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Table 5-l shows the portfolio performance of the close-only channel breakout system broken down by sample and market (SYM). (For information about the various markets and their symbols, see Table II-1 in the Introduction to Part II.) NETL = the total net profit on long trades, in thousands of dollars; NETS = the total net profit on short trades, in thousands of dollars; ROA% = annualized return-on-account; PROP = associated probability or statistical significance; AVTR = average protlt/loss per trade. Trend-following methods, such as breakouts, supposedly work well on the currencies. This test confirms that supposition: Positive returns were observed both in-sample and out-of-sample for several currencies. Many positive returns were also evidenced in both samples for members of the Oil complex, Coffee, and Lumber. The profitable performance of the stock indices (S&P 500 and NYFE) is probably due to the raging bull of the 1990s. About 10 trades were taken in each market every year, The percentage of wins was similar to that seen in Test I (about 40%). Test 3: Close-Only Channel Breakout with Entry on Limit on Next Bar, Transaction Costs Assumed. To improve model performance by controlling slippage and obtaining entries at more favorable prices, a limit order was used to enter the market the next day at a specified price or better. Believing that the market would retrace at least 50% of the breakout bar (cb) before moving on, the limit price (limprice) was set to the midpoint of that bar. Since most of the code remains unchanged, only significantly altered blocks are presented:

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Keep in mind once again that we are doing nothing more complicated than building a T1 frame with an attitude. Recall that the T1 frame was made up of 24, eight-bit channels (samples from each of 24 incoming data streams) plus a single bit of overhead. In SONET, we have a similar construct a lot more channel capacity, and a lot more overhead, but the same functional concept. The fundamental SONET frame is shown in Figure 3-54, and is known as a Synchronous Transport Signal, Level One, or STS-1. It is nine bytes tall and 90 bytes wide, for a total of 810 bytes of transported data including both user payload and overhead. The first three columns of the frame are the Section and Line Overhead, known collectively as the Transport Overhead. The bulk of the frame itself, to the left, is the synchronous payload envelope or SPE, which is the container area for the user data that is being transported. The data, previously identified as the

Trade entry took place inside the bar on a limit. If inside-the-bar profit target and stop-loss orders were used, problems would have arisen. Posting multiple intrabar orders can lead to invalid simulations: The sequence in which such orders are tilled cannot be specified with end-of-day data, but they can still strongly affect the outcome. This is why the standard exit employs orders restricted to the close.

Transport Overhead (SOH + LOH)

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