,705

-3,851

-421

960

1,973

-5,578

2006

3,240

5,400

880

-2,069

-6,642

-1,104

-2,237

2,640

6,320

6,160

1,120

1,840

15,548

9,970

2007

3,520

-2,484

-4,346

-3,841

4,137

-3,554

-3,594

2,320

-824

7,773

-568

-4,035

-5,495

4,476

2008

13,425

-484

-398

-3,611

388

11,739

556

-2,597

6,040

15,920

600

245

41,823

46,299

2009

3,045

6,520

-2,581

-1,634

0

-533

7,662

4,360

2,840

-3,121

-3,077

1,312

14,794

61,092

2010

-3,200

4,720

-5,359

-2,229

8,160

-1,951

-1,674

-6,570

96

550

7,071

-5,028

-5,415

55,678

2011

-3,250

216

-5,222

-6,366

-630

1,836

-847

6,996

862

-1,841

-3,275

-2,365

-13,886

41,792

%POSIT

60%

60%

10%

10%

44%

50%

50%

60%

70%

50%

50%

70%

50%

 

 

14,997

16,691

-25,601

-27,037

-1,337

11,752

5,520

5,436

24,094

16,201

4,255

-705

 

 


11

 

 

 

 

 

 

 

 

 

 

 

 

The following chart shows the evolution of the System 8.3IX vs. its Benchmark (miniIBEX) starting with an initial capital of 20,000 EUR.

20110205

SYSTEM 8.3miniIX

 

Updated on

26-Mar-11

Total Earnings Closed Positions

 

47,421.00

Net Earnings Long

45,595.80

Net Earnings Short

1,825.20

Gross Earning Long

82,962.40

Gross Earning Short

40,770.20

Gross Loss Long

-37,366.60

Gross Loss Short

-38,945.00

Higher earning Long

20,309.60

Higher earning Short

10,428.20

Higher loss Long

-7,449.40

Higher loss Short

-5,470.40

Average Earning Long

1,823.83

Average Earning Short

79.36

Average Earning

987.94

Average Operation (days)

71.04

Daily Earning Expectancy

13.91

Average Winner Operation (days)

119.35

Monthly Earning Expectancy

417.19

Average Losser Operation (days)

36.54

Average Loss per Negative Operation

-2,725.41

Profit Factor

1.62

Nº Total Operations

48

 

 

Nº Long Positions

25

Nº Short Positions

23

Positive Long Positions

12

Positive Short Positions

8

Negative Long Positions

13

Negative Short Positions

15

% Winner Long

48.00%

%Winner Short

34.78%

% Winner Total

41.67%

 

 

Nº Days

3,410

Nº Bars

2,361

DRAWDOWN

 

 

 

Data for an Initial Capital of

40,000.00

Maximum DD in % from Initial Capital

-59.24%

Maximun DrawDown

-23,697.60

Maximum DD in % from NAV

-322.27%

From NAV

7,353.40

From Date

01/10/02

To NAV

-16,344.20

To Date

27/09/04

nº days DrawDown

727

Nº Bars DrawDown

497

Sharpe Ratio

0.60

 

 

Sortino Ratio

1.50

System operating in real since

Mar-10

 

 

 

 

 

 

Dislcaimer

The information on this web does neither pretend to give any kind of buying or selling stock and/or derivatives recommendation, nor any kind of operative. The outcomes of its application are entirely responsibility of the persons who apply them, rejecting www.gaptick.com and his administrator any kind of possible responsibility because of them.
The outcomes here shown are based on past data, and past data does not indicate future outcomes.
Past rentabilities does not assure futures rentabilities.
This web only pretends to inform about the outcomes of the automatic syistems operated, and of its operations
.

   
   
   
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