A day trading system

Discussion in 'Strategy Development' started by a34567, Jun 21, 2003.

  1. a34567

    a34567

    For a good day trading system, what should be its win/lose ratio, max win/lose, average win/lose and number of trades per day?

    I just created a system and want you guys give me an idea about its outcome.

    ========= SUMMARY =======================
    Date: 2003-06-04 to 2003-06-20
    Ticker: QQQ
    Number of Trades: 151 ( 75 round trips )
    Winning Trades: 55 Largest: 230 ( 0.76% )
    Average: 99.28 ( 0.33% )
    Losing Trades: 20 Largest: -496 ( -1.59% )
    Average: -89.94 ( -0.29% )
    Profit: 3661.7 ( 12.12% )
    **********************************************

    Index, Date, Time, Action, Symbol, Shares, Price,
    1, 20030604, 15:10, BUYLONG, QQQ, 1000, 30.215,
    2, 20030604, 15:10, SELLLONG, QQQ, 1000, 30.305,
    3, 20030604, 15:50, BUYLONG, QQQ, 1000, 30.344,
    4, 20030605, 10:30, SELLLONG, QQQ, 1000, 30.324,
    5, 20030605, 11:00, BUYLONG, QQQ, 1000, 30.164,
    6, 20030605, 12:00, SELLLONG, QQQ, 1000, 30.308,
    7, 20030605, 12:10, BUYLONG, QQQ, 1000, 30.25,
    8, 20030605, 12:30, SELLLONG, QQQ, 1000, 30.335,
    9, 20030605, 12:30, BUYLONG, QQQ, 1000, 30.272,
    10, 20030605, 12:40, SELLLONG, QQQ, 1000, 30.35,
    11, 20030605, 13:10, BUYLONG, QQQ, 1000, 30.35,
    12, 20030605, 14:30, SELLLONG, QQQ, 1000, 30.324,
    13, 20030605, 14:50, BUYLONG, QQQ, 1000, 30.354,
    14, 20030605, 14:50, SELLLONG, QQQ, 1000, 30.45,
    15, 20030606, 11:00, BUYLONG, QQQ, 1000, 31.196,
    16, 20030606, 12:30, SELLLONG, QQQ, 1000, 30.7,
    17, 20030606, 13:20, SELLSHORT, QQQ, 1000, 30.64,
    18, 20030606, 14:30, BUYCOVER, QQQ, 1000, 30.601,
    19, 20030609, 10:00, SELLSHORT, QQQ, 1000, 30.21,
    20, 20030609, 10:00, BUYCOVER, QQQ, 1000, 29.98,
    21, 20030609, 11:30, SELLSHORT, QQQ, 1000, 29.84,
    22, 20030609, 13:00, BUYCOVER, QQQ, 1000, 29.65,
    23, 20030609, 13:20, SELLSHORT, QQQ, 1000, 29.74,
    24, 20030609, 14:10, BUYCOVER, QQQ, 1000, 29.62,
    25, 20030609, 14:40, SELLSHORT, QQQ, 1000, 29.696,
    26, 20030609, 15:20, BUYCOVER, QQQ, 1000, 29.53,
    27, 20030609, 15:30, SELLSHORT, QQQ, 1000, 29.65,
    28, 20030610, 09:50, BUYCOVER, QQQ, 1000, 29.746,
    29, 20030610, 10:30, BUYLONG, QQQ, 1000, 29.81,
    30, 20030610, 11:20, SELLLONG, QQQ, 1000, 29.89,
    31, 20030610, 11:40, BUYLONG, QQQ, 1000, 29.815,
    32, 20030610, 12:00, SELLLONG, QQQ, 1000, 29.91,
    33, 20030610, 12:30, BUYLONG, QQQ, 1000, 29.87,
    34, 20030610, 12:50, SELLLONG, QQQ, 1000, 29.94,
    35, 20030610, 13:10, BUYLONG, QQQ, 1000, 29.9,
    36, 20030610, 13:20, SELLLONG, QQQ, 1000, 29.95,
    37, 20030610, 13:30, BUYLONG, QQQ, 1000, 29.872,
    38, 20030610, 14:40, SELLLONG, QQQ, 1000, 29.87,
    39, 20030610, 14:50, BUYLONG, QQQ, 1000, 29.82,
    40, 20030610, 15:10, SELLLONG, QQQ, 1000, 29.849,
    41, 20030610, 15:20, BUYLONG, QQQ, 1000, 29.85,
    42, 20030610, 15:30, SELLLONG, QQQ, 1000, 29.96,
    43, 20030611, 09:30, BUYLONG, QQQ, 1000, 29.938,
    44, 20030611, 09:50, SELLLONG, QQQ, 1000, 30.08,
    45, 20030611, 09:50, BUYLONG, QQQ, 1000, 29.912,
    46, 20030611, 10:00, SELLLONG, QQQ, 1000, 30.11,
    47, 20030611, 10:00, BUYLONG, QQQ, 1000, 29.95,
    48, 20030611, 10:10, SELLLONG, QQQ, 1000, 30.138,
    49, 20030611, 11:10, BUYLONG, QQQ, 1000, 30.163,
    50, 20030611, 12:40, SELLLONG, QQQ, 1000, 30.15,
    51, 20030611, 12:50, BUYLONG, QQQ, 1000, 30.104,
    52, 20030611, 13:00, SELLLONG, QQQ, 1000, 30.2,
    53, 20030611, 13:10, BUYLONG, QQQ, 1000, 30.06,
    54, 20030611, 13:20, SELLLONG, QQQ, 1000, 30.17,
    55, 20030611, 13:40, BUYLONG, QQQ, 1000, 30.128,
    56, 20030611, 14:00, SELLLONG, QQQ, 1000, 30.13,
    57, 20030611, 14:00, BUYLONG, QQQ, 1000, 30.09,
    58, 20030611, 14:00, SELLLONG, QQQ, 1000, 30.17,
    59, 20030611, 14:30, BUYLONG, QQQ, 1000, 30.163,
    60, 20030611, 14:40, SELLLONG, QQQ, 1000, 30.292,
    61, 20030611, 14:40, BUYLONG, QQQ, 1000, 30.186,
    62, 20030611, 14:40, SELLLONG, QQQ, 1000, 30.298,
    63, 20030612, 09:50, BUYLONG, QQQ, 1000, 30.503,
    64, 20030612, 10:20, SELLLONG, QQQ, 1000, 30.462,
    65, 20030612, 10:20, BUYLONG, QQQ, 1000, 30.424,
    66, 20030612, 12:50, SELLLONG, QQQ, 1000, 30.56,
    67, 20030612, 13:10, BUYLONG, QQQ, 1000, 30.44,
    68, 20030612, 13:30, SELLLONG, QQQ, 1000, 30.545,
    69, 20030612, 14:20, SELLSHORT, QQQ, 1000, 30.43,
    70, 20030612, 14:30, BUYCOVER, QQQ, 1000, 30.32,
    71, 20030612, 14:40, SELLSHORT, QQQ, 1000, 30.414,
    72, 20030612, 14:40, BUYCOVER, QQQ, 1000, 30.31,
    73, 20030612, 14:40, SELLSHORT, QQQ, 1000, 30.408,
    74, 20030613, 09:30, BUYCOVER, QQQ, 1000, 30.666,
    75, 20030613, 09:30, SELLSHORT, QQQ, 1000, 30.65,
    76, 20030613, 09:40, BUYCOVER, QQQ, 1000, 30.674,
    77, 20030613, 12:20, SELLSHORT, QQQ, 1000, 30.06,
    78, 20030613, 13:20, BUYCOVER, QQQ, 1000, 29.97,
    79, 20030613, 14:10, SELLSHORT, QQQ, 1000, 29.98,
    80, 20030613, 14:10, BUYCOVER, QQQ, 1000, 29.9,
    81, 20030613, 14:20, SELLSHORT, QQQ, 1000, 29.98,
    82, 20030613, 15:00, BUYCOVER, QQQ, 1000, 29.88,
    83, 20030613, 15:10, SELLSHORT, QQQ, 1000, 29.965,
    84, 20030613, 15:10, BUYCOVER, QQQ, 1000, 29.87,
    85, 20030613, 15:10, SELLSHORT, QQQ, 1000, 29.961,
    86, 20030613, 15:40, BUYCOVER, QQQ, 1000, 29.985,
    87, 20030613, 15:50, SELLSHORT, QQQ, 1000, 29.98,
    88, 20030616, 09:40, BUYCOVER, QQQ, 1000, 30.02,
    89, 20030616, 10:00, SELLSHORT, QQQ, 1000, 30.106,
    90, 20030616, 10:10, BUYCOVER, QQQ, 1000, 30.218,
    91, 20030616, 10:10, SELLSHORT, QQQ, 1000, 30.204,
    92, 20030616, 10:20, BUYCOVER, QQQ, 1000, 30.21,
    93, 20030616, 12:40, BUYLONG, QQQ, 1000, 30.57,
    94, 20030616, 13:40, SELLLONG, QQQ, 1000, 30.67,
    95, 20030616, 15:00, BUYLONG, QQQ, 1000, 30.692,
    96, 20030616, 15:30, SELLLONG, QQQ, 1000, 30.74,
    97, 20030616, 15:30, BUYLONG, QQQ, 1000, 30.684,
    98, 20030616, 15:30, SELLLONG, QQQ, 1000, 30.756,
    99, 20030617, 09:40, BUYLONG, QQQ, 1000, 30.772,
    100, 20030617, 09:50, SELLLONG, QQQ, 1000, 30.794,
    101, 20030617, 09:50, BUYLONG, QQQ, 1000, 30.677,
    102, 20030617, 10:00, SELLLONG, QQQ, 1000, 30.866,
    103, 20030617, 10:20, BUYLONG, QQQ, 1000, 30.702,
    104, 20030617, 11:00, SELLLONG, QQQ, 1000, 30.72,
    105, 20030617, 12:10, BUYLONG, QQQ, 1000, 30.72,
    106, 20030617, 12:30, SELLLONG, QQQ, 1000, 30.85,
    107, 20030617, 13:20, BUYLONG, QQQ, 1000, 30.81,
    108, 20030617, 13:30, SELLLONG, QQQ, 1000, 30.782,
    109, 20030617, 14:20, SELLSHORT, QQQ, 1000, 30.82,
    110, 20030617, 14:30, BUYCOVER, QQQ, 1000, 30.73,
    111, 20030617, 14:40, SELLSHORT, QQQ, 1000, 30.8284,
    112, 20030617, 14:40, BUYCOVER, QQQ, 1000, 30.7763,
    113, 20030617, 14:40, SELLSHORT, QQQ, 1000, 30.8489,
    114, 20030617, 15:20, BUYCOVER, QQQ, 1000, 30.95,
    115, 20030618, 10:00, SELLSHORT, QQQ, 1000, 30.7228,
    116, 20030618, 10:00, BUYCOVER, QQQ, 1000, 30.5934,
    117, 20030618, 10:10, SELLSHORT, QQQ, 1000, 30.71,
    118, 20030618, 11:00, BUYCOVER, QQQ, 1000, 31.07,
    119, 20030618, 11:00, SELLSHORT, QQQ, 1000, 31.052,
    120, 20030618, 11:20, BUYCOVER, QQQ, 1000, 31.077,
    121, 20030618, 11:20, SELLSHORT, QQQ, 1000, 31.046,
    122, 20030618, 11:20, BUYCOVER, QQQ, 1000, 31.068,
    123, 20030618, 12:20, BUYLONG, QQQ, 1000, 31.0434,
    124, 20030618, 14:30, SELLLONG, QQQ, 1000, 31,
    125, 20030618, 15:20, SELLSHORT, QQQ, 1000, 30.97,
    126, 20030619, 09:30, BUYCOVER, QQQ, 1000, 30.96,
    127, 20030619, 09:30, SELLSHORT, QQQ, 1000, 31.02,
    128, 20030619, 10:00, BUYCOVER, QQQ, 1000, 31.01,
    129, 20030619, 10:00, SELLSHORT, QQQ, 1000, 31.171,
    130, 20030619, 10:20, BUYCOVER, QQQ, 1000, 31.05,
    131, 20030619, 11:50, SELLSHORT, QQQ, 1000, 30.85,
    132, 20030619, 12:00, BUYCOVER, QQQ, 1000, 30.692,
    133, 20030619, 12:20, SELLSHORT, QQQ, 1000, 30.81,
    134, 20030619, 14:00, BUYCOVER, QQQ, 1000, 30.8,
    135, 20030619, 14:20, SELLSHORT, QQQ, 1000, 30.889,
    136, 20030619, 14:20, BUYCOVER, QQQ, 1000, 30.793,
    137, 20030619, 14:20, SELLSHORT, QQQ, 1000, 30.884,
    138, 20030619, 14:30, BUYCOVER, QQQ, 1000, 30.84,
    139, 20030620, 09:30, SELLSHORT, QQQ, 1000, 30.706,
    140, 20030620, 09:40, BUYCOVER, QQQ, 1000, 30.496,
    141, 20030620, 10:30, SELLSHORT, QQQ, 1000, 30.469,
    142, 20030620, 12:20, BUYCOVER, QQQ, 1000, 30.5303,
    143, 20030620, 12:30, SELLSHORT, QQQ, 1000, 30.65,
    144, 20030620, 12:50, BUYCOVER, QQQ, 1000, 30.57,
    145, 20030620, 14:00, SELLSHORT, QQQ, 1000, 30.435,
    146, 20030620, 14:00, BUYCOVER, QQQ, 1000, 30.32,
    147, 20030620, 14:20, SELLSHORT, QQQ, 1000, 30.484,
    148, 20030620, 15:00, BUYCOVER, QQQ, 1000, 30.372,
    149, 20030620, 15:30, SELLSHORT, QQQ, 1000, 30.395,
    150, 20030620, 15:30, BUYCOVER, QQQ, 1000, 30.3,
    151, 20030620, 15:30, SELLSHORT, QQQ, 1000, 30.39,
     
  2. Did you include realistic commish/slippage?
     
  3. What program is that you are using ? Just curious.
     
  4. a34567

    a34567

    The software used is a custom trading system I am developing for my clients. No realistic commish/slippage is included. Next week, I will let it do some real trades ( fully automated order entry and position management) using my FreeTrade or Datek account so that I can know the slippage.
     
  5. a34567

    a34567

    The purpose I posted the first message in this thread is to get an idea about how to evaluate a trading system. What an excellent, good, or average trading system looks like in terms of win/loss ratio, bat, number of trades per day, and theoretical profits.

    I am a good programmer but not so good in trading system design.
     
  6. Bob111

    Bob111

    sure way to poor house. i have system, which i finish last week it will be fully automated, you dont have to do anything, but start app. i have average profit of 2.5% on trade and 2.04 win ratio and i still not sure, if it will work in real market. you trying to capture few cents in average on QQQ))) heh..
    what can i say?
    good luck!
     
  7. huu......

    Good Luck!

    trend
     
  8. depends on number of degrees of freedom.
    Also, a few cents/share is not much. Would it work on the daily?
     
  9. ???

    :confused:

    trend
     
  10. a34567:

    It's very easy to complicate the right algorythm for successful trades. Josh Levine (creator / programmer) of ISLD, and some other guys spent alot of $$ and time trying to build a similar system, which was automated around 1997. The system FAILED, there were so many market variables and dynamics that they overlooked.

    Here's the core of my formula:

    Entry, Target and Stop. Stop-Entry = Risk, Target - Entry=Reward

    I look for minimum RISK : REWARD ratio of 1:2. My minimum will fluctuate with my costs, trading raneg and overall environment.

    There are successful traders out there who's computer skills just recently included turning the PC on. Stick to the basics, you'll become a much better trader.
     
    #10     Jun 22, 2003