図４　1998年末までのデータでシミュレーションした結果 !Channel Breakout 5120000D.TX-Daily 01/04/1990 - 12/28/1998 Performance Summary: All Trades Total net profit $ 412400.00 Open position P/L $ 0.00 Gross profit $2461000.00 Gross loss $-2048600.00 Total # of trades 92 Percent profitable 46% Number winning trades 42 Number losing trades 50 Largest winning trade $ 212100.00 Largest losing trade $ -79100.00 Average winning trade $ 58595.24 Average losing trade $ -40972.00 Ratio avg win/avg loss 1.43 Avg trade(win & loss) $ 4482.61 Max consec. winners 3 Max consec. losers 4 Avg # bars in winners 34 Avg # bars in losers 11 Max intraday drawdown $-279400.00 Profit factor 1.20 Max # contracts held 1 Account size required $ 279400.00 Return on account 148% Performance Summary: Long Trades Total net profit $ 145400.00 Open position P/L $ 0.00 Gross profit $1586200.00 Gross loss $-1440800.00 Total # of trades 54 Percent profitable 41% Number winning trades 22 Number losing trades 32 Largest winning trade $ 212100.00 Largest losing trade $ -79100.00 Average winning trade $ 72100.00 Average losing trade $ -45025.00 Ratio avg win/avg loss 1.60 Avg trade(win & loss) $ 2692.59 Max consec. winners 4 Max consec. losers 4 Avg # bars in winners 49 Avg # bars in losers 14 Max intraday drawdown $-295600.00 Profit factor 1.10 Max # contracts held 1 Account size required $ 295600.00 Return on account 49% Performance Summary: Short Trades Total net profit $ 267000.00 Open position P/L $ 0.00 Gross profit $ 874800.00 Gross loss $-607800.00 Total # of trades 38 Percent profitable 53% Number winning trades 20 Number losing trades 18 Largest winning trade $ 198500.00 Largest losing trade $ -64700.00 Average winning trade $ 43740.00 Average losing trade $ -33766.67 Ratio avg win/avg loss 1.30 Avg trade(win & loss) $ 7026.32 Max consec. winners 3 Max consec. losers 2 Avg # bars in winners 18 Avg # bars in losers 6 Max intraday drawdown $-158600.00 Profit factor 1.44 Max # contracts held 1 Account size required $ 158600.00 Return on account 168%