A day trading system

I'm no computer whiz, but if you just look at the time of some of the trades you appear to be on both sides of the trade at the same time. Do you think you can really step in front of every one else that many times?
Just an old dog maybe not aware of all the new tricks.

 

Thank you all for the advice!

I tend to believe what you guy said. I read books and message board discussions, attended trading workshops. All say the same thing: This thing never exist!

However, I do know some of my friends succeed with some automated systems. They traded QQQ only and scored 100+% consistently in the pass three years. Here I am talk about real trades, not paper trades.

So, I am wondering: may be autoMoneyMaker don't work for big money, but it could work for small amount of money.

My friends for example, they successfully traded their accounts from 100K to 1M and then performance start to get worse.

I would like to learn more from you guys.

Back to the trading strategy i posted. This is its idea: "buy the dip in up trend. short the pop in down trend. exit on target profit. stop out when trend changed". The back test result posted used tick-by-tick data. The time stamp is the bar's time stamp. ( thank you for pointing that out, i will change it to the trade's time stamp).

 

I would suggest testing the system on the ES or S&P futures. You get lower commissions, more leverage and better tax treatment. Plus, most systems traders are more comfortable with futures and can assess the results better. I don't trade the q's myself , so it's difficult to say whether you have a tradeable edge or not.

In the ES I would say if your average trade is not a profit of at least .50 point, or $25 per contract, your results might be open to question. Your testing has not disclosed some of the more important stats, such as drawdown over a lengthy period.

Basically, you seem to have a promising beginning, you have a method that seems rational without knowing the exact logic, but you need to include realworld constraints and test on a much longer time series. It is also important to test on data thatyou have not used to develop your system or its parameters.

 

If you have many variables which are optimized (or not optimized, but potentially lucky), then the system gets to fit itself more to historical anomalies in the data, rather than actual inneficiencies.

Daily--if it works on the daily it may capture larger moves, which might make it a tradable system (commish wouldn't cut you up).

 

Good Luck My Friend!!!

trend

 

I am still new in trading system design and need your comment to gain confidence for my trading system.

The test (with real-time tick-by-tick data) for the past 2-week period has the similar result as the previous tests. No "optimization" of any kind. Am I lucky or doing something right?

Thank you all
JS

================== SUMMARY ===============
Number of Trades: 157 ( 78 round trips )
Ticker: QQQ
Winning Trades: 55 Largest: 262 ( 0.86% )
Average: 98.09 ( 0.32% )
Losing Trades: 22 Largest: -370 ( -1.2% )
Average: -75.56 ( -0.25% )
Profit: 3732.3 ( 12.28% )
**********************************************

Index, Date, Time, Action, Symbol, Shares, Price,
1, 20030611, 15:10, BUYLONG, QQQ, 1000, 30.404,
2, 20030611, 15:20, SELLLONG, QQQ, 1000, 30.538,
3, 20030611, 15:30, BUYLONG, QQQ, 1000, 30.44,
4, 20030611, 15:40, SELLLONG, QQQ, 1000, 30.584,
5, 20030611, 15:40, BUYLONG, QQQ, 1000, 30.442,
6, 20030611, 15:40, SELLLONG, QQQ, 1000, 30.574,
7, 20030611, 15:50, BUYLONG, QQQ, 1000, 30.47,
8, 20030612, 09:30, SELLLONG, QQQ, 1000, 30.644,
9, 20030612, 09:50, BUYLONG, QQQ, 1000, 30.545,
10, 20030612, 10:10, SELLLONG, QQQ, 1000, 30.51,
11, 20030612, 10:10, BUYLONG, QQQ, 1000, 30.335,
12, 20030612, 10:20, SELLLONG, QQQ, 1000, 30.484,
13, 20030612, 10:20, BUYLONG, QQQ, 1000, 30.314,
14, 20030612, 10:30, SELLLONG, QQQ, 1000, 30.576,
15, 20030612, 11:20, BUYLONG, QQQ, 1000, 30.525,
16, 20030612, 12:50, SELLLONG, QQQ, 1000, 30.56,
17, 20030612, 13:10, BUYLONG, QQQ, 1000, 30.44,
18, 20030612, 13:30, SELLLONG, QQQ, 1000, 30.545,
19, 20030612, 13:30, BUYLONG, QQQ, 1000, 30.44,
20, 20030612, 14:20, SELLLONG, QQQ, 1000, 30.43,
21, 20030612, 14:40, SELLSHORT, QQQ, 1000, 30.414,
22, 20030612, 14:40, BUYCOVER, QQQ, 1000, 30.31,
23, 20030612, 14:40, SELLSHORT, QQQ, 1000, 30.408,
24, 20030612, 15:20, BUYCOVER, QQQ, 1000, 30.526,
25, 20030612, 15:20, SELLSHORT, QQQ, 1000, 30.52,
26, 20030612, 15:20, BUYCOVER, QQQ, 1000, 30.53,
27, 20030613, 09:40, BUYLONG, QQQ, 1000, 30.54,
28, 20030613, 09:40, SELLLONG, QQQ, 1000, 30.508,
29, 20030613, 12:20, SELLSHORT, QQQ, 1000, 30.06,
30, 20030613, 13:20, BUYCOVER, QQQ, 1000, 29.97,
31, 20030613, 14:10, SELLSHORT, QQQ, 1000, 29.98,
32, 20030613, 14:10, BUYCOVER, QQQ, 1000, 29.9,
33, 20030613, 14:20, SELLSHORT, QQQ, 1000, 29.98,
34, 20030613, 15:00, BUYCOVER, QQQ, 1000, 29.88,
35, 20030613, 15:10, SELLSHORT, QQQ, 1000, 29.965,
36, 20030613, 15:10, BUYCOVER, QQQ, 1000, 29.87,
37, 20030613, 15:10, SELLSHORT, QQQ, 1000, 29.961,
38, 20030613, 15:40, BUYCOVER, QQQ, 1000, 29.985,
39, 20030613, 15:50, SELLSHORT, QQQ, 1000, 29.98,
40, 20030616, 09:40, BUYCOVER, QQQ, 1000, 30.02,
41, 20030616, 09:50, SELLSHORT, QQQ, 1000, 30.09,
42, 20030616, 10:20, BUYCOVER, QQQ, 1000, 30.258,
43, 20030616, 10:20, SELLSHORT, QQQ, 1000, 30.246,
44, 20030616, 10:30, BUYCOVER, QQQ, 1000, 30.23,
45, 20030616, 12:40, BUYLONG, QQQ, 1000, 30.57,
46, 20030616, 13:40, SELLLONG, QQQ, 1000, 30.67,
47, 20030616, 15:00, BUYLONG, QQQ, 1000, 30.702,
48, 20030616, 15:30, SELLLONG, QQQ, 1000, 30.73,
49, 20030616, 15:30, BUYLONG, QQQ, 1000, 30.678,
50, 20030616, 15:30, SELLLONG, QQQ, 1000, 30.758,
51, 20030617, 09:40, BUYLONG, QQQ, 1000, 30.768,
52, 20030617, 09:50, SELLLONG, QQQ, 1000, 30.794,
53, 20030617, 09:50, BUYLONG, QQQ, 1000, 30.677,
54, 20030617, 10:00, SELLLONG, QQQ, 1000, 30.845,
55, 20030617, 10:20, BUYLONG, QQQ, 1000, 30.702,
56, 20030617, 11:00, SELLLONG, QQQ, 1000, 30.72,
57, 20030617, 12:10, BUYLONG, QQQ, 1000, 30.72,
58, 20030617, 12:30, SELLLONG, QQQ, 1000, 30.85,
59, 20030617, 13:20, BUYLONG, QQQ, 1000, 30.81,
60, 20030617, 13:30, SELLLONG, QQQ, 1000, 30.798,
61, 20030617, 14:20, SELLSHORT, QQQ, 1000, 30.82,
62, 20030617, 14:30, BUYCOVER, QQQ, 1000, 30.73,
63, 20030617, 14:40, SELLSHORT, QQQ, 1000, 30.828,
64, 20030617, 14:40, BUYCOVER, QQQ, 1000, 30.776,
65, 20030617, 14:40, SELLSHORT, QQQ, 1000, 30.848,
66, 20030617, 15:30, BUYCOVER, QQQ, 1000, 30.857,
67, 20030618, 10:00, SELLSHORT, QQQ, 1000, 30.7228,
68, 20030618, 10:00, BUYCOVER, QQQ, 1000, 30.5934,
69, 20030618, 10:10, SELLSHORT, QQQ, 1000, 30.71,
70, 20030618, 11:00, BUYCOVER, QQQ, 1000, 31.08,
71, 20030618, 11:00, SELLSHORT, QQQ, 1000, 31.066,
72, 20030618, 11:20, BUYCOVER, QQQ, 1000, 31.098,
73, 20030618, 11:20, SELLSHORT, QQQ, 1000, 31.068,
74, 20030618, 11:20, BUYCOVER, QQQ, 1000, 31.09,
75, 20030618, 12:20, BUYLONG, QQQ, 1000, 31.0434,
76, 20030618, 14:30, SELLLONG, QQQ, 1000, 31,
77, 20030618, 15:20, SELLSHORT, QQQ, 1000, 30.97,
78, 20030619, 09:30, BUYCOVER, QQQ, 1000, 30.96,
79, 20030619, 09:30, SELLSHORT, QQQ, 1000, 31.02,
80, 20030619, 10:00, BUYCOVER, QQQ, 1000, 31.01,
81, 20030619, 10:00, SELLSHORT, QQQ, 1000, 31.171,
82, 20030619, 10:20, BUYCOVER, QQQ, 1000, 31.05,
83, 20030619, 11:50, SELLSHORT, QQQ, 1000, 30.85,
84, 20030619, 12:00, BUYCOVER, QQQ, 1000, 30.692,
85, 20030619, 12:20, SELLSHORT, QQQ, 1000, 30.812,
86, 20030619, 14:00, BUYCOVER, QQQ, 1000, 30.8,
87, 20030619, 14:20, SELLSHORT, QQQ, 1000, 30.889,
88, 20030619, 14:20, BUYCOVER, QQQ, 1000, 30.793,
89, 20030619, 14:20, SELLSHORT, QQQ, 1000, 30.88,
90, 20030619, 14:30, BUYCOVER, QQQ, 1000, 30.84,
91, 20030620, 09:30, SELLSHORT, QQQ, 1000, 30.716,
92, 20030620, 09:40, BUYCOVER, QQQ, 1000, 30.496,
93, 20030620, 10:30, SELLSHORT, QQQ, 1000, 30.469,
94, 20030620, 12:20, BUYCOVER, QQQ, 1000, 30.531,
95, 20030620, 12:30, SELLSHORT, QQQ, 1000, 30.656,
96, 20030620, 12:50, BUYCOVER, QQQ, 1000, 30.57,
97, 20030620, 14:00, SELLSHORT, QQQ, 1000, 30.444,
98, 20030620, 14:00, BUYCOVER, QQQ, 1000, 30.32,
99, 20030620, 14:20, SELLSHORT, QQQ, 1000, 30.484,
100, 20030620, 15:00, BUYCOVER, QQQ, 1000, 30.372,
101, 20030620, 15:30, SELLSHORT, QQQ, 1000, 30.395,
102, 20030620, 15:30, BUYCOVER, QQQ, 1000, 30.3,
103, 20030620, 15:30, SELLSHORT, QQQ, 1000, 30.39,
104, 20030623, 09:30, BUYCOVER, QQQ, 1000, 30.33,
105, 20030623, 12:40, SELLSHORT, QQQ, 1000, 29.78,
106, 20030623, 14:20, BUYCOVER, QQQ, 1000, 29.66,
107, 20030623, 15:10, SELLSHORT, QQQ, 1000, 29.672,
108, 20030623, 15:10, BUYCOVER, QQQ, 1000, 29.594,
109, 20030623, 15:20, SELLSHORT, QQQ, 1000, 29.67,
110, 20030623, 15:40, BUYCOVER, QQQ, 1000, 29.84,
111, 20030623, 15:40, SELLSHORT, QQQ, 1000, 29.83,
112, 20030623, 15:50, BUYCOVER, QQQ, 1000, 29.71,
113, 20030624, 09:30, BUYLONG, QQQ, 1000, 29.711,
114, 20030624, 09:30, SELLLONG, QQQ, 1000, 29.837,
115, 20030624, 10:10, BUYLONG, QQQ, 1000, 29.84,
116, 20030624, 11:50, SELLLONG, QQQ, 1000, 29.656,
117, 20030624, 13:20, BUYLONG, QQQ, 1000, 29.751,
118, 20030624, 13:20, SELLLONG, QQQ, 1000, 29.85,
119, 20030624, 14:20, BUYLONG, QQQ, 1000, 29.852,
120, 20030624, 15:00, SELLLONG, QQQ, 1000, 29.787,
121, 20030624, 15:00, BUYLONG, QQQ, 1000, 29.68,
122, 20030624, 15:10, SELLLONG, QQQ, 1000, 29.839,
123, 20030624, 15:30, BUYLONG, QQQ, 1000, 29.73,
124, 20030625, 09:30, SELLLONG, QQQ, 1000, 29.8198,
125, 20030625, 09:30, BUYLONG, QQQ, 1000, 29.6788,
126, 20030625, 09:30, SELLLONG, QQQ, 1000, 29.7644,
127, 20030625, 11:40, BUYLONG, QQQ, 1000, 30.03,
128, 20030625, 14:10, SELLLONG, QQQ, 1000, 30.072,
129, 20030625, 14:10, BUYLONG, QQQ, 1000, 30.052,
130, 20030625, 14:40, SELLLONG, QQQ, 1000, 30.0779,
131, 20030625, 15:00, BUYLONG, QQQ, 1000, 29.842,
132, 20030625, 15:00, SELLLONG, QQQ, 1000, 29.75,
133, 20030625, 15:00, BUYLONG, QQQ, 1000, 29.773,
134, 20030625, 15:10, SELLLONG, QQQ, 1000, 29.74,
135, 20030626, 09:30, SELLSHORT, QQQ, 1000, 29.744,
136, 20030626, 10:10, BUYCOVER, QQQ, 1000, 29.808,
137, 20030626, 10:50, SELLSHORT, QQQ, 1000, 29.924,
138, 20030626, 11:30, BUYCOVER, QQQ, 1000, 29.918,
139, 20030626, 12:50, BUYLONG, QQQ, 1000, 30.053,
140, 20030626, 14:00, SELLLONG, QQQ, 1000, 30.162,
141, 20030626, 14:00, BUYLONG, QQQ, 1000, 30.08,
142, 20030626, 14:10, SELLLONG, QQQ, 1000, 30.19,
143, 20030626, 14:50, BUYLONG, QQQ, 1000, 30.152,
144, 20030626, 15:40, SELLLONG, QQQ, 1000, 30.152,
145, 20030626, 15:40, BUYLONG, QQQ, 1000, 30.119,
146, 20030626, 15:40, SELLLONG, QQQ, 1000, 30.188,
147, 20030626, 15:50, BUYLONG, QQQ, 1000, 30.152,
148, 20030627, 09:30, SELLLONG, QQQ, 1000, 30.295,
149, 20030627, 09:50, BUYLONG, QQQ, 1000, 30.196,
150, 20030627, 10:20, SELLLONG, QQQ, 1000, 30.418,
151, 20030627, 11:30, BUYLONG, QQQ, 1000, 30.42,
152, 20030627, 12:30, SELLLONG, QQQ, 1000, 30.43,
153, 20030627, 12:40, BUYLONG, QQQ, 1000, 30.327,
154, 20030627, 13:30, SELLLONG, QQQ, 1000, 30.26,
155, 20030627, 14:30, SELLSHORT, QQQ, 1000, 30.074,
156, 20030627, 15:00, BUYCOVER, QQQ, 1000, 29.879,
157, 20030627, 15:30, SELLSHORT, QQQ, 1000, 29.99,

 

i see many trades like this-

5, 20030611, 15:40, BUYLONG, QQQ, 1000, 30.442,
6, 20030611, 15:40, SELLLONG, QQQ, 1000, 30.574,

as i understand-you make 0.13 in same minute? heh..do you believe in this? there is many trades like this one in you record. if you believe that you can scalp this way-try it in real trade.
what size you have to trade to make reasonable big chunk of bucks? are you sure, that you can enter and exit with you size without any problem? and what about if you lost your internet connection?)))

it remind me jeff cooper hit and run book in opposite way-in his book he recommend to trade nyse low volume stocks <50K and with price > $50. what i bright idea for $200 book! you going just opposite)))
what i'm trying to say-it maybe possible(trade your and jeff way) if you are sitting in trading room with best equipment possible, but it is impossible(on my opinion) to do this for average joe(like me for example))
sorry for my english(it's not my native language)

Good Luck!

 

OK, so for the latest batch of numbers, your average per round trade gross (before commissions) is exactly 47.85. Strange that an exact number comes up like that. But anyway, if you use IB, you'll pay 20 bucks in com per round trade, so your net is 27.85.

As a general rule, I'm leery of any system where I make about the same amount as my broker.

$27.85 per round is 2.875 cents per share. A 1.5 cent slip on exits and entries will put you in the red. It's been a while since I traded the Qs, and I do not know your system, nor your data feeds so I cannot even guess whether this is a realistic danger or not - but it is something to consider.

 

Those would be ten minute bars, Bob111.

 

The time stamp is the bar's time stamp. I will change it to the quote's time stamp.

Actually, I did put it to work early last week, full day on Monday and half day on Tuesday and it did make me some real money ($120 or so, about 50% of what the paper trade suggested). I stopped playing with real money due to lack of confidence. I use money.net as data feed and orders were automatically sent to FreeTrade. I pay $1 for each trade since I have made over 200 trades this month.

Thank you for the comments.
JS