An Overview of TREE: Figure 5


FracBOSys for SPH7
TREE simulation run covered interval 12/13/96 00:00 to 03/14/97 00:00
TREE run completed 08/08/97 15:40:39    Days in mkt: 62   Commission: 20.00

                Performance Summary for SPH7, All Trades:

Total net profit            20720.00    Open position P/L               none
Gross profit                62480.00    Gross loss                 -41760.00
Profit factor (GP / GL)         1.50    Max intraday drawdown      -14900.00
Annual ROR on 10% risk            53%   Max end-of-day drawdown    -15655.00

Total trades: 79     Winning trades: 26 (33%)     Losing trades: 53

Largest winning trade        8530.00    Largest losing trade         -970.00
Average winning trade        2403.08    Average losing trade         -787.92
Avg win / avg loss ratio        3.05    Average of all trades         262.28

Max consecutive winners            4    Max consecutive losers             8
Max adv. excursion (win)     -570.00    Max fav. excursion (loss)    3730.00

Slippage:  worst -11.65     best 0.00     average -0.67

Figure 5: End-of-run statistics for the test run depicted in the previous figures.

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