Anyone interested in trading my ES scalp system on real account?

Discussion in 'Strategy Development' started by Alligatortrader, Jun 17, 2003.

  1. Hi,

    I just developed a scalp system on the S&P E-Mini. It makes huge profits in backtesting, trading about 20 times per hour. It could be a system, designed to trade for a living. But the problem could be the small average trade. If it works, one could make about 300-500$ per day- ex commissions and slippage.

    Right now I am too busy to trade it myself and would give it to an active emini trader to check it out on a real account. You would need a tradestation and a low commission broker like IB.

    Please send email @ artland@gmx.de
     
  2. FinStat

    FinStat

    get real buddy
     
  3. Sounds like a legitimate offer so far. I am not actively trading the ES but if you want to PM me I can suggest some people who are.

    Good luck.
     
  4.  
  5. Funster

    Funster

    if u mean 20 times an hour based on 1 tick data then I have already made that one and yes it looks fantastic on paper.

    The only problem is that in the real world you are forgetting, at the very minimum, the market is First In First Out.

    This means that you will not be able to trade it fast enough to keep up with all the signals you need. Too many people in the queue in front of you!
     
  6. benysl

    benysl

    just a little note if you are talking about 20 times ah hour. That is about 3 mins per trade which consist of both buy and sell. And that is about 1.5 mins a signal.

    Few things to take note.
    This is a very stressful trading as you cannot even go toilet cos you are in the position every 1.5 mins and you need to make decision in 1.5 mins.

    The system test is not realistics.
    On you tick data if this condition met your system would buy at let say 1234 and if condition met you exit at 1236 making a 2 ticks profit on paper.
    In real life when your system get a buy at 1234 you probably get filled at 1235 and when your system exit at 1236 your system likely to exit at 1235. This is slippage and I guess you know all about it.

    anyway I find that 20 times an hours is not realistics in real life. Try to make it 20 times a day or even 10 times a day I think that will be good enough
     
  7. EricP

    EricP

    I agree with the other comments here, that if this system trades 20 times per hour, then it is impossible to adequately backtest this system with a program like TradeStation or WealthLab because you cannot adequately simulate order executions with that short timeframe.

    That said, as a hedge fund manager utilizing 100% automated systems, I am always interested in finding and implementing new systems for our trading in any market. If anyone has a system that they are unable to fully utilize due to capital limitations or inability to automate frequent signals, then please PM me and we can discuss the possibility of working together in some mutually beneficial manner.

    -Eric Patterson
     
  8. 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 a idea about its outcome.

    ========= SUMMARY =======================
    Date: 2003-06-04 to 2003-06-20
    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,
     
  9. lindq

    lindq

    Go here and enter the NET results of your backtesting, after commish and splippage. It will present an equity curve.

    http://hquotes.com/tradehard/simulator.html
     
  10. a34567

    a34567

    I am confused. What's the difference between win/loss ratio and win probability? I think they are the same thinng, right?

    JS
     
    #10     Jun 21, 2003