I was using the Advanced Charting Feature for my method Midas (Prudent) Hedge and added several system charts (RF greater than 80%): Hawk-fx, future-pro, BIG CAT, Aestreux Fund etc., and found that almost all made similar money for a $100K investment on February 19, 2006, except for future-pro, the results for which were distorted:
Upon investigation, I found the following statistics:
Cumu $ $319,023
after typical commission $245,723
and real-life slippage $972,913
Avg Win $4,135
Avg Loss $2,279
W:L Ratio 1.2:1
P/L per unit $25.49
after typical commission $22.99
after real-life slippage ($176.35)
1852 separate trades were analyzed and the average real-world slippage per side was ($199.34) (unfavorable) or 227.94% of each trades hypothetical best-case profit. Something doesn’t add up here. Seems to me that the Cumu $ is being multiplied by 2.2794 and then charted.
ps: for BIG CAT:
Cumu $ $300,523
after typical commission $213,138
and real-life slippage $3,070,746 ???
Avg Win $747
Avg Loss $760
W:L Ratio 1.4:1
P/L per unit $37.22
after typical commission $34.72
after real-life slippage ($1,027.93)
743 real-life trades with P/L per unit ($1062.65) after real-life slippage and 950.88% ?? of hypo-best-case. That means it lost money in real-life yet different results plotted.
for Aestreux:
Cumu $ $289,067
after typical commission n/a
and real-life slippage $1,404,285 ???
Avg Win $3,618
Avg Loss $6,168
W:L Ratio 1.3:1
P/L per unit n/a
after typical commission n/a
after real-life slippage $41.08
4591 trades with P/L per unit after real-life slippage, $41.08 and 385.8% ?? of hypo-best-case, but results plotted seems ok
for Hawk-fx: results plotted seems ok.
