Figure 3: 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.