The system picked up a big swing to the upside in the Nikkei 225 Index futures; as per the chart below, last Long entry (1/16/15) at 17,050 produced big profit of 1,495 pts/contract = 7,475$/contract (17,050 – 18545). This last win is 3x Avg Win over 6 years. The exit and reverse to the short side on 3/10/15 (18545) came and went. I was stopped out this morning for a -455 pt/contract loss = -2,275/contract. Which is why you need a system that generate large Win:Loss over long time frame samples so that if the system experiences short-intermediate term draw down, you are buffered by the ‘tail’ event wins.
Here’s the stat breakdown for Nikkei 225 Stock Index Futures: 1 Contract traded (ex slippage/commission)
Duration: 5 years, 11 months (3/23/09) Start
Signals: 156
Win %: 40.4
Avg $ Win: Avg $ Loss = 2.39x (2489$/-1045$) = +497.5 pts/win, -209 pts/loss
Largest Win$: 13,650
Largest Loss: -3450$
Net Profit: 61,225
Total Return on Initial Capital (10,000$): 612.2%
Futures Trading 