Pegasus v5.1 system performance market report ============================================= Fixed-equity system test summary for all stocks in the ASX 500 from 01/7/1999 to 28/6/2004 (5 years). All transaction costs & 2% total slippage included. Based on $10000 trades with $34 commissions: winning trades rate: 61.6% <--= total wins/losses/trades: 628 / 392 / 1020 gain to loss ratio: 11.39 to 1 <--= avg length of each trade: 9 trade days <--= annualized profit per trade: 133.25% pa <--= avg time in market/trade: 0.9% avg new trades per day: 1 avg winning trade profit: $846 avg losing trade loss: -$119 avg trade profit: $474.95 daily $ profit per trade: $52.88 avg max $ trade drawdown: -$211.47 avg max % trade drawdown: 2.11% risk/profit index: 44.5% <--= total market net profit: $484453 <--= total commissions: $69360 highest stock profit: $17545 (OXR) highest stock loss: -$3091 (ASL) highest trade drawdown: -$6262 (SLX) Based on $9458 trades (adj to 2% avg max drawdown): comparative profit/trade: 124.99% pa <--= daily $ profit per trade: $49.6 avg trade profit: $445.51 avg max $ trade drawdown: -$200 total adj market net profit: $454424 Overall market summary: stocks tested: 491 stocks traded: 253 avg test days per stock: 999 (4 years) Test parameters: Buy Long on Open + 1% slippage, Entry delay 1 day; Sell Long on Open - 1% slippage, Exit delay 1 day. GICS Industry Groups test results ================================= - based on $10000 trades with $34 commissions 101 Energy: ========== winning trades rate: 69% total wins/losses/trades: 49 / 22 / 71 gain to loss ratio: 13.07 to 1 avg length of each trade: 9.7 trade days annualized profit per trade: 168.11% pa avg max % trade drawdown: 1.62% risk/profit index: 25% total market net profit: $46096 151 Materials: ============= winning trades rate: 62% total wins/losses/trades: 199 / 122 / 321 gain to loss ratio: 14.5 to 1 avg length of each trade: 7.9 trade days annualized profit per trade: 171.71% pa avg max % trade drawdown: 1.86% risk/profit index: 34.5% total market net profit: $173074 201 Capital Goods: ================= winning trades rate: 68.2% total wins/losses/trades: 30 / 14 / 44 gain to loss ratio: 6.07 to 1 avg length of each trade: 11.3 trade days annualized profit per trade: 76.05% pa avg max % trade drawdown: 2.28% risk/profit index: 66.6% total market net profit: $15030 202 Commercial Services & Supplies: ================================== winning trades rate: 54.9% total wins/losses/trades: 28 / 23 / 51 gain to loss ratio: 6.27 to 1 avg length of each trade: 9.4 trade days annualized profit per trade: 99.36% pa avg max % trade drawdown: 2.42% risk/profit index: 65.4% total market net profit: $18847 203 Transportation: ================== winning trades rate: 66.7% total wins/losses/trades: 10 / 5 / 15 gain to loss ratio: 2.51 to 1 avg length of each trade: 10.3 trade days annualized profit per trade: 59.98% pa avg max % trade drawdown: 2.91% risk/profit index: 118.3% total market net profit: $3689 251 Automobile & Components: =========================== winning trades rate: 60% total wins/losses/trades: 6 / 4 / 10 gain to loss ratio: 4.37 to 1 avg length of each trade: 9.3 trade days annualized profit per trade: 12.68% pa avg max % trade drawdown: 2.03% risk/profit index: 434.5% total market net profit: $468 252 Consumer Durables & Apparel: =============================== winning trades rate: 64.7% total wins/losses/trades: 11 / 6 / 17 gain to loss ratio: 2.28 to 1 avg length of each trade: 8.1 trade days annualized profit per trade: 12.43% pa avg max % trade drawdown: 2.46% risk/profit index: 618.7% total market net profit: $676 253 Hotels, Restaurants & Leisure: ================================= winning trades rate: 38.9% total wins/losses/trades: 7 / 11 / 18 gain to loss ratio: 1.94 to 1 avg length of each trade: 10.9 trade days annualized profit per trade: 25.72% pa avg max % trade drawdown: 2.73% risk/profit index: 245.7% total market net profit: $2000 254 Media: ========= winning trades rate: 63.6% total wins/losses/trades: 21 / 12 / 33 gain to loss ratio: 13.95 to 1 avg length of each trade: 7.9 trade days annualized profit per trade: 132.71% pa avg max % trade drawdown: 1.72% risk/profit index: 41.5% total market net profit: $13693 255 Retailing: ============= winning trades rate: 63.2% total wins/losses/trades: 12 / 7 / 19 gain to loss ratio: 6.99 to 1 avg length of each trade: 9.6 trade days annualized profit per trade: 58.92% pa avg max % trade drawdown: 1.51% risk/profit index: 67.4% total market net profit: $4255 301 Food & Staples Retailing: ============================ winning trades rate: 50% total wins/losses/trades: 2 / 2 / 4 gain to loss ratio: 0 to 1 avg length of each trade: 9.8 trade days annualized profit per trade: -6.03% pa avg max % trade drawdown: 2.17% risk/profit index: infinite total market net profit: -$93 302 Food, Beverage & Tobacco: ============================ winning trades rate: 56% total wins/losses/trades: 14 / 11 / 25 gain to loss ratio: 1.04 to 1 avg length of each trade: 8.1 trade days annualized profit per trade: 1.47% pa avg max % trade drawdown: 2.52% risk/profit index: 5342.8% total market net profit: $118 no trades for 303 Household & Personal Products =============================================== 351 Health Care Equipment & Services: ==================================== winning trades rate: 60.3% total wins/losses/trades: 38 / 25 / 63 gain to loss ratio: 11.4 to 1 avg length of each trade: 8.3 trade days annualized profit per trade: 182.98% pa avg max % trade drawdown: 2.06% risk/profit index: 34.3% total market net profit: $37758 352 Pharmaceuticals & Biotechnology: =================================== winning trades rate: 62.9% total wins/losses/trades: 73 / 43 / 116 gain to loss ratio: infinite to 1 avg length of each trade: 8.9 trade days annualized profit per trade: 173.7% pa avg max % trade drawdown: 2.04% risk/profit index: 33.1% total market net profit: $71478 no trades for 401 Banks ======================= 402 Diversified Financials: ========================== winning trades rate: 46.7% total wins/losses/trades: 7 / 8 / 15 gain to loss ratio: 20.37 to 1 avg length of each trade: 9.5 trade days annualized profit per trade: 91.23% pa avg max % trade drawdown: 1.84% risk/profit index: 53.8% total market net profit: $5141 403 Insurance: ============= winning trades rate: 37.5% total wins/losses/trades: 3 / 5 / 8 gain to loss ratio: .35 to 1 avg length of each trade: 10.5 trade days annualized profit per trade: -12.48% pa avg max % trade drawdown: 1.37% risk/profit index: infinite total market net profit: -$416 404 Real Estate: =============== winning trades rate: 63.3% total wins/losses/trades: 19 / 11 / 30 gain to loss ratio: 5.26 to 1 avg length of each trade: 10.8 trade days annualized profit per trade: 90.14% pa avg max % trade drawdown: 1.86% risk/profit index: 48.1% total market net profit: $11589 451 Software & Services: ======================= winning trades rate: 64.4% total wins/losses/trades: 58 / 32 / 90 gain to loss ratio: 11.63 to 1 avg length of each trade: 10.6 trade days annualized profit per trade: 128.2% pa avg max % trade drawdown: 2.43% risk/profit index: 45.2% total market net profit: $48380 452 Technology Hardware & Equipment: =================================== winning trades rate: 57.6% total wins/losses/trades: 19 / 14 / 33 gain to loss ratio: 41.27 to 1 avg length of each trade: 8.2 trade days annualized profit per trade: 147.15% pa avg max % trade drawdown: 2.3% risk/profit index: 48.1% total market net profit: $15766 453 Semiconductors & Semiconductor Equipment: ============================================ winning trades rate: 50% total wins/losses/trades: 4 / 4 / 8 gain to loss ratio: infinite to 1 avg length of each trade: 10 trade days annualized profit per trade: 29.07% pa avg max % trade drawdown: 7.83% risk/profit index: 678.5% total market net profit: $923 501 Telecommunication Services: ============================== winning trades rate: 57.7% total wins/losses/trades: 15 / 11 / 26 gain to loss ratio: 11.07 to 1 avg length of each trade: 9.5 trade days annualized profit per trade: 142.76% pa avg max % trade drawdown: 3.06% risk/profit index: 56.8% total market net profit: $13992 551 Utilities: ============= winning trades rate: 100% total wins/losses/trades: 3 / 0 / 3 gain to loss ratio: infinite to 1 avg length of each trade: 11.7 trade days annualized profit per trade: 143.29% pa avg max % trade drawdown: 3.82% risk/profit index: 57.6% total market net profit: $1990 Max $ In Total $ trade trade test Code Name Profit drawdown W L days days 101 Energy: ========== AYO Amity Oil Ltd +1398 -1272 3 3 76 1258 ARQ ARC Energy Ltd +4168 -753 5 1 57 1232 AWE Australian Worldwide Exploration Ltd +3648 -576 6 1 90 1247 BPT Beach Petroleum Ltd +737 -545 2 0 35 1257 CTX Caltex Australia Ltd +1415 -1278 5 1 41 1262 HDR Hardman Resources Ltd +13298 -928 11 3 113 1255 MOS Mosaic Oil NL -965 -1317 0 2 32 1251 OSH Oil Search Ltd (PNG) -2253 -1119 1 6 58 1261 PSA Petsec Energy Ltd +8173 -1856 5 2 64 1183 ROC Roc Oil Company Ltd -324 -324 0 1 6 1186 SGL Sydney Gas Ltd +15586 -955 7 0 87 1257 TAP Tap Oil Ltd -276 -383 1 1 15 1262 WOR Worley Group Ltd +1492 -215 3 1 17 344 151 Materials: ============= ABC Adelaide Brighton Ltd +2271 -698 4 1 32 1262 ALK Alkane Exploration Ltd +1026 -247 1 1 38 1184 AWC Alumina Ltd +331 -156 1 0 3 1262 AVM Anvil Mining Ltd (Canada CUFS) +9143 -254 5 0 41 1124 AQP Aquarius Platinum Ltd (Bermuda) +645 -84 1 1 10 1247 ASL Ausdrill Ltd -3091 -1981 0 2 20 1139 ANE Auspine Ltd -135 -273 0 1 14 1190 AUO Austral Coal Ltd +2403 -1382 4 4 57 1219 BGF Ballarat Goldfields NL +2058 -1812 4 5 77 960 BDG Bendigo Mining NL +2986 -1208 1 1 32 1252 BLD Boral Ltd -430 -430 0 1 4 1262 CBH CBH Resources Ltd +3537 -1381 5 4 56 1188 CNT Centamin Egypt Ltd +2341 -580 4 2 49 1191 CEY Centennial Coal Company Ltd +920 -540 3 1 35 1221 CGX Central Asia Gold Ltd -1079 -1079 0 1 7 500 CSM Consolidated Minerals Ltd +803 -231 2 0 6 1186 CRS Croesus Mining NL +1667 -905 2 1 18 1235 DOM Dominion Mining Ltd +309 -133 1 0 7 1208 DRA Dragon Mining NL +7507 -1195 4 2 58 1059 EMP Emperor Mines Ltd +2305 -900 2 3 38 1178 EQI Equigold NL -558 -669 2 1 17 1070 EQN Equinox Minerals Ltd (Canada CHESS) +3439 -2377 2 1 11 974 GGN Gallery Gold Ltd +1331 -1153 3 1 26 762 GTM Giants Reef Mining Ltd +5022 -955 5 1 52 1253 GDM Goldstream Mining NL -620 -1364 3 4 85 1227 GRD GRD NL +351 -387 2 2 15 1150 GTP Great Southern Plantations Ltd +2637 -1138 8 6 96 1206 GNS Gunns Ltd +212 -34 1 0 14 1247 HIG Highlands Pacific Ltd (PNG) +4478 -702 3 2 52 1247 IGO Independence Group NL +12075 -1181 4 2 53 559 JBM Jubilee Mines NL +1630 -434 4 2 32 1255 KZL Kagara Zinc Ltd +3501 -503 5 1 59 991 KIM Kimberley Diamond Company NL +5170 -538 5 2 55 1256 KCN Kingsgate Consolidated Ltd +1090 -774 3 0 16 1184 LHG Lihir Gold Ltd (PNG) -1285 -1432 3 4 28 1262 LSG Lion Selection Group Ltd +1496 -509 3 2 39 1217 LYC Lynas Corporation Ltd +12170 -1211 8 1 108 1114 MCC Macarthur Coal Ltd +237 -457 2 2 13 696 MRE Minara Resources Ltd +5422 -793 3 1 15 1261 MCR Mincor Resources NL +9707 -1070 9 4 80 1112 MPM MPI Mines Ltd +5973 -1248 4 2 62 290 NUF NuFarm Ltd +970 -294 2 0 14 1224 OST Onesteel Ltd -1415 -794 0 2 18 875 OXR Oxiana Ltd +17545 -1413 10 7 142 1254 PNA Pan Australian Resources NL +12556 -2274 5 2 50 1072 PEM Perilya Ltd +2496 -1934 4 1 68 1150 PSV Perseverance Corporation Ltd +3655 -902 2 1 15 1039 PMM Portman Ltd +526 -871 4 3 80 1262 RSG Resolute Mining Ltd +5795 -478 5 2 42 1259 SMY Sally Malay Mining Ltd +2078 -1103 5 2 64 619 SED Sedimentary Holdings Ltd +2784 -929 2 0 21 1138 SGX Sino Gold Ltd +2230 -220 3 0 22 331 SRI Sipa Resources Ltd +4940 -1317 2 1 49 1176 SSX Smorgon Steel Group Ltd +561 -133 1 0 4 1261 SGW Sons of Gwalia Ltd -499 -802 2 4 44 1262 SRL Straits Resources Ltd -112 -1555 3 2 39 1102 SMC Strategic Minerals Corporation NL -458 -1500 0 1 13 898 SYM Symex Holdings Ltd -334 -460 2 3 30 881 TAW Tawana Resources NL +1008 -1566 1 3 29 635 TOR Ticor Ltd +1533 -168 1 2 6 1228 TIM Timbercorp Ltd +4795 -1894 10 7 138 1260 TIR Titan Resources NL +6084 -829 3 1 32 1224 WYL Wattyl Ltd -718 -1157 3 2 32 1261 WSA Western Areas NL -2082 -2271 2 3 39 717 WFL Willmott Forests Ltd +139 -475 1 1 19 454 201 Capital Goods: ================= AJL AJ Lucas Group Ltd +592 -1237 2 3 67 1153 ALS Alesco Corporation Ltd +889 -234 2 0 14 1225 ASB Austal Ltd -361 -616 0 1 10 1241 BOL Boom Logistics Ltd -235 -235 0 1 14 115 CDX CDS Technologies Ltd +1585 -46 1 0 23 1028 CLO Clough Ltd -25 -906 2 1 25 1257 CMI CMI Ltd -31 -231 0 1 8 1185 EOS Electro Optic Systems Holdings Ltd +1477 0 1 0 5 581 GWT GWA International Ltd -647 -707 0 1 12 1261 HWE Henry Walker Eltin Group Ltd +839 -316 3 0 24 1256 LCL Lighting Corporation Ltd +483 -34 1 0 6 660 MAH Macmahon Holdings Ltd +3503 -759 2 1 48 1259 MXI MaxiTRANS Industries Ltd +6053 -1244 8 1 124 1177 MST Metal Storm Ltd -1311 -1241 0 2 20 1197 NLX Nylex Ltd -351 -1864 4 2 58 1258 UGL United Group Ltd +2572 -340 4 0 40 1262 202 Commercial Services & Supplies: ================================== ABS ABC Learning Centres Ltd +1426 -837 3 1 26 761 CAB Cabcharge Australia Ltd -573 -573 0 1 2 1074 CDC Child Care Centres Australia Ltd +886 -973 1 1 24 369 COA Coates Hire Ltd +3067 -481 4 1 42 1262 CLH Collection House Ltd +2249 -512 2 2 47 893 CXP Corporate Express Australia Ltd +1970 -394 2 1 27 1256 CCP Credit Corp Group Ltd +414 -47 1 0 17 714 DOW Downer EDI Ltd +1283 -769 4 2 77 1056 IWF Integrated Group Ltd -504 -504 0 1 11 813 LCO Legalco Ltd +623 -930 1 0 22 682 MCP McPhersons Ltd +1555 -317 1 1 20 1246 MXL MXL Ltd +943 -1699 4 4 70 1197 NOL National 1 Ltd -1263 -1263 0 1 3 750 SLM Salmat Ltd -95 -746 1 3 32 344 SKE Skilled Engineering Ltd +844 -377 1 0 16 1261 TEM Tempo Services Ltd -1139 -917 0 2 6 1246 VTI Virotec International Ltd +7160 -985 3 2 36 1209 203 Transportation: ================== ADZ Adsteam Marine Ltd +252 -133 1 0 5 1256 HLY Hills Motorway Trust -1249 -1249 0 1 8 1262 KSC K&S Corporation Ltd +1715 -360 1 1 40 1060 MAP Macquarie Airports +2557 -573 4 1 49 423 MIG Macquarie Infrastructure Group -908 -908 0 1 8 1255 PRK Patrick Corporation Ltd +657 -413 2 0 12 1261 QAN Qantas Airways Ltd +954 -441 2 0 25 1259 TOL Toll Holdings Ltd -288 -288 0 1 8 1261 251 Automobile & Components: =========================== ION ION Ltd (Iron Carbide Australia Ltd) +607 -755 3 1 41 1217 OEC Orbital Engine Corporation Ltd -139 -1278 3 3 52 1261 252 Consumer Durables & Apparel: =============================== FUN Funtastic Ltd -432 -559 0 2 28 895 GAP Gale Pacific Ltd +645 -73 1 0 8 716 GLB Globe International Ltd +238 -1916 3 3 54 729 GUD GUD Holdings Ltd +322 -79 1 0 3 1262 KRS Kresta Holdings Ltd -97 -1553 6 1 44 934 253 Hotels, Restaurants & Leisure: ================================= AGI Ainsworth Game Technology Ltd -779 -917 0 1 21 587 ALL Aristocrat Leisure Ltd +183 -1072 4 3 54 1258 BCL Betcorp Ltd -265 -265 0 1 9 991 BRK BreakFree Ltd -609 -609 0 1 9 368 BIR Burswood Ltd -68 -206 0 2 9 1261 CAI Casinos Austria International Ltd +608 -645 1 1 31 1130 IAS International All Sports Ltd +3008 -580 1 1 14 1105 SGS Stargames Ltd -411 -411 0 1 36 1226 TAB TAB Ltd +336 -209 1 0 13 1262 254 Media: ========= AVV AAV Ltd +4655 -697 5 0 31 1074 AHD Amalgamated Holdings Ltd -178 -409 1 3 35 1254 APN APN News & Media Ltd +1042 -231 1 0 9 1261 AUN Austar United Communications Ltd +6041 -725 4 2 42 1200 PMP PMP Ltd +1432 -1013 5 4 55 1262 PRT Prime Television Ltd +345 -133 1 0 11 1226 SGN STW Communications Group Ltd -880 -1267 0 1 16 1193 TEN Ten Network Holdings Ltd +191 -133 1 0 7 1262 VRL Village Roadshow Ltd +1044 -1071 3 2 54 1256 255 Retailing: ============= ARP ARB Corporation Ltd -162 -162 0 1 7 1038 BRZ Brazin Ltd -549 -1148 3 3 55 1262 CDO Colorado Group Ltd +432 -269 2 1 17 1097 HVN Harvey Norman Holdings Ltd +483 -164 1 1 16 1262 HLD HomeLeisure Ltd +856 -133 1 0 10 708 HWI Housewares International Ltd +935 -200 2 0 12 1214 MRL Miller's Retail Ltd +1753 -630 2 1 39 1261 REB Rebel Sport Ltd +507 -164 1 0 26 1241 301 Food & Staples Retailing: ============================ MTT Metcash Trading Ltd -93 -867 2 2 39 1256 302 Food, Beverage & Tobacco: ============================ AAC Australian Agricultural Company Ltd +311 -579 2 2 48 679 BPC Burns Philp & Company Ltd +815 -1576 3 1 21 1261 CHQ Chiquita Brands South Pacific Ltd -589 -748 1 1 32 1128 ETW Evans & Tate Ltd -863 -1262 2 2 32 1056 FCL Futuris Corporation Ltd -504 -524 1 1 10 1262 GFD Green's Foods Ltd +223 -69 1 0 7 1169 PSG Palm Springs Ltd -407 -407 0 1 8 960 PLW Peter Lehmann Wines Ltd -406 -265 0 2 17 1084 RIC Ridley Corporation Ltd +237 -231 2 0 8 1262 SPC SPC Ardmona Ltd +1301 -647 2 1 20 1222 351 Health Care Equipment & Services: ==================================== AXN Axon Instruments Inc (USA CUFS) +3529 -1017 2 2 43 1031 DVC DCA Group Ltd +567 -276 1 1 19 1012 GGL Gribbles Group Ltd (The) +3078 -1115 5 4 59 1256 HCN Health Communication Network Ltd -1370 -978 1 4 52 1061 HSP Healthscope Ltd +826 -473 1 1 19 1202 MIA MIA Group Ltd +179 -527 1 0 16 955 NAL Norwood Abbey Ltd +10195 -1351 9 2 70 935 OMI Occupational & Medical Innovatns Ltd +9235 -834 3 1 39 776 PLT Polartechnics Ltd -1869 -1069 0 2 14 1239 PRY Primary Healthcare Ltd +336 -133 1 0 17 1194 PLF Primelife Corporation Ltd +319 -928 2 2 30 1254 SIG Sigma Company Ltd +1416 -818 4 0 28 1124 UNI Unitract Ltd -392 -2338 1 1 29 367 VCR Ventracor Ltd +11709 -1109 7 5 85 1257 352 Pharmaceuticals & Biotechnology: =================================== AGX Agenix Ltd +2738 -2041 4 4 76 1255 ABI Ambri Ltd +898 -705 2 1 27 920 AML AMRAD Corporation Ltd +1658 -384 3 1 39 1248 API Australian Pharmaceutical Ind Ltd +963 -155 2 0 23 1253 BLT Benitec Ltd +1294 -1336 3 2 35 739 BTA Biota Holdings Ltd +223 -1568 2 2 37 1262 CST Cellestis Ltd +1965 -1515 3 3 44 754 CMQ Chemeq Ltd +120 -1640 2 4 63 1110 CIR Circadian Technologies Ltd +8410 -551 8 3 109 1255 EPT EpiTan Ltd +5970 -1526 4 1 38 743 GTG Genetic Technologies Ltd +1737 -3013 3 2 49 1140 IDT Institute of Drug Technology Aust +2673 -837 3 2 52 1248 MBP Metabolic Pharmaceuticals Ltd +11153 -1307 8 5 113 1247 NRT Novogen Ltd +13630 -908 9 3 90 1261 PEP Peplin Biotech Ltd +1283 -133 1 0 4 875 PTD Peptech Ltd +8640 -1424 9 5 95 1251 PBT Prana Biotechnology Ltd +1127 -1785 2 3 59 990 PSD pSivida Ltd +650 -1179 2 1 33 874 SRX Sirtex Medical Ltd +5645 -309 2 0 26 858 SPL Starpharma Holdings Ltd +701 -1366 1 1 25 860 402 Diversified Financials: ========================== CGF Challenger Financial Services Group +1449 -467 2 1 20 1258 CIY City Pacific Ltd +2886 -101 1 0 6 495 COU Count Financial Ltd +175 -397 1 1 13 741 ETR ETRADE Australia Ltd -7 -394 1 3 38 1219 IWI International Wine Investment Fund -258 -258 0 1 10 1202 IGP Investor Group Ltd +896 -1148 2 2 55 1153 403 Insurance: ============= OMP OAMPS Ltd -542 -428 1 4 46 1155 PMN Promina Group Ltd +227 -364 1 0 14 238 RAC Reinsurance Australia Corporation -100 -303 1 1 24 1229 404 Real Estate: =============== AVJ AV Jennings Homes Ltd -1303 -817 0 2 9 1043 CWP Cedar Woods Properties Ltd +356 -175 1 0 26 802 CEQ Central Equity Ltd -1304 -1138 0 2 14 1240 DVN Devine Ltd +6419 -808 7 2 100 1231 FKP FKP Ltd +859 -150 2 1 22 1257 GHG Grand Hotel Group -103 -297 0 1 10 1259 MGM Macquarie Goodman Management Ltd +3319 -1140 4 1 74 1222 PBD Port Bouvard Ltd +314 -49 1 0 2 950 SDG Sunland Group Ltd +3044 -467 3 1 37 880 VWD Villa World Ltd -13 -534 1 1 30 1249 451 Software & Services: ======================= ADA Adacel Technologies Ltd +4495 -1477 3 3 59 1229 ALU Altium Ltd -740 -756 0 1 17 1181 BCA Baycorp Advantage Ltd +2796 -1055 2 1 80 1262 CTL Citect Corporation Ltd +3078 -284 2 0 17 1251 CPU Computershare Ltd +461 -405 1 3 22 1262 HPX HPAL Ltd +638 -133 1 0 14 842 IIN iiNet Ltd +4422 -1079 4 1 55 1046 IFM Infomedia Ltd +212 -893 1 0 11 927 IWL IWL Ltd +872 -482 2 1 15 1117 KAZ KAZ Group Ltd +1669 -1983 4 2 27 1030 LOK LookSmart Ltd (USA CUFS) +11102 -3013 6 3 105 1047 MUL Multiemedia Ltd -787 -3648 6 5 119 1234 MYO MYOB Ltd +7320 -403 7 2 73 1205 OKN Oakton Ltd -492 -592 0 2 23 882 RKN Reckon Ltd +567 -1487 5 1 75 1189 SMX SMS Management & Technology Ltd +8357 -647 5 0 31 1261 SOH Solution 6 Holdings Ltd -2533 -1305 1 4 44 1260 TWO Talent2 International Ltd +3120 -716 2 1 37 955 TNE Technology One Ltd +62 -656 2 2 48 1099 UXC UXC Ltd +2564 -638 2 0 59 1245 VGL Volante Group Ltd +1197 -217 2 0 20 1087 452 Technology Hardware & Equipment: =================================== AAT Autron Corporation Ltd +450 -1209 3 3 36 1212 CDR Commander Communications Ltd +965 -279 1 0 8 840 ERG ERG Ltd -392 -1754 2 2 25 1262 IHG Intellect Holdings Ltd +5948 -1093 5 1 85 1155 KYC Keycorp Ltd +7019 -848 2 3 40 1259 RDF Redflex Holdings Ltd +1713 -1181 4 4 59 1239 VSL Vision Systems Ltd +64 -1220 2 1 17 1243 453 Semiconductors & Semiconductor Equipment: ============================================ SLX Silex Systems Ltd +923 -6262 4 4 80 1260 501 Telecommunication Services: ============================== CAG Cape Range Wireless Ltd +3010 -2175 4 0 57 1227 HTA Hutchison Telecommunications (Aust) +8482 -2080 6 2 51 1179 PWT PowerTel Ltd -991 -720 0 3 39 1262 QPX QPSX Ltd -168 -983 0 1 13 763 SOT SP Telecommunications Ltd -230 -437 1 2 30 597 UEC Uecomm Ltd +3889 -1551 4 3 57 905 551 Utilities: ============= ENE Energy Developments Ltd +1007 -878 2 0 22 1262 PHY Pacific Hydro Ltd +983 -268 1 0 13 1253 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 Identical to profit factor expectation: (PW*AW)/(PL*AL) where: PW = probability of a winning trade AW = average size of winning trade PL = probability of a loss AL = average size of a loss 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