図1 1998年末までのデータでシミュレーションした結果 MovAvg Crossover NK225D.TXT-Daily 01/04/1990 - 12/30/1998 Performance Summary: All Trades Total net profit $19047656.00 Open position P/L $ 563470.00 Gross profit $55334160.00 Gross loss $-36286504.00 Total # of trades 122 Percent profitable 37% Number winning trades 45 Number losing trades 77 Largest winning trade $8899000.00 Largest losing trade $-2560000.00 Average winning trade $1229648.00 Average losing trade $-471253.30 Ratio avg win/avg loss 2.61 Avg trade(win & loss) $ 156128.33 Max consec. winners 4 Max consec. losers 7 Avg # bars in winners 30 Avg # bars in losers 10 Max intraday drawdown $-6625000.00 Profit factor 1.52 Max # contracts held 1 Account size required $6625000.00 Return on account 288% Performance Summary: Long Trades Total net profit $ 457650.00 Open position P/L $ 0.00 Gross profit $20009320.00 Gross loss $-19551670.00 Total # of trades 61 Percent profitable 33% Number winning trades 20 Number losing trades 41 Largest winning trade $2794840.00 Largest losing trade $-2560000.00 Average winning trade $1000466.00 Average losing trade $-476870.00 Ratio avg win/avg loss 2.10 Avg trade(win & loss) $ 7502.46 Max consec. winners 3 Max consec. losers 8 Avg # bars in winners 27 Avg # bars in losers 10 Max intraday drawdown $-5038000.00 Profit factor 1.02 Max # contracts held 1 Account size required $5038000.00 Return on account 9% Performance Summary: Short Trades Total net profit $18590010.00 Open position P/L $ 563470.00 Gross profit $35324840.00 Gross loss $-16734830.00 Total # of trades 61 Percent profitable 41% Number winning trades 25 Number losing trades 36 Largest winning trade $8899000.00 Largest losing trade $-1753000.00 Average winning trade $1412993.60 Average losing trade $-464856.39 Ratio avg win/avg loss 3.04 Avg trade(win & loss) $ 304754.26 Max consec. winners 5 Max consec. losers 5 Avg # bars in winners 32 Avg # bars in losers 10 Max intraday drawdown $-3194000.00 Profit factor 2.11 Max # contracts held 1 Account size required $3194000.00 Return on account 582%