ADT-05 system performance market report ======================================= Fixed-equity system test summary for all stocks in the ASX 500 from 01/4/1999 to 1/4/2004 (5 years) Based on $10000 trades with $34 commissions: winning trades rate: 55.9% <--= total wins/losses/trades: 2517 / 1982 / 4499 gain to loss ratio: 33.19 to 1 <--= avg length of each trade: 45.7 trade days <--= annualized profit per trade: 47.63% pa <--= avg time in market/trade: 4.6% avg new trades per day: 4.5 avg winning trade profit: $1592 avg losing trade loss: -$61 avg trade profit: $863.79 daily $ profit per trade: $18.9 avg max $ trade drawdown: -$202.93 avg max % trade drawdown: 2.03% risk/profit index: 23.5% <--= total market net profit: $3886191 <--= total commissions: $305932 highest stock profit: $100237 (CIY) highest stock loss: -$13682 (ANM) highest trade drawdown: -$9290 (RAC) Based on $9855 trades (adj to 2% avg max drawdown): comparative profit/trade: 46.88% pa <--= daily $ profit per trade: $18.6 avg trade profit: $850.32 avg max $ trade drawdown: -$200 total adj market net profit: $3825587 Overall market summary: stocks tested: 494 stocks traded: 484 avg test days per stock: 1001 (4 years) Test parameters: Buy Long on Open, Entry delay 1 day; Sell Long on Open, Exit delay 1 day. GICS Industry Groups test results ================================= - based on $10000 trades with $34 commissions 101 Energy: ========== winning trades rate: 53% total wins/losses/trades: 106 / 94 / 200 gain to loss ratio: 76.48 to 1 avg length of each trade: 45.9 trade days annualized profit per trade: 50.58% pa avg max % trade drawdown: 2.17% risk/profit index: 23.6% total market net profit: $184125 151 Materials: ============= winning trades rate: 59.8% total wins/losses/trades: 541 / 364 / 905 gain to loss ratio: 50.59 to 1 avg length of each trade: 45.5 trade days annualized profit per trade: 78.5% pa avg max % trade drawdown: 2.17% risk/profit index: 15.3% total market net profit: $1283439 201 Capital Goods: ================= winning trades rate: 53.7% total wins/losses/trades: 130 / 112 / 242 gain to loss ratio: 29.02 to 1 avg length of each trade: 44.2 trade days annualized profit per trade: 29% pa avg max % trade drawdown: 1.92% risk/profit index: 37.7% total market net profit: $123187 202 Commercial Services & Supplies: ================================== winning trades rate: 60.8% total wins/losses/trades: 132 / 85 / 217 gain to loss ratio: 64.69 to 1 avg length of each trade: 46.2 trade days annualized profit per trade: 58.88% pa avg max % trade drawdown: 1.94% risk/profit index: 17.9% total market net profit: $234367 203 Transportation: ================== winning trades rate: 53.7% total wins/losses/trades: 58 / 50 / 108 gain to loss ratio: 7.1 to 1 avg length of each trade: 45.8 trade days annualized profit per trade: 22.48% pa avg max % trade drawdown: 1.61% risk/profit index: 39.4% total market net profit: $44103 251 Automobile & Components: =========================== winning trades rate: 60.4% total wins/losses/trades: 32 / 21 / 53 gain to loss ratio: 39.56 to 1 avg length of each trade: 45.8 trade days annualized profit per trade: 60.56% pa avg max % trade drawdown: 1.73% risk/profit index: 15.7% total market net profit: $58395 252 Consumer Durables & Apparel: =============================== winning trades rate: 60% total wins/losses/trades: 39 / 26 / 65 gain to loss ratio: infinite to 1 avg length of each trade: 46.7 trade days annualized profit per trade: 62.53% pa avg max % trade drawdown: 2.27% risk/profit index: 19.6% total market net profit: $75254 253 Hotels, Restaurants & Leisure: ================================= winning trades rate: 53.3% total wins/losses/trades: 72 / 63 / 135 gain to loss ratio: 14.98 to 1 avg length of each trade: 46.6 trade days annualized profit per trade: 15.24% pa avg max % trade drawdown: 2.49% risk/profit index: 88.4% total market net profit: $38041 254 Media: ========= winning trades rate: 54% total wins/losses/trades: 115 / 98 / 213 gain to loss ratio: 755.89 to 1 avg length of each trade: 46.7 trade days annualized profit per trade: 42.52% pa avg max % trade drawdown: 1.75% risk/profit index: 22.2% total market net profit: $167674 255 Retailing: ============= winning trades rate: 56.2% total wins/losses/trades: 81 / 63 / 144 gain to loss ratio: 45.22 to 1 avg length of each trade: 41 trade days annualized profit per trade: 38.03% pa avg max % trade drawdown: 1.97% risk/profit index: 31.9% total market net profit: $89203 301 Food & Staples Retailing: ============================ winning trades rate: 62.5% total wins/losses/trades: 40 / 24 / 64 gain to loss ratio: 15.82 to 1 avg length of each trade: 46.7 trade days annualized profit per trade: 24.09% pa avg max % trade drawdown: 1.72% risk/profit index: 38.6% total market net profit: $28565 302 Food, Beverage & Tobacco: ============================ winning trades rate: 52.8% total wins/losses/trades: 113 / 101 / 214 gain to loss ratio: 6.98 to 1 avg length of each trade: 44.2 trade days annualized profit per trade: 13.34% pa avg max % trade drawdown: 1.53% risk/profit index: 65.4% total market net profit: $50082 no trades for 303 Household & Personal Products =============================================== 351 Health Care Equipment & Services: ==================================== winning trades rate: 55.9% total wins/losses/trades: 133 / 105 / 238 gain to loss ratio: 9.92 to 1 avg length of each trade: 46.7 trade days annualized profit per trade: 38.38% pa avg max % trade drawdown: 2.28% risk/profit index: 32.1% total market net profit: $169356 352 Pharmaceuticals & Biotechnology: =================================== winning trades rate: 58.1% total wins/losses/trades: 118 / 85 / 203 gain to loss ratio: 115.13 to 1 avg length of each trade: 47 trade days annualized profit per trade: 85.13% pa avg max % trade drawdown: 2.72% risk/profit index: 17.1% total market net profit: $322241 401 Banks: ========= winning trades rate: 47% total wins/losses/trades: 54 / 61 / 115 gain to loss ratio: 11.73 to 1 avg length of each trade: 45 trade days annualized profit per trade: 10.09% pa avg max % trade drawdown: 1.01% risk/profit index: 56.1% total market net profit: $20712 402 Diversified Financials: ========================== winning trades rate: 56.8% total wins/losses/trades: 200 / 152 / 352 gain to loss ratio: 139.34 to 1 avg length of each trade: 44.9 trade days annualized profit per trade: 52.31% pa avg max % trade drawdown: 1.43% risk/profit index: 15.3% total market net profit: $328105 403 Insurance: ============= winning trades rate: 49.2% total wins/losses/trades: 32 / 33 / 65 gain to loss ratio: 2.92 to 1 avg length of each trade: 46.5 trade days annualized profit per trade: 13.32% pa avg max % trade drawdown: 2.71% risk/profit index: 110.2% total market net profit: $15968 404 Real Estate: =============== winning trades rate: 53.7% total wins/losses/trades: 259 / 223 / 482 gain to loss ratio: 8.05 to 1 avg length of each trade: 46.3 trade days annualized profit per trade: 11.5% pa avg max % trade drawdown: 1.37% risk/profit index: 64.8% total market net profit: $101841 451 Software & Services: ======================= winning trades rate: 55.2% total wins/losses/trades: 123 / 100 / 223 gain to loss ratio: 152.02 to 1 avg length of each trade: 46.7 trade days annualized profit per trade: 71.8% pa avg max % trade drawdown: 3.35% risk/profit index: 25.1% total market net profit: $297033 452 Technology Hardware & Equipment: =================================== winning trades rate: 51.2% total wins/losses/trades: 43 / 41 / 84 gain to loss ratio: 39.04 to 1 avg length of each trade: 44.8 trade days annualized profit per trade: 51.26% pa avg max % trade drawdown: 2.69% risk/profit index: 29.6% total market net profit: $76476 453 Semiconductors & Semiconductor Equipment: ============================================ winning trades rate: 58.3% total wins/losses/trades: 7 / 5 / 12 gain to loss ratio: infinite to 1 avg length of each trade: 45.2 trade days annualized profit per trade: 46.9% pa avg max % trade drawdown: 5.57% risk/profit index: 66.3% total market net profit: $10086 501 Telecommunication Services: ============================== winning trades rate: 52.6% total wins/losses/trades: 50 / 45 / 95 gain to loss ratio: 25.4 to 1 avg length of each trade: 47.4 trade days annualized profit per trade: 79.13% pa avg max % trade drawdown: 3.16% risk/profit index: 21.3% total market net profit: $141342 551 Utilities: ============= winning trades rate: 55.1% total wins/losses/trades: 38 / 31 / 69 gain to loss ratio: 16.55 to 1 avg length of each trade: 47.9 trade days annualized profit per trade: 20.19% pa avg max % trade drawdown: 1.63% risk/profit index: 42.5% total market net profit: $26483 --- GICS not applicable: ======================= winning trades rate: 100% total wins/losses/trades: 1 / 0 / 1 gain to loss ratio: infinite to 1 avg length of each trade: 8 trade days annualized profit per trade: 36.05% pa avg max % trade drawdown: 0.8% risk/profit index: 69.6% total market net profit: $114 Max $ In Total $ trade trade test Code Name Profit drawdown W L days days 101 Energy: ========== AYO Amity Oil Ltd +11487 -4208 7 5 541 1262 ARQ ARC Energy Ltd +18751 -4463 7 5 528 1230 AWE Australian Worldwide Exploration Ltd +22463 -1362 9 3 538 1246 BSO Bass Strait Oil Trust -214 -1353 6 6 541 1223 BPT Beach Petroleum Ltd +11678 -1407 5 6 542 1260 CTX Caltex Australia Ltd +9788 -3100 6 6 543 1266 HDR Hardman Resources Ltd +43883 -6254 9 3 585 1259 MOS Mosaic Oil NL +9604 -2478 4 8 545 1257 NVS Novus Petroleum Ltd +5769 -1639 6 6 543 1266 OSH Oil Search Ltd (PNG) +6856 -1878 8 4 543 1265 ORG Origin Energy Ltd +6662 -1462 6 2 389 1022 PSA Petsec Energy Ltd +3256 -4055 5 7 466 1186 ROC Roc Oil Company Ltd +2459 -2582 5 5 494 1170 STO Santos Ltd -2225 -968 3 9 543 1266 SGL Sydney Gas Ltd +22109 -4120 7 5 540 1261 TAP Tap Oil Ltd +4224 -751 6 6 543 1266 WPL Woodside Petroleum Ltd +907 -1082 5 7 543 1266 WOR Worley Group Ltd +6671 -300 2 1 207 312 151 Materials: ============= ABX Abelle Ltd +17076 -1334 3 0 247 448 ABC Adelaide Brighton Ltd +1440 -2982 7 5 543 1266 ALK Alkane Exploration Ltd +5853 -3215 7 6 474 1175 AWC Alumina Ltd +4620 -1494 7 5 543 1266 AMC Amcor Ltd +383 -1990 6 6 543 1265 AGG AngloGold Ltd (S Africa CUFS) +5787 -1269 5 3 320 1037 AVL Anvil Mining NL +34972 -2096 4 3 431 1117 AQP Aquarius Platinum Ltd (Bermuda) +5573 -2417 6 4 438 1251 ASL Ausdrill Ltd +6137 -3068 8 3 420 1142 ANE Auspine Ltd -1119 -1849 5 7 450 1191 AUO Austral Coal Ltd +19016 -2875 6 5 532 1223 ANM Australian Magnesium Corporation Ltd -13682 -6719 1 11 537 1244 BGF Ballarat Goldfields NL +34504 -3292 6 6 444 962 BDG Bendigo Mining NL +15642 -1280 6 6 536 1252 BHP BHP Billiton Ltd +3778 -1423 5 7 543 1266 BSL BlueScope Steel Ltd +5551 -532 3 1 230 418 BLD Boral Ltd +2452 -2399 9 3 543 1266 BOC Bougainville Copper Ltd (PNG) -5446 -3047 5 7 425 1066 BKW Brickworks Ltd +3913 -361 7 2 374 1100 CPB Campbell Brothers Ltd +7524 -654 8 3 548 1230 CAA Capral Aluminium Ltd +1243 -1328 5 7 543 1266 CBH CBH Resources Ltd +51739 -2304 6 5 507 1186 CNT Centamin Egypt Ltd +11651 -2413 6 5 462 1197 CEY Centennial Coal Company Ltd +6417 -2882 8 4 522 1224 CGX Central Asia Gold Ltd +13491 -327 2 2 126 540 CNA Coal & Allied Industries Ltd +461 -1688 3 4 246 557 CSM Consolidated Minerals Ltd +19307 -1314 8 3 506 1156 CRT Consolidated Rutile Ltd -1402 -1920 3 6 312 988 CRS Croesus Mining NL +2783 -2561 7 4 482 1239 CSR CSR Ltd +662 -1020 4 8 543 1266 CMK Cumnock Coal Ltd +16499 -4745 3 2 86 171 DOM Dominion Mining Ltd +6197 -1953 6 6 547 1215 DRA Dragon Mining NL +51906 -2867 7 2 513 1047 EMP Emperor Mines Ltd +8198 -3407 7 3 474 1178 ERA Energy Resources of Australia Ltd +4958 -2170 7 2 476 1185 EQM Equatorial Mining Ltd -3374 -2597 2 3 125 360 EQI Equigold NL +16362 -831 6 2 418 1054 EQR Equinox Resources Ltd +52726 -2678 6 2 374 974 GGN Gallery Gold Ltd +16839 -3520 8 4 429 719 GTM Giants Reef Mining Ltd +18840 -2901 7 5 540 1257 GDM Goldstream Mining NL +14507 -2418 8 3 498 1234 GRD GRD NL +13285 -1828 6 7 506 1147 GTP Great Southern Plantations Ltd +16476 -5148 6 5 512 1179 GNS Gunns Ltd +11561 -802 8 4 533 1248 HIG Highlands Pacific Ltd (PNG) +29828 -2609 6 5 550 1251 ILU Iluka Resources Ltd +3419 -668 6 6 543 1266 IPL Incitec Pivot Ltd +247 -40 1 0 89 169 IGO Independence Group NL +27627 -559 4 0 230 533 JHX James Hardie Industries NV (CUFS) +6855 -1605 8 4 543 1266 JBM Jubilee Mines NL +25720 -1932 10 2 537 1257 KZL Kagara Zinc Ltd +7194 -1281 5 2 300 973 KIM Kimberley Diamond Company NL +31900 -4973 6 6 540 1260 KCN Kingsgate Consolidated Ltd +15759 -1932 9 2 515 1181 LHG Lihir Gold Ltd (PNG) +1003 -4238 5 7 543 1266 LSG Lion Selection Group Ltd +9395 -1695 6 5 552 1214 LYC Lynas Corporation Ltd +32597 -1904 5 3 445 1106 MCC Macarthur Coal Ltd +5610 -927 2 3 310 687 MRE Minara Resources Ltd +21663 -2458 6 6 543 1265 MCR Mincor Resources NL +25958 -1888 7 3 410 1084 MPM MPI Mines Ltd +2423 -487 1 0 89 256 NCI National Can Industries Ltd +7161 -482 5 1 276 752 NHC New Hope Corporation Ltd +1712 -34 1 0 49 106 NCM Newcrest Mining Ltd +12981 -1658 7 5 543 1266 NUF NuFarm Ltd +7050 -2422 6 5 512 1193 OST Onesteel Ltd +3336 -795 3 5 389 853 ORI Orica Ltd +7721 -2275 5 7 543 1266 OXR Oxiana Ltd +47996 -3258 8 4 538 1252 PNA Pan Australian Resources NL +51934 -1577 7 2 438 1062 PPX PaperlinX Ltd +2446 -1280 4 4 389 980 PEM Perilya Ltd +33111 -1695 6 3 496 1143 PSV Perseverance Corporation Ltd +14274 -2947 5 2 357 1030 PPK Plaspak Group Ltd +5159 -657 8 2 386 1068 PMM Portman Ltd +7531 -1957 6 6 543 1266 RBK Red Back Mining NL +12904 -1358 6 3 386 1076 RSG Resolute Mining Ltd +9893 -5561 5 7 543 1264 RIN Rinker Group Ltd +1551 -34 1 0 90 220 RIO Rio Tinto Ltd +5199 -1262 7 5 543 1266 SMY Sally Malay Mining Ltd +17377 -2142 3 1 248 601 SED Sedimentary Holdings Ltd +7959 -3425 7 2 430 1143 SMS Sims Group Ltd +3063 -1056 6 6 543 1266 SGX Sino Gold Ltd +3609 -202 2 0 166 306 SRI Sipa Resources Ltd +49419 -2503 7 4 437 1178 SSX Smorgon Steel Group Ltd -860 -2582 5 7 543 1265 SGW Sons of Gwalia Ltd +11237 -2115 8 4 543 1266 SRL Straits Resources Ltd +12170 -1903 6 6 462 1106 SMC Strategic Minerals Corporation NL +37015 -1334 7 1 379 875 SYM Symex Holdings Ltd +7732 -773 5 3 384 900 TAW Tawana Resources NL +29907 -910 3 1 329 596 TOR Ticor Ltd +9012 -2052 7 5 544 1235 TIM Timbercorp Ltd +9697 -5620 8 4 543 1264 TIR Titan Resources NL +16440 -2170 6 3 459 1225 TKR Triako Resources Ltd +11521 -1695 6 1 377 969 TRY Troy Resources NL +13382 -1567 7 4 374 1091 WYL Wattyl Ltd +6725 -2786 8 4 542 1265 WSA Western Areas NL +34846 -2597 6 1 374 685 WFL Willmott Forests Ltd +13593 -311 3 0 174 476 WMR WMC Resources Ltd +5130 -327 1 1 188 316 201 Capital Goods: ================= AJL AJ Lucas Group Ltd +8835 -1534 7 3 475 1125 ALS Alesco Corporation Ltd +12887 -1418 8 4 526 1231 AHS Atlas Group Holdings Ltd -1684 -2279 0 1 90 170 ASB Austal Ltd +2458 -2016 4 6 498 1245 BOL Boom Logistics Ltd +1715 -196 1 0 47 104 CDX CDS Technologies Ltd +7275 -2958 6 4 421 1017 CLO Clough Ltd +1593 -3473 7 5 541 1260 CMI CMI Ltd +9899 -674 6 5 511 1177 CRG Crane Group Ltd +1551 -1925 7 5 542 1261 EOS Electro Optic Systems Holdings Ltd +3149 -1072 1 3 190 557 GWT GWA International Ltd +2233 -1290 8 4 543 1265 HWE Henry Walker Eltin Group Ltd +7183 -2094 6 6 543 1263 HNG HGL Ltd +5589 -566 4 6 452 1043 HIL Hills Industries Ltd +3498 -810 7 5 538 1252 LEI Leighton Holdings Ltd +2226 -1938 6 6 543 1266 LCL Lighting Corporation Ltd +6809 -1052 6 3 364 724 MAH Macmahon Holdings Ltd +18080 -2786 4 8 542 1263 MXI MaxiTRANS Industries Ltd +11279 -3148 6 5 449 1181 MST Metal Storm Ltd -918 -2256 4 7 521 1176 MND Monadelphous Group Ltd +4676 -1695 5 5 421 1093 NLX Nylex Ltd -1794 -4125 5 7 541 1262 REH Reece Australia Ltd +536 -428 2 2 126 515 SST Steamships Trading Company Ltd (PNG) +3361 -1819 4 4 196 471 UGL United Group Ltd +8946 -3524 7 5 543 1266 WES Wesfarmers Ltd +3807 -1361 9 3 543 1266 202 Commercial Services & Supplies: ================================== ABS ABC Learning Centres Ltd +13405 -957 5 1 326 747 BAX Baxter Group Ltd +6101 -556 1 0 144 320 BIL Brambles Industries Ltd -54 -2030 5 7 543 1266 CAB Cabcharge Australia Ltd +2136 -853 5 3 379 1049 CND Candle Australia Ltd +8555 -1419 7 6 495 1239 CDC Child Care Centres Australia Ltd +12227 -1184 1 2 173 353 COA Coates Hire Ltd +10973 -1951 7 5 543 1266 COF Coffey International Ltd +7772 -1951 7 4 505 1118 CLH Collection House Ltd +6436 -2551 4 4 389 870 CXP Corporate Express Australia Ltd +11910 -1754 8 4 538 1258 CCP Credit Corp Group Ltd +6342 -763 2 2 189 675 DOW Downer EDI Ltd +9971 -1538 7 2 414 1033 IWF Integrated Group Ltd +7746 -2132 5 1 333 855 LCO Legalco Ltd +8363 -864 3 1 133 646 MCP McPhersons Ltd +22046 -620 11 1 537 1249 MXL MXL Ltd +37970 -2110 4 3 426 1152 NOL National 1 Ltd +5376 -2492 4 3 188 732 PIV Peppercorn Investment Fund +1830 -34 1 0 87 212 PMG Peppercorn Management Group Ltd +14207 -992 3 0 206 335 PRG Programmed Maintenance Services Ltd +2597 -1006 4 3 313 1092 RBS Roberts Ltd +6876 -865 7 3 382 763 SLM Salmat Ltd +7905 -600 1 1 187 314 SKE Skilled Engineering Ltd +5532 -1361 8 4 543 1265 SPT Spotless Group Ltd -2010 -2625 3 9 542 1265 TEM Tempo Services Ltd +2965 -2098 6 6 538 1249 TSE Transfield Services Ltd +5257 -733 5 1 331 714 VTI Virotec International Ltd +13549 -2752 3 6 404 1190 WDP Wadepack Ltd -1617 -3237 5 3 243 731 203 Transportation: ================== ADZ Adsteam Marine Ltd +2049 -2115 6 6 542 1260 AIX Australian Infrastructure Group -917 -1117 6 6 541 1264 HLY Hills Motorway Trust -1208 -1719 6 6 543 1266 KSC K&S Corporation Ltd +17262 -688 4 3 286 1045 MAP Macquarie Airports +9735 -818 3 1 230 399 MIG Macquarie Infrastructure Group -1930 -1903 5 7 543 1259 PRK Patrick Corporation Ltd +8091 -684 7 5 543 1265 PIF Prime Infrastructure Group -755 -1065 0 1 90 170 QAN Qantas Airways Ltd +407 -2792 6 6 542 1263 TOL Toll Holdings Ltd +13784 -700 9 3 542 1265 TCL Transurban Group -2413 -3771 6 6 543 1266 251 Automobile & Components: =========================== BDS Bridgestone Australia Ltd +8326 -907 3 3 230 919 CYG Coventry Group Ltd +4385 -1073 6 3 367 1112 ION ION Ltd (Iron Carbide Australia Ltd) +41671 -1399 8 2 523 1197 OEC Orbital Engine Corporation Ltd +2781 -3463 5 7 542 1265 PBB Pacifica Group Ltd -1514 -2081 6 6 543 1266 SFC Schaffer Corporation Ltd +2747 -261 4 0 225 755 252 Consumer Durables & Apparel: =============================== BBG Billabong International Ltd +6312 -1511 6 2 389 905 FWD Fleetwood Corporation Ltd +11639 -1406 6 4 501 1077 FUN Funtastic Ltd +8091 -949 6 2 387 877 GAP Gale Pacific Ltd +5681 -1135 1 2 188 703 GZL Gazal Corporation Ltd +124 -864 3 4 270 734 GLB Globe International Ltd +14206 -4636 4 2 330 712 GUD GUD Holdings Ltd +9980 -1246 6 6 543 1266 KRS Kresta Holdings Ltd +19219 -3003 7 4 425 930 253 Hotels, Restaurants & Leisure: ================================= AGI Ainsworth Game Technology Ltd +2339 -1368 2 2 229 554 ALL Aristocrat Leisure Ltd +2158 -4873 5 7 541 1262 ALH Australian Leisure & Hospitality Grp +503 -473 1 0 46 91 BCL Betcorp Ltd +4309 -4685 5 2 424 962 BRK BreakFree Ltd +4603 -433 2 0 167 353 BIR Burswood Ltd +2100 -2401 7 4 534 1265 CAI Casinos Austria International Ltd +3928 -2387 5 4 410 1136 FLT Flight Centre Ltd +7408 -1240 7 5 543 1264 IAS International All Sports Ltd -2156 -5667 5 5 510 1092 RCT Reef Casino Trust +2121 -1932 5 6 467 1146 SSS Sam's Seafood Holdings Ltd +1003 -2202 2 4 187 525 SGS Stargames Ltd -25 -1458 3 7 404 1230 SAQ Sydney Aquarium Ltd +2411 -871 5 3 355 1069 TAB TAB Ltd +1265 -1384 6 6 543 1266 TAH Tabcorp Holdings Ltd -540 -1674 6 6 543 1266 UTB UNiTAB Ltd +6613 -585 6 2 389 1097 254 Media: ========= AVV AAV Ltd +38876 -5423 7 4 508 1101 AAU Adcorp Australia Ltd +3025 -1155 5 2 330 883 AHD Amalgamated Holdings Ltd +9579 -1064 7 5 539 1259 APN APN News & Media Ltd +2739 -1573 7 5 542 1265 AUN Austar United Communications Ltd +25398 -5292 7 4 513 1184 AEO Austereo Group Ltd -222 -1072 3 3 333 763 FXJ Fairfax (John) Holdings Ltd +6748 -1457 5 7 541 1264 MCG Macquarie Communications Infr Group +3958 -277 4 0 230 400 NCP News Corporation Ltd +14422 -743 4 8 543 1266 PMP PMP Ltd +5115 -5308 4 8 543 1266 PRT Prime Television Ltd +6521 -1344 6 6 570 1232 PBL Publishing & Broadcasting Ltd +10044 -666 6 6 543 1265 REG RG Capital Radio Ltd +729 -857 2 2 226 517 RUP Rural Press Ltd +1843 -1066 4 5 421 1207 SEV Seven Network Ltd +9523 -809 7 5 543 1266 SBC Southern Cross Broadcasting (Aust) +5870 -908 8 2 432 1234 SSR Southern Star Group Ltd +7475 -4242 2 5 418 1129 SGN STW Communications Group Ltd +6237 -784 8 3 520 1186 STV Sunraysia Television Ltd +1223 -34 1 0 18 110 TEN Ten Network Holdings Ltd +4020 -660 8 4 543 1266 VRL Village Roadshow Ltd +3315 -1766 6 6 539 1260 WAN West Australian Newspapers Holdings +1236 -680 4 8 543 1266 255 Retailing: ============= ADG Adtrans Group Ltd +5132 -761 6 2 348 944 ANC Angus & Coote Ltd +1388 -3079 3 3 230 641 APE AP Eagers Holdings Ltd +1096 -1582 5 3 323 803 ARP ARB Corporation Ltd +5331 -660 5 5 386 1011 BRZ Brazin Ltd +5974 -4836 8 4 543 1266 CDO Colorado Group Ltd +7284 -910 5 3 388 1082 CTY Country Road Ltd -277 -2611 0 1 13 76 DKS Danks Holdings Ltd +1393 -1237 5 2 133 458 DJS David Jones Ltd -1740 -1717 5 7 543 1266 FAN Fantastic Holdings Ltd +4943 -2212 4 5 352 1003 HVN Harvey Norman Holdings Ltd +2207 -1906 6 6 543 1266 HLD HomeLeisure Ltd +29009 -1767 5 2 330 680 HWI Housewares International Ltd +7060 -991 7 4 444 1205 JBH JB Hi-Fi Ltd +493 -642 1 0 49 106 MRL Miller's Retail Ltd +4991 -1554 7 5 543 1264 ORL OrotonGroup Ltd +4015 -1280 4 4 288 821 REB Rebel Sport Ltd +10905 -671 5 7 455 1246 301 Food & Staples Retailing: ============================ ABB ABB Grain Ltd +9519 -153 4 0 257 392 AWB AWB Ltd +4326 -467 4 1 310 650 CML Coles Myer Ltd -1901 -2042 5 7 543 1264 FOA Foodland Associated Ltd +176 -2147 7 5 543 1261 MTT Metcash Trading Ltd +8344 -2158 8 4 541 1260 PMV Premier Investments Ltd +8126 -2581 5 2 251 558 WOW Woolworths Ltd -26 -1471 7 5 543 1266 302 Food, Beverage & Tobacco: ============================ AAC Australian Agricultural Company Ltd +5273 -533 3 2 311 651 AFF Australian Food & Fibre Ltd +838 -1958 2 4 173 715 BPC Burns Philp & Company Ltd +2370 -2657 6 6 542 1264 CHQ Chiquita Brands South Pacific Ltd +2058 -1821 5 7 433 1125 CCL Coca-Cola Amatil Ltd +25 -3451 7 5 543 1266 ETW Evans & Tate Ltd +2703 -852 6 2 378 1037 FGL Foster's Group Ltd -578 -952 4 8 543 1265 FCL Futuris Corporation Ltd +573 -2150 7 5 543 1266 GNC GrainCorp Ltd +2912 -1647 5 5 487 1221 GFD Green's Foods Ltd +9039 -1271 7 5 551 1168 LNN Lion Nathan Ltd -336 -1414 5 7 542 1265 MGW McGuigan Simeon Wines Ltd +3754 -868 8 4 541 1251 NFD National Foods Ltd +4221 -988 6 6 543 1266 PSG Palm Springs Ltd -697 -2446 3 4 293 952 PLW Peter Lehmann Wines Ltd +5314 -837 7 5 492 1130 QCH Queensland Cotton Ltd +2932 -1950 9 3 536 1255 RIC Ridley Corporation Ltd -761 -2708 6 6 543 1266 SHV Select Harvests Ltd +3841 -848 6 3 354 1057 SRP Southcorp Ltd -6006 -2208 3 9 540 1262 SPC SPC Ardmona Ltd +10991 -888 7 5 532 1226 TGR Tassal Group Ltd +1616 -315 1 0 44 89 351 Health Care Equipment & Services: ==================================== ANN Ansell Ltd +2295 -2775 7 5 543 1266 AXN Axon Instruments Inc (USA CUFS) +1678 -2341 4 4 389 1018 BKL Blackmores Laboratories Ltd +5594 -1073 7 6 593 1196 COH Cochlear Ltd -195 -3606 5 7 543 1266 CMP Compumedics Ltd -3233 -2763 2 3 247 766 DVC DCA Group Ltd +6572 -1031 6 3 421 983 GGL Gribbles Group Ltd (The) +9640 -1237 7 5 543 1260 HCN Health Communication Network Ltd +13213 -2504 5 3 369 1046 HSP Healthscope Ltd +6436 -1526 8 3 524 1201 IPN Independent Practitioner Network Ltd -4802 -4537 4 4 386 1008 MAY Mayne Group Ltd -4609 -2881 5 7 540 1261 MIA MIA Group Ltd +399 -2293 5 3 389 936 NAL Norwood Abbey Ltd +19895 -1242 6 2 388 902 OMI Occupational & Medical Innovatns Ltd +22530 -2469 4 4 358 759 PLT Polartechnics Ltd -6140 -4463 4 8 576 1243 PRY Primary Healthcare Ltd +12670 -1841 8 4 509 1189 PLF Primelife Corporation Ltd +5244 -1721 6 6 521 1253 PME Pro Medicus Ltd +2127 -2096 2 4 349 766 RHC Ramsay Health Care Ltd +4421 -1356 7 5 541 1263 RMD ResMed Inc (USA CUFS) +3509 -2739 5 3 389 1091 SDI SDI Ltd +21874 -814 4 3 318 909 SIG Sigma Company Ltd +8359 -847 6 2 389 1109 SHL Sonic Healthcare Ltd +1841 -1324 6 6 542 1265 UNI Unitract Ltd +5719 -2449 2 1 212 343 VCR Ventracor Ltd +34321 -2453 8 4 540 1260 352 Pharmaceuticals & Biotechnology: =================================== AGX Agenix Ltd +17459 -1107 7 5 541 1260 ABI Ambri Ltd +7071 -4361 4 3 394 913 AML AMRAD Corporation Ltd +10233 -3052 7 5 548 1254 AWP Arrow Pharmaceuticals Ltd +7456 -513 3 1 225 334 API Australian Pharmaceutical Ind Ltd +2599 -1206 6 6 539 1255 BLT Benitec Ltd +3943 -2509 3 2 223 728 BTA Biota Holdings Ltd -2823 -4068 4 8 543 1266 CST Cellestis Ltd +5595 -2022 4 2 333 716 CMQ Chemeq Ltd +24062 -1736 3 5 420 1091 CIR Circadian Technologies Ltd +40242 -2010 9 4 578 1250 CSL CSL Ltd +5041 -2413 6 6 543 1264 EPT EpiTan Ltd +45651 -2525 4 0 309 727 GTG Genetic Technologies Ltd +7410 -2248 5 4 406 1126 IDT Institute of Drug Technology Aust +15697 -1656 7 3 469 1233 MBP Metabolic Pharmaceuticals Ltd +20703 -2775 8 4 572 1241 NRT Novogen Ltd +22194 -4047 8 4 543 1265 PEP Peplin Biotech Ltd +1175 -1752 5 3 318 847 PTD Peptech Ltd +24266 -3963 6 7 562 1256 PBT Prana Biotechnology Ltd +3367 -4394 4 3 392 973 PSD pSivida Ltd +37334 -3356 6 3 322 818 SRX Sirtex Medical Ltd +2764 -2427 1 7 381 889 SPL Starpharma Holdings Ltd +20801 -1102 8 0 378 833 401 Banks: ========= ADB Adelaide Bank Ltd +1925 -1218 6 6 542 1265 ANZ Australia & NZ Banking Group Ltd -981 -1104 5 7 543 1266 BOQ Bank of Queensland Ltd +4361 -962 7 5 542 1264 BEN Bendigo Bank Ltd +3703 -1698 6 6 543 1266 CBA Commonwealth Bank Ltd +829 -1046 5 7 543 1264 HME Home Building Society Ltd +2187 -467 2 2 213 469 NAB National Australia Bank Ltd -949 -1588 4 8 543 1266 ROK Rock Building Society Ltd (The) +2425 -1083 4 6 456 1118 SGB St George Bank Ltd +1950 -1017 6 6 543 1266 WBC Westpac Banking Corporation +1196 -975 6 6 543 1266 WBB Wide Bay Australia Ltd +4067 -468 3 2 164 987 402 Diversified Financials: ========================== ALR Aberdeen Leaders Ltd -785 -630 3 7 436 1093 AMH AMCIL Ltd +14681 -714 7 1 362 986 ARG Argo Investments Ltd +5000 -751 9 3 543 1266 AFI Australian Foundation Invest Ltd +2601 -1226 6 6 543 1266 ASX Australian Stock Exchange Ltd +9392 -1203 8 4 543 1266 AUI Australian United Investment Ltd -167 -481 4 5 269 658 CIN Carlton Investments Ltd +3303 -995 2 1 273 844 CGF Challenger Financial Services Group +6471 -2170 6 6 539 1262 CHO Choiseul Investments Ltd +847 -454 2 3 171 805 CIY City Pacific Ltd +100237 -1031 3 2 321 534 CDF Commonwealth Diversifd Share Fund +90 -538 5 6 500 1197 COU Count Financial Ltd +5206 -1846 3 4 355 758 CVC CVC Ltd +15633 -1193 4 1 184 380 DUI Diversified United Investment Ltd +318 -442 5 5 377 944 DJW Djerriwarth Investments Ltd +1208 -1336 7 5 543 1266 ETR ETRADE Australia Ltd +10107 -3793 4 7 480 1223 GOW Gowing Bros Ltd +748 -958 6 7 466 1121 HHL Hunter Hall International Ltd +11708 -931 5 1 236 679 HIC Huntley Investment Company Ltd +558 -588 5 7 433 1091 IWI International Wine Investment Fund +4246 -3085 6 5 482 1205 IGP Investor Group Ltd +9336 -1675 5 4 503 1152 IBC Ironbark Capital Ltd +3218 -1563 7 5 530 1238 JDV JDV Ltd +3658 -2802 3 7 449 1093 MBL Macquarie Bank Ltd +5780 -1339 8 4 543 1264 MFI Mariner Financial Ltd +29196 -68 2 1 117 275 MLT Milton Corporation Ltd +2157 -535 9 3 535 1236 MIR Mirrabooka Investments Ltd +3973 -132 5 1 311 658 OFM OFM Investment Group Ltd +297 -1120 2 2 225 496 PPT Perpetual Trustees Australia Ltd +2792 -1344 7 5 543 1266 PMC Platinum Capital Ltd +7545 -806 9 3 543 1266 RCD Record Investments Ltd +3233 -742 4 2 272 755 SFE SFE Corporation Ltd +5386 -565 2 2 230 487 SUN Suncorp-Metway Ltd +1274 -1286 6 6 543 1265 TPX Tasmanian Perpetual Trustees Ltd +620 -4432 2 2 182 326 TGG Templeton Global Growth Fund Ltd -451 -855 6 6 532 1249 TRG Treasury Group Ltd +47329 -3174 5 2 307 603 TRU Trust Company of Australia Ltd +3049 -1526 2 2 214 458 WAM WAM Capital Ltd +4032 -350 6 3 499 1086 SOL Washington H Soul Pattison & Co Ltd +5249 -1009 9 3 529 1242 WHF Whitefield Ltd -968 -504 1 3 144 575 403 Insurance: ============= AMP AMP Ltd -7121 -3440 4 8 540 1263 AXA AXA Asia Pacific Holdings Ltd -1183 -1662 6 6 543 1266 IAG Insurance Australia Group Ltd +2682 -885 4 4 389 905 OMP OAMPS Ltd +13768 -1171 7 2 428 1126 PMN Promina Group Ltd +506 -34 1 0 90 220 QBE QBE Insurance Group Ltd +3009 -1117 6 6 543 1266 RAC Reinsurance Australia Corporation +4307 -9290 4 7 489 1233 404 Real Estate: =============== ABP Abacus Property Group -102 -698 2 1 211 342 ACF Acumen Capital Prop. Securities Fund -353 -509 0 1 71 142 LEP ALE Property Group +890 -226 1 0 46 91 ARA Ariadne Australia Ltd +324 -3837 5 7 532 1157 ALZ Australand Property Group +1650 -785 6 6 538 1246 AVJ AV Jennings Homes Ltd +5302 -1782 7 3 509 1047 BWI Beston Wine Industry Trust (The) -1065 -1176 2 3 314 858 BWP Bunnings Warehouse Property Trust -501 -940 7 5 542 1263 CDP Carindale Property Trust +1520 -885 3 6 356 1057 CWP Cedar Woods Properties Ltd +1385 -2625 4 4 345 796 CEQ Central Equity Ltd +4608 -940 7 5 576 1243 CEP Centro Properties Ltd +1535 -785 8 4 549 1264 GAN CFS Gandel Retail Trust -620 -864 6 6 543 1265 CPA Commonwealth Property Office Fund -1461 -792 3 8 513 1222 DDF Deutsche Diversified Trust -1025 -1079 6 6 543 1265 DIT Deutsche Industrial Trust +465 -970 7 5 536 1249 DOT Deutsche Office Trust -1402 -864 3 5 388 943 DVN Devine Ltd +12519 -2366 6 4 433 1235 FKP FKP Ltd +8040 -687 7 5 542 1260 FPF Flexi Property Fund -332 -1254 6 6 421 1174 GPT General Property Trust +190 -904 8 4 543 1266 GHG Grand Hotel Group +1681 -1135 7 5 541 1263 IIF ING Industrial Fund +285 -1126 9 3 538 1261 IOF ING Office Fund +710 -635 5 2 404 1063 IPG Investa Property Group -381 -974 5 7 541 1261 JFG James Fielding Group +742 -1292 5 6 494 1182 JFM JF Meridian Trust -817 -1496 5 7 542 1264 LLC Lend Lease Corporation Ltd +798 -1655 5 7 543 1266 MCW Macquarie Countrywide Trust Units +1061 -780 8 4 543 1265 MGI Macquarie Goodman Industrial Trust +1533 -460 9 3 542 1260 MGM Macquarie Goodman Management Ltd +17618 -1050 8 2 541 1203 MLE Macquarie Leisure Trust Group +4554 -1288 6 6 542 1265 MOF Macquarie Office Trust Unit +159 -1160 7 5 541 1261 MPR Macquarie ProLogis Trust -253 -772 0 1 90 170 MGR Mirvac Group -119 -844 4 7 513 1205 PAY Payce Consolidated Ltd +14641 -2152 2 1 169 382 PBD Port Bouvard Ltd +8693 -4078 6 5 454 939 PRX Prime Retail Group -648 -1687 7 5 542 1246 PAO Principal America Office Trust +121 -2055 4 3 351 785 RPH Ronin Property Group -869 -1374 4 8 543 1263 SEL S8 Ltd -1912 -1932 1 3 223 525 SRV Servcorp Ltd -1367 -3038 3 5 331 915 SGP Stockland -601 -979 5 7 542 1265 SDG Sunland Group Ltd +15050 -1402 6 1 322 852 THG Thakral Holdings Ltd +6355 -746 8 4 541 1263 VPG Valad Property Group -168 -632 0 1 150 315 VWD Villa World Ltd +2020 -2813 5 6 540 1252 WFA Westfield America Trust +661 -1534 6 6 539 1262 WSF Westfield Holdings Ltd +1177 -996 8 4 547 1262 WFT Westfield Trust Ltd -453 -892 7 5 550 1264 451 Software & Services: ======================= ADA Adacel Technologies Ltd -1967 -2554 6 6 527 1227 ALU Altium Ltd +3005 -4093 4 6 493 1164 BCA Baycorp Advantage Ltd +6856 -4981 7 5 543 1266 CTL Citect Corporation Ltd +3915 -5051 7 5 537 1257 CPU Computershare Ltd +4985 -2508 6 6 543 1266 CSI Concept Systems International Ltd +5938 -5515 3 6 327 905 HPX HPAL Ltd +4707 -888 7 1 389 826 IIN iiNet Ltd +26954 -977 6 2 404 1013 IFM Infomedia Ltd +1063 -1839 4 4 388 904 IRE IRESS Market Technology Ltd +3064 -1051 5 2 374 827 IWL IWL Ltd +11092 -3051 5 3 465 1094 KAZ KAZ Group Ltd +9998 -2634 6 2 387 1016 LOK LookSmart Ltd (USA CUFS) +35540 -5729 2 6 389 1022 MUL Multiemedia Ltd +55844 -2915 5 6 505 1214 MYO MYOB Ltd +14007 -4980 7 4 511 1182 OKN Oakton Ltd +6107 -1831 5 2 272 877 OTT Open Telecommunications Ltd +6771 -3960 2 2 159 634 RKN Reckon Ltd +11464 -2527 6 5 513 1172 SMX SMS Management & Technology Ltd +6381 -3934 4 8 542 1265 SOH Solution 6 Holdings Ltd +7758 -2387 8 4 541 1263 TNE Technology One Ltd +2987 -1665 3 5 389 1083 TMO Tomato Technologies Ltd +7583 -3273 3 1 278 689 UXC UXC Ltd +54532 -5358 6 6 534 1249 VGL Volante Group Ltd +8449 -924 6 3 415 1070 452 Technology Hardware & Equipment: =================================== AAT Autron Corporation Ltd +19583 -2259 8 4 486 1217 CLT Cellnet Group Ltd +3006 -2208 1 7 327 1090 CDR Commander Communications Ltd +3882 -2027 4 4 384 818 ERG ERG Ltd +11142 -4123 5 7 543 1266 IHG Intellect Holdings Ltd +18826 -2307 5 4 456 1097 KYC Keycorp Ltd +9106 -4685 8 4 542 1264 RDF Redflex Holdings Ltd +12941 -3024 7 4 494 1243 VSL Vision Systems Ltd -2010 -1999 5 7 528 1238 453 Semiconductors & Semiconductor Equipment: ============================================ SLX Silex Systems Ltd +10086 -6683 7 5 542 1264 501 Telecommunication Services: ============================== BBB B Digital Ltd +18087 -4431 5 3 282 684 CAG Cape Range Wireless Ltd +39570 -4613 5 5 481 1231 HTA Hutchison Telecommunications (Aust) +25003 -3222 2 8 493 1154 PWT PowerTel Ltd +16532 -3254 8 4 543 1266 QPX QPSX Ltd +13432 -1458 4 4 367 760 SGT Singapore Telecommunications (Singap +413 -835 2 3 311 641 SOT SP Telecommunications Ltd +19097 -1567 3 3 363 698 TEL Telecom Corporation of New Zealand L +5003 -1199 8 4 543 1266 TLS Telstra Corporation Ltd -890 -972 6 6 543 1266 UEC Uecomm Ltd +9997 -2637 5 2 350 885 UNW Unwired Group Ltd -4902 -5858 2 3 225 773 551 Utilities: ============= ALN Alinta Ltd +4546 -728 5 3 387 867 AGL Australian Gas Light Co. Ltd (The) -353 -1201 5 7 543 1264 APA Australian Pipeline Trust +1242 -1740 6 2 389 944 ENE Energy Developments Ltd +14108 -2881 8 4 543 1266 ENV Envestra Ltd -1350 -1289 5 7 542 1265 GAS GasNet Australia Group +1424 -1489 2 2 230 555 NVE Novera Energy Ltd +5132 -467 1 0 136 281 PHY Pacific Hydro Ltd +1734 -1471 6 6 536 1251 --- GICS not applicable: ======================= GCA GEC Asian Value Fund +114 -80 1 0 8 73 http://www.metastocktools.com Trading system summary report legend ==================================== ========================================== Based on $ trades and $ commissions stated ========================================== winning trades rate =================== Percentage of winning trades over total number of trades total wins/losses/trades ======================== Total number of winning trades, losing trades, all trades gain to loss ratio ================== Ratio of total $ wins to total $ losses. 1 to 1 = $0 profit avg length of each trade ======================== Number of trade days in which the average trade remained open annualized profit per trade =========================== Annualized percentage profit per average trade if it was open all year. This is the theoretical profit upper limit for the trading system tested. avg time in market/trade ======================== Percentage of time that the average trade remained open avg new trades per day ====================== Frequency of new trades per trading day avg winning trade profit ======================== $ profit amount of average winning trade avg losing trade loss ===================== $ loss amount of average losing trade avg trade profit ================ Average $ profit per trade daily $ profit per trade ======================== Daily $ profit per average trade whilst active avg max $ trade drawdown ======================== Average $ maximum drawdown whilst trade was open avg max % trade drawdown ======================== Average maximum drawdown percentage of trade size risk/profit index ================= Percentage of (average trade $ drawdown)/(average trade $ profit) ratio total market net profit ======================= Total $ net profit (inc commissions) for whole market test period total commissions ================= Total $ brokerage paid for all trades in test period highest stock profit ==================== Highest stock $ net profit, code symbol highest stock loss ================== Highest stock $ net loss, code symbol highest trade drawdown ====================== highest single trade drawdown, code symbol ==================================================================== Based on $ trades adjusted to fit a 2% average maximum drawdown (dd) for system comparative purposes, using same commissions ==================================================================== comparative profit/trade ======================== Annualized percentage profit per average dd-adjusted trade if it was open all year. This is a good comparison percentage profit value against other system tests. daily $ profit per trade ======================== Daily $ profit per average dd-adjusted trade whilst active avg trade profit ================ Average $ profit per dd-adjusted trade avg max $ trade drawdown ======================== Average $ maximum drawdown whilst dd-adjusted trade was open. This will 2% of the original trade size. total adj market net profit =========================== Total $ net profit for whole market test period using dd-adjusted trades ====================== Overall market summary ====================== stocks tested ============= Number of stocks tested stocks traded ============= Number of stocks actually traded by system avg test days per stock ======================= Average test days per stock. This will always be lower than the periods loaded, as the trading system may require a set-up period. For example, a method that requires a 100 day MA will have an initial period of 100 days without trade signals. ---------------------------------------------------------------------- All currently open trades in test report are treated as closed on the last day of test. All drawdown data based on the maximum loss (measured from entry $ capital) reached whilst the trade was open. ---------------------------------------------------------------------- From http://www.metastocktools.com Trade with the trend ==================== Most commercially available trading systems are designed by fitting their rules and methods around past data. This is often called "curve-fitting". A system designed in this way initially shows promising paper profits using past data, but those returns hardly ever eventuate in the real world. The few commercially available systems that do make money often struggle to beat a simple buy & hold strategy on index stocks. The results above for the robust ADT-05 market filter/system show that its profit-to-loss ratio is about 3 times better than a buy & hold strategy for the same period. However, the amazing thing about ADT's market test results, is that being a market trend detecting filter, all stocks tested were bought and sold on the same day, regardless if they were in an uptrend, downtrend, or trading range. In other words, this market filter is so robust that it can carry along losing trades easily, and still show good profits. Of course, using additional Technical Analysis entry and exit rules for each individual stock, it would be easy to further improve on these results. The whole point of this method is to use it as an underlying foundation on which to build a good trading system that suits the individual trader's style and psyche. A successful trading system design: Market trend --> system signals --> entry/exit confirmation signals The ADT-05 market filter/system will suit most trading styles, from the small investor right up to the largest of fund managers. The ADT-05 is available with the understanding that the purchaser may need additional help in system design. My expertise lies in system design, coding and testing, and I can be of further help in this regard to the ADT's user's needs. Trade with the trend. Jose Silva josesilva22@yahoo.com