TFL 5

Market: Whole ASX
System type: Trend Following
Direction: Long
Max number of trades: 5
Simulation trade size: $20,000
Maximum simulation market exposure: $100,000
Simulation commission: 0.1%

The average annual profit in the simulation results varies from a low of $24,000 to a maximum of $46,000 with the majority of the data clustered between $30,000 and $38,000. This indicates typical unleveraged returns of 30-38% in the simulation results.

The Maximum Historical Closed Trade Drawdown in the simulation results varies from -$8000 to -$34,000 with the majority of the data clustered between -$16,000 and -$22,000. This indicates typical unleveraged closed trade draw-down values of -16 to -22% in the simulation results.

The Maximum Historical Open Trade Drawdown in the simulation results varies from -$25,000 to -$59,000 with the majority of the data clustered between -$37,000 and -$47,000. This indicates typical unleveraged open trade draw-down values of -37 to -47% in the simulation results. It should be noted that although these drawdown figures may be large, the majority of the drawdown is a result of end of trade drawdown due to the large size of the trailing stop loss.

The Average Annual Profit to Maximum Closed Trade Drawdown Ratio in the simulation results varies from 1.0 to 3.25 with the majority of the data clustered between 1.25 and 2.25.

The Average Annual Profit to Maximum Open Trade Drawdown Ratio in the simulation results varies from 0.6 to 1.1 with the majority of the data clustered between 0.7 and 0.9.

The Average Profit per Trade in the simulation results varies from $1,400 to $2,800 with the majority of the data clustered between $1,600 and $2,200 assuming a trade size of $20,000.

The above figure shows the Closed Trade Equity Distribution Curve for the simulation period.

The above figure shows the Open Trade Equity Distribution Curve for the simulation period.