図５　1999年以降のデータを追加したシミュレーションの結果 !Channel Breakout 5120000D.TX-Daily 01/04/1990 - 09/21/2000 Performance Summary: All Trades Total net profit $ 324800.00 Open position P/L $ -3200.00 Gross profit $2740200.00 Gross loss $-2415400.00 Total # of trades 112 Percent profitable 45% Number winning trades 50 Number losing trades 62 Largest winning trade $ 212100.00 Largest losing trade $ -79100.00 Average winning trade $ 54804.00 Average losing trade $ -38958.06 Ratio avg win/avg loss 1.41 Avg trade(win & loss) $ 2900.00 Max consec. winners 3 Max consec. losers 5 Avg # bars in winners 35 Avg # bars in losers 10 Max intraday drawdown $-279400.00 Profit factor 1.13 Max # contracts held 1 Account size required $ 279400.00 Return on account 116% Performance Summary: Long Trades Total net profit $ 106500.00 Open position P/L $ -3200.00 Gross profit $1794600.00 Gross loss $-1688100.00 Total # of trades 65 Percent profitable 40% Number winning trades 26 Number losing trades 39 Largest winning trade $ 212100.00 Largest losing trade $ -79100.00 Average winning trade $ 69023.08 Average losing trade $ -43284.62 Ratio avg win/avg loss 1.59 Avg trade(win & loss) $ 1638.46 Max consec. winners 4 Max consec. losers 4 Avg # bars in winners 51 Avg # bars in losers 13 Max intraday drawdown $-295600.00 Profit factor 1.06 Max # contracts held 1 Account size required $ 295600.00 Return on account 36% Performance Summary: Short Trades Total net profit $ 218300.00 Open position P/L $ 0.00 Gross profit $ 945600.00 Gross loss $-727300.00 Total # of trades 47 Percent profitable 51% Number winning trades 24 Number losing trades 23 Largest winning trade $ 198500.00 Largest losing trade $ -64700.00 Average winning trade $ 39400.00 Average losing trade $ -31621.74 Ratio avg win/avg loss 1.25 Avg trade(win & loss) $ 4644.68 Max consec. winners 3 Max consec. losers 2 Avg # bars in winners 17 Avg # bars in losers 6 Max intraday drawdown $-171600.00 Profit factor 1.30 Max # contracts held 1 Account size required $ 171600.00 Return on account 127%