図８　1998年末までのデータでシミュレーションした結果

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

	Performance Summary:  All Trades		 

Total net profit	$ 982700.00	Open position P/L	$  24000.00
Gross profit    	$2971000.00	Gross loss      	$-1988300.00

Total # of trades	     115	Percent profitable	      40%
Number winning trades	      46	Number losing trades	      69

Largest winning trade	$ 203300.00	Largest losing trade	$ -73500.00
Average winning trade	$  64586.96	Average losing trade	$ -28815.94
Ratio avg win/avg loss	       2.24	Avg trade(win & loss)	$   8545.22

Max consec. winners	       9	Max consec. losers	       6
Avg # bars in winners	      17	Avg # bars in losers	       5

Max intraday drawdown	$-271300.00		 
Profit factor   	       1.49	Max # contracts held	       1
Account size required	$ 271300.00	Return on account	     362%


	Performance Summary:  Long 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%


	Performance Summary:  Short Trades		 

Total net profit	$ 982700.00	Open position P/L	$  24000.00
Gross profit    	$2971000.00	Gross loss      	$-1988300.00

Total # of trades	     115	Percent profitable	      40%
Number winning trades	      46	Number losing trades	      69

Largest winning trade	$ 203300.00	Largest losing trade	$ -73500.00
Average winning trade	$  64586.96	Average losing trade	$ -28815.94
Ratio avg win/avg loss	       2.24	Avg trade(win & loss)	$   8545.22

Max consec. winners	       9	Max consec. losers	       6
Avg # bars in winners	      17	Avg # bars in losers	       5

Max intraday drawdown	$-271300.00		 
Profit factor   	       1.49	Max # contracts held	       1
Account size required	$ 271300.00	Return on account	     362%