an excellent stolen series 3 system

Discussion in 'Strategy Development' started by profitseer, Sep 17, 2002.

  1. The most (and about the only) valuable thing about a series 3 is, you get to see lots and lots of account statements. And winning traders account statements all look the same. Like this one I just stole.

    So here's the system about 30K on 1000 trades starting with $7500. (You can use it on anything)

    The system has 5 averages you must hit. Go long, then short and keep alternating.

    You don't need quotes or charts, just 5 windows to track your average.

    1. Average Win 303.04 rules, when average win falls below 303.04, you must hang on longer, when it is above, you must take profits quicker

    2. Average Loss 127.35 rules same as win only backwards

    3. Largest win 2375.00 rules, no matter what, if you have a 2375 profit you must take it (this one's hard, because you must always be trying for it to make the other averages work right)

    4. Largest loss $400 rules, you know the rules

    5. Average trade win or lose 32.14 rules same deal, but use more as a guidline to help you hit the other averages.

    The hardest part is getting the 2375 win, especially if your average win is already over 303.04 and the system is telling you to take quicker profits, but a good system trader will take the window of opportunity when the system has an average win of higher than 303.04 and hang on to try to get the 2375 profit, because he knows even if the trade turns into a loss, he only has to keep his average around 303.04.
  2. jeffm



    The numbers on that system look respectable except for one glaring problem. The average trade is only $32. You didn't say what instrument this system is trading, so perhaps $32 means 32 index points or something. But if $32 is in fact the average trade on 1 ES or equivalent, then this system will not perform in real life. Also omitted is any mention of slippage/commish. Take out 1 tick slip each way plus $5 commish and you have $2 per trade.
  3. jeffm, But doesn't that mean in real life if it really did produce $2 per trade, and you started with 4k, that after 2000 trades you would have doubled your money?

    I'm sorry more people didn't pick up on this system because the idea is to trade in a way to meet your targets rather than trading just the market.

    Also something I often overlook is the difference between maximum loss and average loss.

    But in general, in system trading, what is considered a workable average per trade?
  4. jeffm


    Your broker would love you like a brother if you traded this system. Its make just enough to stay afloat, while he makes 5x as much per trade as you. Heck...if this system works as advertised, I'll be your broker and give you $4/rt pricing.

    Profitseer, you need to realize that you are taking on a big risk just trading at all. For that risk, you need to be adequately compensated. $2 profit per trade is not adequate. Think about all 2000 of those trades you are making. How many of those trades have to go slightly off track before your $4000 profit is wiped out? How often does this system trade? Twice a day? Is $4 profit per day worth your effort?

    There is no set value per trade that makes a system good or bad. Alot depends on the system and the trader (duh). For ES, I would put a baseline at perhaps $75 per trade for a daytrade system. Much higher for a swing system, because your trade frequency is lower.
  5. ChrisM



    where is the rest of the report ?
  6. This system is just one someone came up with, the system isn't important. What is important is having the monthly account look right. So once you have your maximum loss calculated and written in stone, you attempt to hit the other optimal targets.

    For instance, if you were using trailing stops, and your average loss was lower than the target, you would then widen the stops.

    The idea is to stop focusing on individual trade strategy, and instead focus on the overall averages. The thing it has going for it is that it does not rely on one strategy which will work great in some markets and lousy in others. It constantly adjusts based on previous results to accomplish the obbjective, which is not to make as much money as possible, but simply to stay in line with the predetermined optimal averages.