ASCENDX Hourly Bar System Performance

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

Like the daily-bar system, the hourly-bar system has been profitable over the lifetime of the S&P contract. And, profitability has been particularly noteworthy in the last few years. The following is a year-by-year snapshot of profitability and maximum drawdown:

Again the metric of the ratio of average profit per year to average max drawdown will be used to characterize performance. Over the life of the S&P, the system performance ratio is 1.97. Over the past 10 years (1991 through Aug. 2000) the system has averaged $37,395 per year with an average max drawdown per year of $14,737, for a performance metric of 2.54. And in the past five years, the average profit has been $58,418 and the max drawdown average $20,075 for a performance metric of 2.91. Like the daily-bar system, relative performance has improved over time.

This system also has a large enough profit-per-trade to trade an E-Mini S&P contract. The chart below shows system performance on the E-Mini contract since it was released in September 1997.

Since the E-Mini release in September 1997, the ASCENDX hourly-bar system has netted $38,478 in profits, with a maximum drawdown of $3,883. Clearly, these trading characteristics are suitable for a smaller account.