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    Forums ›› Tools of the Trade ›› Data Sets and Feeds ›› My Automated Trading Strategy (3Years+ of Historical Data) Please Critique!  


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julian0625
 

Registered: Mar 2011
Posts: 304

 

03-27-11 09:55 PM

Hello Everyone,

My name is Julian Marchese, I am 14 years old, and I have an extreme interest in the financial markets. If you want to read more about my story, check out my discretionary thread here: http://www.elitetrader.com/vb/showt...hreadid=216513.

Anyways, over the past few months I have been developing a few proprietary automated trading systems. Before I put my money on the line, I wanted to share the results of 3 years of backtesting on both the Euro future, and the S&P Emini futures. This is the first strategy I have created, in which I am willing to start putting money on the line. So any of the experienced automated traders, please critique the results so I can further enhance it!

Here is the results on the EURO FUTURES which the strategy trades 24 hours.

Stats:


Cumulative Profit:


Monthly Profit:


Now this is all trading one contract of the euro. This is derived from 24 hour data starting from 16/02/2007.

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julian0625
 

Registered: Mar 2011
Posts: 304

 

03-27-11 10:04 PM

Here is the S&P 500 emini Strategy results which ONLY TRADE RTH (9:30-4:15).

Stats:


Cumulative Profit:


Monthly Profit:


This again is only trading 1 CONTRACT.

Please critique everyone it is really appreciated!!!

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julian0625
 

Registered: Mar 2011
Posts: 304

 

03-27-11 10:07 PM

So basically on an account of what I recommend of about 10k, these two strategies would have made $250k in 4 years or so.

Thats a wopping 2500% on my account... should I be expecting these types of gains?

Thats what worries me the most. I have built something that appears to make astronomical amounts on the capital invested. Is this expected??

Thanks for your help!

Julian

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Phil_marlowe
 

Registered: Aug 2005
Posts: 1

 

03-27-11 10:11 PM

What commission and slippage do you take into account in your simulations ?
What is the average trade duration ?

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nonlinear5
 

Registered: May 2006
Posts: 1059

 

03-27-11 10:15 PM

Why are there zeros in the "commission" row?

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julian0625
 

Registered: Mar 2011
Posts: 304

 

03-27-11 10:21 PM


Quote from nonlinear5:

Why are there zeros in the "commission" row?



Because it depends on your broker. My commission on the s&p emini is about $4.50 a RT so it will cut into a little less than half of the profits as the strategy makes about $10 a trade.

$10-$4.50= $5.50

SO with commision the emini strategy made $55k or so.

The euro strategy would be $100k or so net as well.

So this obviously slipped my mind, but this strategy would have returned 1500% not 2500%.

Still pretty impressive IMO. Is this what I should expect though?

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