TRADING STRATEGY

Chirped #3 (data saved).cht
Trading Strategy #1
2009.03.14 6:50:04 AM


OPTIMIZATION

Full Optimization


LONG ENTRY

Generate a buy long  market order if all of the following are true
+ CrossBelow(Noxa CSSA-QPhase(Input series,m-histories,GroupStart,GroupDepth,Lead,Smoothing,TrainStart,TrainBars,Mode),Time Series #2)


SHORT ENTRY

Generate a sell short   market order if all of the following are true
+ CrossAbove(Noxa CSSA-QPhase(Input series,m-histories,GroupStart,GroupDepth,Lead,Smoothing,TrainStart,TrainBars,Mode),Time Series #2)


TRADING STRATEGY PARAMETERS

Trading Rule Optimization
        Full Optimization - Finds the best rules and the best parameters for each rule.

Size of trades used to evaluate trading strategy
        Buy a fixed number of shares/contracts (1 share/contract)

Other Trading Parameters
        (none)

Optimization of trading strategy
        Optimize across 150 months of data prior to paper trading

Optimal Evaluation of trading strategy
        Evaluate optimization across 1250 days of data prior to paper trading

Trading of trading strategy
        Begin 1250 days before last date on chart
        End at last chart date

Entry Commission(s)
        (none)

Exit Commission(s)
        (none)

Other costs
        (none)

Objective used during optmization
        Maximize Return on Account


TRADING STRATEGY RESULTS SUMMARY

Name	Symbol	Data Set	1yr Ret on Account	Ret on Trades	1yr Ret on Trades	Ret on Account	Net Profit	Gross Profit	Gross Loss	Ratio Gross Profit/Loss	%Profitable Trades	#Trades	#Winning Trades	#Losing Trades	Largest Win	Largest Loss	Avg Trade Profit	Avg Win	Avg Loss	Ratio Avg Win/Avg Loss	Max Consecutive Winners	Max Consecutive Losers	Avg Trade Span	Avg Winning Trade Span	Avg Losing Trade Span	Longest Trade Span	Longest Winning Trade Span	Longest Losing Trade Span	Largest Shares/Contracts Traded	Largest Winning Shares/Contracts Traded	Largest Losing Shares/Contracts Traded	Avg Shares/Contracts Traded	Avg Shares/Contracts Traded	Avg Losing Shares/Contracts Traded	Commissions Paid	Max Drawdown	Max Open Trade Drawdown	Required Account Size	Start Date	End Date	Start Price	End Price	Price Change	% Price Change	% Annual Price Change
Chirped.csv (data saved)	Chirped (data saved)	Optimization	-0.1%	-3.2%	-0.3%	-0.7%	$ -0.03742	$ 1.26965	$ 1.30708	0.97	66.7%	9	6	3	$ 0.32208	$ 0.75417	$ 0.00	$ 0.21	$ 0.44	0.49	6	3	267 bars	214 bars	372 bars	372 bars	263 bars	464 bars	1	1	1	1	1	1	$ 0.00	$ 1.72743	$ 1.0476	$ 5.33738	1999.01.20	2008.05.12	4.85786	3.8561	-1.00176	-20.6%	-2.2%
Chirped.csv (data saved)	Chirped (data saved)	Paper Trading	22.1%	72.7%	21.2%	75.8%	$ 2.89552	$ 2.89552	$ 0.00	0.00	100.0%	9	9	0	$ 0.36937	$ 0.00	$ 0.32	$ 0.32	$ 0.00	0.00	9	0	139 bars	139 bars	0 bars	0 bars	172 bars	0 bars	1	1	0	1	1	0	$ 0.00	$ 0.06401	$ 0.06401	$ 3.82222	2008.05.13	2011.10.14	3.85246	3.93975	0.0873	2.3%	0.7%
Chirped.csv (data saved)	Chirped (data saved)	Trading	14.6%	51.7%	15.1%	50.0%	$ 2.07161	$ 2.07161	$ 0.00	0.00	100.0%	11	11	0	$ 0.27803	$ 0.00	$ 0.19	$ 0.19	$ 0.00	0.00	11	0	107 bars	107 bars	0 bars	0 bars	126 bars	0 bars	1	1	0	1	1	0	$ 0.00	$ 0.00	$ 0.00	$ 4.14341	2011.10.15	2015.03.17	3.94322	3.97468	0.03147	0.8%	0.2%
Chirped + KS#6009 x2.csv (data saved)	Chirped + KS#6009 x2 (data saved)	Optimization	-1.8%	-30.5%	-3.3%	-16.8%	$ -1.06337	$ 1.23335	$ 2.29671	0.54	33.3%	9	3	6	$ 0.80042	$ 0.96272	$ -0.12	$ 0.41	$ 0.38	1.07	2	3	267 bars	207 bars	298 bars	298 bars	255 bars	469 bars	1	1	1	1	1	1	$ 0.00	$ 3.29731	$ 1.51159	$ 6.33205	1999.01.20	2008.05.12	4.67811	3.66784	-1.01027	-21.6%	-2.3%
Chirped + KS#6009 x2.csv (data saved)	Chirped + KS#6009 x2 (data saved)	Paper Trading	11.2%	36.1%	10.5%	38.4%	$ 1.40196	$ 1.46126	$ 0.05931	24.64	88.9%	9	8	1	$ 0.54652	$ 0.05931	$ 0.16	$ 0.18	$ 0.06	3.08	8	1	140 bars	135 bars	177 bars	177 bars	164 bars	177 bars	1	1	1	1	1	1	$ 0.00	$ 1.17473	$ 1.11543	$ 3.64875	2008.05.13	2011.10.14	3.6199	4.08162	0.46172	12.8%	3.7%
Chirped + KS#6009 x2.csv (data saved)	Chirped + KS#6009 x2 (data saved)	Trading	11.0%	38.2%	11.2%	37.8%	$ 1.54606	$ 2.29305	$ 0.747	3.07	72.7%	11	8	3	$ 0.48007	$ 0.28464	$ 0.14	$ 0.29	$ 0.25	1.15	8	3	107 bars	117 bars	79 bars	79 bars	132 bars	104 bars	1	1	1	1	1	1	$ 0.00	$ 1.0347	$ 0.81547	$ 4.0897	2011.10.15	2015.03.17	3.75765	4.12548	0.36782	9.8%	2.9%
Chirped + KS#6009.csv (data saved)	Chirped + KS#6009 (data saved)	Optimization	1.0%	8.7%	0.9%	9.2%	$ 0.47194	$ 1.63112	$ 1.15918	1.41	66.7%	9	6	3	$ 0.5569	$ 0.8218	$ 0.05	$ 0.27	$ 0.39	0.70	6	3	267 bars	213 bars	375 bars	375 bars	260 bars	468 bars	1	1	1	1	1	1	$ 0.00	$ 1.89329	$ 1.24912	$ 5.14893	1999.01.20	2008.05.12	4.76798	3.76197	-1.00601	-21.1%	-2.3%
Chirped + KS#6009.csv (data saved)	Chirped + KS#6009 (data saved)	Paper Trading	20.6%	68.3%	20.0%	70.4%	$ 2.75591	$ 2.75591	$ 0.00	0.00	100.0%	9	9	0	$ 0.48824	$ 0.00	$ 0.31	$ 0.31	$ 0.00	0.00	9	0	139 bars	139 bars	0 bars	0 bars	175 bars	0 bars	1	1	0	1	1	0	$ 0.00	$ 0.35837	$ 0.35837	$ 3.91702	2008.05.13	2011.10.14	3.73618	4.01068	0.27451	7.3%	2.1%
Chirped + KS#6009.csv (data saved)	Chirped + KS#6009 (data saved)	Trading	13.4%	47.1%	13.8%	45.9%	$ 1.89474	$ 1.9941	$ 0.09936	20.07	90.9%	11	10	1	$ 0.38391	$ 0.09936	$ 0.17	$ 0.20	$ 0.10	2.01	10	1	107 bars	114 bars	33 bars	33 bars	127 bars	33 bars	1	1	1	1	1	1	$ 0.00	$ 0.44683	$ 0.44683	$ 4.13103	2011.10.15	2015.03.17	3.85043	4.05008	0.19964	5.2%	1.5%
(ALL INSTRUMENTS AVERAGE)	(AVG)	Optimization	-0.3%	-8.3%	-0.9%	-2.8%	$ -0.20962	$ 1.37804	$ 1.58766	0.97	55.6%	9	5	4	$ 0.80042	$ 0.96272	$ -0.02	$ 0.30	$ 0.40	0.75	6	3	267 bars	211 bars	348 bars	348 bars	263 bars	469 bars	1	1	1	1	1	1	$ 0.00	$ 3.29731	$ 1.51159	$ 5.60612	1999.01.20	2008.05.12	4.76798	3.76197	-1.00601	-21.1%	-2.3%
(ALL INSTRUMENTS AVERAGE)	(AVG)	Paper Trading	18.0%	59.0%	17.2%	61.5%	$ 2.35113	$ 2.3709	$ 0.01977	8.21	96.3%	9	9	0	$ 0.54652	$ 0.05931	$ 0.26	$ 0.27	$ 0.02	1.03	9	1	139 bars	138 bars	59 bars	59 bars	175 bars	177 bars	1	1	1	1	1	0	$ 0.00	$ 1.17473	$ 1.11543	$ 3.796	2008.05.13	2011.10.14	3.73618	4.01068	0.27451	7.5%	2.2%
(ALL INSTRUMENTS AVERAGE)	(AVG)	Trading	13.0%	45.7%	13.3%	44.6%	$ 1.83747	$ 2.11959	$ 0.28212	7.71	87.9%	11	10	1	$ 0.48007	$ 0.28464	$ 0.17	$ 0.22	$ 0.12	1.05	11	3	107 bars	113 bars	37 bars	37 bars	132 bars	104 bars	1	1	1	1	1	1	$ 0.00	$ 1.0347	$ 0.81547	$ 4.12138	2011.10.15	2015.03.17	3.85043	4.05008	0.19964	5.3%	1.5%