図１１　1998年末までのデータでシミュレーションした結果

!Vol Breakout Buy  5120000D.TX-Daily   01/04/1990 - 12/28/1998			 

	Performance Summary:  All Trades		 

Total net profit	$ 867100.00	Open position P/L	$ -92800.00
Gross profit    	$1104000.00	Gross loss      	$-236900.00

Total # of trades	      15	Percent profitable	      53%
Number winning trades	       8	Number losing trades	       7

Largest winning trade	$ 277700.00	Largest losing trade	$ -71900.00
Average winning trade	$ 138000.00	Average losing trade	$ -33842.86
Ratio avg win/avg loss	       4.08	Avg trade(win & loss)	$  57806.67

Max consec. winners	       3	Max consec. losers	       3
Avg # bars in winners	     129	Avg # bars in losers	      23

Max intraday drawdown	$-159100.00		 
Profit factor   	       4.66	Max # contracts held	       1
Account size required	$ 159100.00	Return on account	     545%


	Performance Summary:  Long Trades		 

Total net profit	$ 867100.00	Open position P/L	$ -92800.00
Gross profit    	$1104000.00	Gross loss      	$-236900.00

Total # of trades	      15	Percent profitable	      53%
Number winning trades	       8	Number losing trades	       7

Largest winning trade	$ 277700.00	Largest losing trade	$ -71900.00
Average winning trade	$ 138000.00	Average losing trade	$ -33842.86
Ratio avg win/avg loss	       4.08	Avg trade(win & loss)	$  57806.67

Max consec. winners	       3	Max consec. losers	       3
Avg # bars in winners	     129	Avg # bars in losers	      23

Max intraday drawdown	$-159100.00		 
Profit factor   	       4.66	Max # contracts held	       1
Account size required	$ 159100.00	Return on account	     545%


	Performance Summary:  Short Trades		 

Total net profit	$      0.00	Open position P/L	$      0.00
Gross profit    	$      0.00	Gross loss      	$      0.00

Total # of trades	       0	Percent profitable	       0%
Number winning trades	       0	Number losing trades	       0

Largest winning trade	$      0.00	Largest losing trade	$      0.00
Average winning trade	$      0.00	Average losing trade	$      0.00
Ratio avg win/avg loss	     100.00	Avg trade(win & loss)	$      0.00

Max consec. winners	       0	Max consec. losers	       0
Avg # bars in winners	       0	Avg # bars in losers	       0

Max intraday drawdown	$      0.00		 
Profit factor   	     100.00	Max # contracts held	       0
Account size required	$      0.00	Return on account	       0%