Pegasus Small Size Sample Portfolio

Account Size of $20,000 to $30,000

Portfolio of 5 markets: Swiss Franc, Crude Oil, 10 Year Treasury Notes, Cotton, Corn

• Tested Jan 1’st 1980 – Jan 1’st 2005. (25 years)
• $100 deducted per trade for commission & slippage
• No Starting Capital Applied. Only Net Profits Shown
• Initial Risk Limit of $3000 per trade
• Based on single contracts per trade

Profit Analysis Summary:

Trade Analysis Summary

Annual Performance Breakdown

Drawdown Analysis

How to read this chart:

We first considered each trade as a possible starting point. Since there were 698 trades that means that there were 698 different possible starting points where a trader would have started trading the system. We then calculated the worst Start Trade Drawdown (STDD) for each of these possible 698 starting points. These resulting drawdown figures were then sorted from smallest to largest and the above chart was constructed.

Example: I want to know what percent of STDDs fell below $6,000?

Start on the Y axis and find $6,000. Then go across until it intercepts the curve on the chart. The corresponding value on the X axis is about 86% or so. This means that 86% of STDDs fell below $6,000 and thus 14% were above it. Hence you would have had an 86% chance that your STDD would have been below $6,000 and thus a 14% chance that it would have been above it.

Example: I want to know what value did 90% of STDDs fall under?

This time start with the 90% value on the X axis and go to 90%. Move up to where it intersects with the curve and then check the corresponding value on the Y axis. In this example the above chart tells us that 90% of STDDs for this particular portfolio fell below about $7000. (The actual figure was $6965).

This is how you would read this chart. Notice that about 4% of STDDs were zero; this means that in about 4% of cases you would have suffered no STDD at all. You would have been profitable right from the start and never have been under at all. Obviously this is a rare scenario, only 4% of the time.

The median score (50%) came in at $2295. This means that half the STDDs out of a total of 698 runs (one for each starting point) fell below this value and half were above it. This chart is obviously very useful than merely spitting out drawdown figures. It not only tells you what the STDDs were but more importantly also gives you the probabilities as well.

The highest of all STDDs came in at $13,620. This means that out of 698 different starting points over a 25 year period, the worst case scenario was a maximum STDD of that value. The maximum total daily drawdown over the 25 year period was $18,393.

See the “About Start Trade Drawdown” on this website for a detailed explanation about this type of drawdown.

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