The below test demonstrates several of the important rules required to develop a profitable day-trading system. The test covers a trading system for T-bond futures from 1983 through February 1997 (long test period). There are eight variables, A through H (limited number of rules), which is reasonable given the long test period and the more than 3,500 trades. Variable A is incremented from 100 to 200, with the other variables held constant. System performance, measured by net profit and loss and maximum drawdown, demonstrates robust variables, as large changes in Variable A still produce very good results. Incrementing the other variables also should produce similar results.

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