ASCENDX Daily Bar System Performance

The following equity curve shows the results of trading a one-lot, full-size S&P contract at each ASCENDX daily-bar system signal.

As the graph shows, the system has been profitable over the lifetime of the S&P contract. But over the past few years, profitability has been particularly noteworthy as the S&P has reached higher and higher index levels. The following is a year-by-year snapshot of profitability and maximum drawdown:

A useful system performance metric is the ratio of average profit per year to average max drawdown. Over the life of the S&P, the system performance ratio is 1.82 (32288/17744). Over the past 10 years (1991 through Aug 2000) the system has averaged $46,211 per year with an average max drawdown per year of $21,451, for a performance metric of 2.15. And in the past five years, the average profit has been $71,269 and the average max drawdown $30,977 for a performance metric of 2.30. Clearly relative performance has improved over time.

An important feature of this system is the ability to trade an E-Mini S&P contract. Many traders' account size will not allow the trading of a full-size S&P contract with this system because of the drawdown potential. But the system makes enough profit-per-trade to make the trading of an E-Mini S&P a viable option. The following is a break-out of performance on the E-Mini contract since it was released in September 1997.

Since the introduction of the E-Mini, the system has netted $52,318, $38,830 from long trades and $13,488 from short trades. Clearly, these trading characteristics are suitable for a smaller account.