We come to 100 day anniversary of manual arbitration model, not subject to automation. Computer science is not at that level yet, so you can tell me when to get in and out.
Trades 232
# Profitable 128 (55.2%)
Avg trade duration 4.1 hours
Annual return (compounded) 666.2%
Average win $2,336
Average loss $2,136
Profit factor 1.3:1
Max peak-to-valley drawdown (historical) 12.64%
drawdown period Oct 26, 2009 to Oct 27, 2009
Correlation w/ S&P -0.116
Sharpe ratio 5.056
C2Realism Factor 99%
Keep after worst-case slippage 82.5%
Probabilities of future account loss
Chance of 10% account loss 17.1%
Chance of 20% account loss 0.0%
Chance of 30% account loss 0.0%
commission is not taken into account- $ 17 010
minus- 8 days
