40yo - wanted to get in touch with you but I know you've turned your PMs off - fair enough. But if you'd care to get in touch with me I'll leave you an email address in this post or feel free to PM me. The reason I want to get in touch is that it sounds like you are approaching trading from a very similar perspective to me. I wondered if we could coolaborate on some system development ideas etc. I know you have tried this before and have read your threads on Nat Gas etc but I think we will have more success if we tackle it outside of a forum environment with all the associated flaming etc. A bit about me - I trade using mechanical systems and spend most of my day developing models whilst tracking the market for signals for the models already in place. I have an investment banking trading background and now trade independently. I will happily give you more background if this general idea is of any interest to you. One other thing - I am not looking to pimp your S&P e-mini system. I actually already use something that sounds quite similar (from what you have written) for the European indices (Eurostoxx, FTSE, DAX, etc). However, as I said, I am interested by the way you approach your development and think maybe we could work well together. Worth a try? Sorry to other users of the forum - there are a number of other traders on the site which I respect greatly but from what I have read I think 40yo and I would have good synergies in working together. Anyone else who is interested in genuine knowledge sharing, I am always happy to try. Maybe we could even set up some sort of working group? Email: SystemTesting1[remove this]@Hotmail.com (remove test entered to avoid spamming)
One more try to get your attention in case it slipped thru the net over Thx Giving - if not, I'll leave you be Good trading
not sure posting the results of my system adds much value but here goes (see attached). as I said above, I have no intention to swap systems already developed with 40yo or anyone else interested other than general thoughts which may be useful for the next project. I am looking for collaberation on new ideas. results are for 2006 YTD trading the Dax - single contract only. I also trade variations of the model on eurostoxx, bunds, t-notes. no comms or slippage factored in here. in fact, i tend to find that i can achieve positive slippage with some careful trading and comms are v low (approx 1.5 eur per R/T) so not a big issue. where any currency is involved, read ⬠instead of £. as you can see, has been averaging 15 pts per trade (dax = â¬25 per pt value) altho performance was slightly inferior last year (approx 10 pts per trade). similar to what i understand of 40yoTrader's system I do not trade every day - in-fact, this year trades have occured approx 1x per week. this is just one piece in the portfolio of systems i am in the process of building. system development, like many forms of trading, can be lonely and laborious - hence my desire to collaborate on new projects.
yes - it tests out for the last 6 years of intra-day data that i have. but i really don't want a discussion about my system(s) - which i trade by the way - they are not just theoretical models. i want to develop some new ideas. are you a systems trader?
i trade a couple of systems. i have more trades per year but i don't have the profit factor that you have. i think you should put in slippage and commissions assumptions in the backtest even though you think you'll have no slippage.
i agree it's a consideration. but i prefer to have clean numbers to compare systems. slippage, by nature, cannot be estimated accurately. i figure that, worse case scenario, I have 1 pt (i.e. 2 ticks!) slippage each way - i.e. 2 pts per trade. this still leaves me with 13 pts profit per trade. i'm pleased to say this hasn't been my experience so far. comms reduces my profits only by approx 0.5-1% of gross on this system. This really is insignificant. To give you an idea, on the DAX, total comms were â¬76 on the results i showed you vs total net profit of over â¬14k
Rhino, I appreciate the thought. I don't plan on working with others anymore. After this year I'll be looking into setting up a CTA business at the urging of my broker. I'll finally be able to use my marketing background for something useful. I have too many systems running to do any research during the day. I limit my work to evenings and some weekends. Good luck with your trading.
40yo - thanks for the reply. everything you have written suggests you are a gentleman and i'm sure your CTA business will be a success. if you need any help raising clients / capital please let me know. i think my own financial backers could well be interested. good luck yourself