図２　1999年以降のデータを追加したシミュレーションの結果

MovAvg Crossover  NK225D.TXT-Daily   01/04/1990 - 10/03/2000			 

	Performance Summary:  All Trades		 

Total net profit	$14240040.00	Open position P/L	$ 218810.00
Gross profit    	$60987352.00	Gross loss      	$-46747312.00

Total # of trades	     146	Percent profitable	      35%
Number winning trades	      51	Number losing trades	      95

Largest winning trade	$8899000.00	Largest losing trade	$-2560000.00
Average winning trade	$1195830.43	Average losing trade	$-492076.97
Ratio avg win/avg loss	       2.43	Avg trade(win & loss)	$  97534.52

Max consec. winners	       4	Max consec. losers	       7
Avg # bars in winners	      30	Avg # bars in losers	      10

Max intraday drawdown	$-8294420.00		 
Profit factor   	       1.30	Max # contracts held	       1
Account size required	$8294420.00	Return on account	     172%


	Performance Summary:  Long Trades		 

Total net profit	$-1083530.00	Open position P/L	$      0.00
Gross profit    	$23094570.00	Gross loss      	$-24178100.00

Total # of trades	      73	Percent profitable	      32%
Number winning trades	      23	Number losing trades	      50

Largest winning trade	$2794840.00	Largest losing trade	$-2560000.00
Average winning trade	$1004111.74	Average losing trade	$-483562.00
Ratio avg win/avg loss	       2.08	Avg trade(win & loss)	$ -14842.88

Max consec. winners	       3	Max consec. losers	       8
Avg # bars in winners	      29	Avg # bars in losers	      11

Max intraday drawdown	$-5167410.00		 
Profit factor   	       0.96	Max # contracts held	       1
Account size required	$5167410.00	Return on account	     -21%


	Performance Summary:  Short Trades		 

Total net profit	$15323570.00	Open position P/L	$ 218810.00
Gross profit    	$37892780.00	Gross loss      	$-22569210.00

Total # of trades	      73	Percent profitable	      38%
Number winning trades	      28	Number losing trades	      45

Largest winning trade	$8899000.00	Largest losing trade	$-1753000.00
Average winning trade	$1353313.57	Average losing trade	$-501538.00
Ratio avg win/avg loss	       2.70	Avg trade(win & loss)	$ 209911.92

Max consec. winners	       5	Max consec. losers	       8
Avg # bars in winners	      32	Avg # bars in losers	      10

Max intraday drawdown	$-6059200.00		 
Profit factor   	       1.68	Max # contracts held	       1
Account size required	$6059200.00	Return on account	     253%