An interactive display produced by running the system of Figure 1
for the March 1997 S&P futures contract. The upper pane is the
data series used by the trading system (15-minute intraday bars),
squeezed unmercifully to fit this three-month chart. We have set the
bars to be color coded according to the system's trading position at
that time: green means long, red short, yellow flat. The lower pane
is the running total of realized profit, updated at the close of each
trade. We can see that this system depends on occasional big wins to
make up for a lot of small losing trades; but it has no big losers.
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Copyright 1997, Structured Software Systems, Inc.