General Overview Bar Size: 60-Minute Bars Data Set Type: Futures Analysis Range: 10/30/08 - 04/30/09 Gain/Loss: 340.53% Buy/Hold: -90.05% Leverage: 25:1 Trading Overview Trades: 48 Winners: 30 Losers: 18 Win %: 62.50% Average Win: 2.56% Average Loss: 1.64% Average Trade Length: 28 Risk Overview Profit Factor: 1.55 Annualized Sharpe Ratio: 2.27 Annualized Calmar Ratio: 29.68 Technical Indicators Momentum (C, 26) Momentum (C, 15) Momentum (C, 79) Momentum (C, 90) Training Settings Training Range: 10/05/07 - 07/25/08 Cross Val. Range: 08/30/07 - 10/05/07 Test Range: 07/25/08 - 08/29/08 Production Range: 07/25/08 - 04/30/09 Prediction Model Neural Model: Regression Network (Levenburg-Marquardt) Hidden Layers: 1 Samples to Weights: n/a Last updated on 05/05/09

$100,000 Investment on 10/30/08 E-Mini S&P 500, Jun 2009 Buy/Hold Figure 1: Model equity over buy/hold strategy. Figure 2: Trading signals created in TradingSolutions.

System Description

This committee was created using the Real-Time level of TradingSolutions. Figure 1 shows the account equity of E-Mini S&P 500, Jun 2009 over the buy/hold. Figure 2 shows the actual trading signals over the past 6-months. A summary of the general approach used to develop this model is available. In addition to the performance chart and table, some of the model specifics are summarized below. Once you have downloaded and installed an evaluation copy of TradingSolutions, you may download the complete solution for this model and import it into your portfolio for a more detailed analysis. The more data you can use to train a neural network the better your results are likely to be, provided that the data is applicable to the current time frame. For most stocks this optimal time frame for training data is the preceding 3-5 years. This model used 3 years for training, 1 year for cross validation, and 1 year for testing. If you would like to download this solution into TradingSolutions, please click the download button below and follow the instructions on the following page.