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Thanks alot for the simulations and charts tech!!

I think I've had a bit of an aha!! moment.

I have a couple of questions regarding the simulations....

For simulation 1 - that was a single portfolio with $100,000 starting capital. I am assuming that obviously the simulation did not trade every buy signal from TT otherwise it would have run out of $$. So did it randomly pick which trades TT signaled to enter, or did it trade every signal until it had no money, and then wait for capital to be released?

For simulation 2 (monte carlo) - I am assuming that all potfolios started at Jan 1997 and ended Jul 2005, the only difference being which stocks they actually picked to trade?

I believe that both simulations were using no margin on any trades?

OK, so some analysis on the results;

I assuming that the best data to analyse TT performance is the average profit realised from Monte Carlo sims. This being $314,285.62, which represents an increase in total assets from $100,000 to $414,285.

Over the trade period (approx 8.5 years) this represents an annual compound return of 18.20%  . Eyeballing a chart of the XAO, Jan 1997 was about 2350 and yesterday it closed at 4225... which equates to a compound return of 7.14%. Biiig difference.... and where does it come from. Random entry to stocks at the start of 1997 and holding, should return you about 7.14% compound over this period. Somehow during the trading period TT has been able to extract more value out of the rise in the All Ords..... and if TT entry signal is not much better than random entry, then its not here. So the outperformance of the system could be mostly attributed to working out when to exit a stock. In essence, TT has caused the portfolio to (in an uptrending overall market);

Hold stocks that will outperform relative to All Ords

Sell stocks that will underperform relative to All ords

All in two simple exit criteria....

Is my analysis wrong... or is that just weird. 

TJ