adaptive system for e-minis

Discussion in 'Index Futures' started by prophet, Mar 21, 2003.

  1. lundy

    lundy

    is this in fact tick by tick data? can any tradestation user confirm this?
     
    #11     Mar 25, 2003
  2. prophet

    prophet

    Sorry for not replying earlier!

    I always buy at the ask and sell at the bid. I believe that is the proper way of simulating market orders. If I was trading large size, I'd also look at bid/ask sizes.

    Here is my current backtesting results. This system trades a single NQM3 contract, using market orders only. It scores a mean(daily pl)/std(daily pl) of $82/$160 = 0.51 over a 19 day period, using an average of 3.3 positions *2 = 6.6 trades per day. The average daily profit/loss ratio is $147/$60 = 2.45


    Code:
    Date	# positions	pts/pos	$ p/l
    3/13/2003	2	9.50	370.40	
    3/14/2003	3	0.50	15.60	
    3/17/2003	4	5.25	400.80	
    3/19/2003	7	-0.07	-43.60	
    3/20/2003	4	1.00	60.80	
    3/21/2003	2	5.25	200.40	
    3/24/2003	2	3.75	140.40	
    3/25/2003	2	10.50	410.40	
    3/26/2003	5	0.50	26.00	
    3/27/2003	4	0.25	0.80	
    3/28/2003	3	-1.17	-84.40	
    3/31/2003	3	2.67	145.60	
    4/1/2003	6	0.42	21.20	
    4/2/2003	1	-1.00	-24.80	
    4/3/2003	3	-0.17	-24.40	
    4/4/2003	1	4.50	85.20	
    4/7/2003	4	-0.63	-69.20	
    4/8/2003	5	0.70	46.00	
    4/9/2003	3	-1.67	-114.40	
    mean		3.37	2.11	82.25	
    on up days	3.31	3.44	147.97	
    on dn days	3.50	-0.78	-60.13	
    std		1.61	3.50	160.09	
    
    ($ p/l includes IB commissions)

    This system does not train inductively over past days, or retain any information day-to-day. It uses a few a-priori settings, two indicators, a signal deglitching/ de-thrashing algorithm and a performance-merit rule which effectively avoids trading in chop or when the indicators are not performing well. This not fine-tuned. Most parameters are determined as the day progresses.

    These systems are prototyped in Matlab, then converted to C, compiled and linked in with the IB TWS API in order to receive ticks and issue orders. I am currently backtesting on previous data (NQ currently) and doing some papertrading of the real-time C code.

    The question I need to answer is: Do these 19 days represent a typical group of trading days for NQ? I realize we are in a war. Has current events made these days more or less choppy or hard to trade (using any short term patterns)?
     
    #12     Apr 10, 2003
  3. Hey Prophet,

    What ever happened to this....I trade the NQ and find this interesting.

    Michael B.
     
    #13     Dec 13, 2003