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«Key to Trading Profits – Matching the Probability Distribution of A Contract with An Appropriate Mechanical Trading Strategy Gary Tan Business ...»

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1999 4,700 -1,350 6,050 12,490 -6,440 2 45 42% 134 684 468,134 1.32 2000 19,340 -1,320 20,660 30,070 -9,410 3 44 45% 470 1,320 1,742,274 2.36 2001 18,870 -1,350 20,220 27,440 -7,220 4 45 51% 449 1,187 1,409,275 2.54 2002 7,250 -1,350 8,600 16,050 -7,450 2 45 47% 191 704 494,992 1.82 2003 14,450 -1,320 15,770 26,770 -11,000 2 44 43% 358 1,542 2,376,637 1.54 2004 18,400 -1,200 19,600 33,510 -13,910 2 40 45% 490 1,942 3,771,800 1.60 2005 25,180 -1,110 26,290 39,200 -12,910 3 37 49% 711 1,802 3,246,411 2.40 2006 39,220 -1,260 40,480 54,090 -13,610 4 42 57% 964 1,936 3,746,463 3.23 2007 22,260 -870 23,130 34,150 -11,020 3 29 59% 798 2,036 4,146,140 2.11 2008 97,800 -840 98,640 116,360 -17,720 7 28 61% 3,523 7,813 61,037,792 2.39 1999-2008 267,470 -11,970 279,440 390,130 -110,690 4 399 49% 700 262 6,853,312 5.34 Notes: (1) Net Profit = Gross Profit – Transaction Costs; (2) Transaction costs is assumed to be USD30 per round turn; (3) Gross Profit = Gross Win – Gross Loss; (4) Gross Win = Gross Total Dollar Value of Winning Trades; Gross Loss = Gross Total Dollar Value of Losing Trades; Win/Loss Ratio = Gross Win/Gross Loss; Total Number of Trades = Total Number of New Trades; % Win Trades = Total Number f Winning Trades/Total Number of Trades; Mean Profit = Average Gross Profit per Trade; Z-Test is two-tailed.

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