Of course. It's simple - We give you useful stuff for free and, if you ever need something that is our specialty, hopefully you come find us. Isn't that the way most businesses work these days? The question is, did you or someone else find it useful? If we can't point to at least one person that found this useful then all we've done is waste our time posting something and, possibly tarnish our firm in the process. Hopefully, we didn't do that... Have a good weekend.
SMI, You leave the order open all day until it gets filled? So potentially tons of drawdown right? What was the worst loss? I can imagine some huge gap against you wiping out many of the two point winners.
You're right on both counts. But that wasn't the point of the exercise. If you're someone who's looking for an 85% winning system to sell and you don't care about the realities of slippage, drawdowns, commissions and such, then, heck, most experienced traders can probably create that. Any system is going to have tradeoffs between the win rate and the average trade. The higher the win rate the lower the average trade in general. Or, put another way, the higher the win rate the more skewed the avg winning trade is to the avg losing trade (generally anyway). But, even though the exercise started off as something else, I found it useful. So I posted it because I think the 2 day pull back cycle in the market is a good one to keep in mind and having a programmed model to examine that edge might be worth something to a few folks here. To answer your question though: Max drawdown is around 8700.00 and the largest losing trade is around 4400.00 which occurred on in August 2011.
It was just a theoretical exercise. Nothing about trade management or money management.It is what it is, an exercise.
Yes, I have. Multiple in fact. If you're a QEP, drop me a PM and I'll point you to the group that does our verification process and that'll get you the real-world data you're asking for.