図９　1999年以降のデータを追加したシミュレーションの結果

!Vol Breakout Sell  5120000D.TX-Daily   01/04/1990 - 09/28/2000			 

	Performance Summary:  All Trades		 

Total net profit	$ 690600.00	Open position P/L	$      0.00
Gross profit    	$3184000.00	Gross loss      	$-2493400.00

Total # of trades	     146	Percent profitable	      38%
Number winning trades	      56	Number losing trades	      90

Largest winning trade	$ 203300.00	Largest losing trade	$ -73500.00
Average winning trade	$  56857.14	Average losing trade	$ -27704.44
Ratio avg win/avg loss	       2.05	Avg trade(win & loss)	$   4730.14

Max consec. winners	       9	Max consec. losers	       8
Avg # bars in winners	      16	Avg # bars in losers	       5

Max intraday drawdown	$-440300.00		 
Profit factor   	       1.28	Max # contracts held	       1
Account size required	$ 440300.00	Return on account	     157%


	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	$ 690600.00	Open position P/L	$      0.00
Gross profit    	$3184000.00	Gross loss      	$-2493400.00

Total # of trades	     146	Percent profitable	      38%
Number winning trades	      56	Number losing trades	      90

Largest winning trade	$ 203300.00	Largest losing trade	$ -73500.00
Average winning trade	$  56857.14	Average losing trade	$ -27704.44
Ratio avg win/avg loss	       2.05	Avg trade(win & loss)	$   4730.14

Max consec. winners	       9	Max consec. losers	       8
Avg # bars in winners	      16	Avg # bars in losers	       5

Max intraday drawdown	$-440300.00		 
Profit factor   	       1.28	Max # contracts held	       1
Account size required	$ 440300.00	Return on account	     157%