CL always-in

I am traveling right now so I don't have exact figures, but I think the P/F with stops is ~1.38 in backtest (5100+ trades), and 1.40 in forward test (~ 500 trades).

Avg/trade (per contract) is just under $100 in backtest, ranging from $47 in 2007 to ~ $190 in 2008, $110 in 2009, $65 to $90 in 2010..12, and just under $90 in 2013 ytd.

 

Week ending October 18:
8 wins ; 7 losses ; net -55

Week ending October 25:
8 wins ; 6 losses ; net -205

Week ending November 1:
8 wins ; 6 losses ; net +1970

Week ending November 8:
8 wins ; 2 BE ; net +2200

The re-designed system (live since October 15) has been working decently on the last 4 weeks - the results for the week of October 18 actually include a couple days of the prior version of the system, which lost -3840 in 2 days.

That version is only -440 from its P&L peak for the year.

As of the close tonight, the realized P&L since I started trading CLAlwaysIn is +6,495 (for 471 trades!), and the current drawdown is -14,635 from the P&L peak of July.

Attached: my account P&L graph since I started trading the system.

 

Hey DOM do you think these patterns are specific to CL or do you think they would also imply to ES?

 

Results for the week ending November, 15th, 2013:
- 3 wins ; 4 losses ; 1 BE ; net +320

A couple trades gave back over 1,000 each

 

dom, would you mind sharing your continuous historical data? I am in the process of developing my own automatic trading system, but have issues of finding continuous future intraday historical data.

 

My historical data is from TickData (www.tickdata.com) ... reasonably good quality, not free but not unreasonable either.

 

Results for the week ending November 22:
4 wins ; 2 losses ; 2 BE ; net -780

 

Also check out big mikes forum for data, and Kinetick - they have a good amount of minute data.

 

Results for the week ending November 29:
- 5 wins ; 2 losses ; net -155

Results for the week ending December 6:
- 2 wins ; 3 losses ; net +1260

Current drawdown from July P&L peak: -14990
P&L from start: +6140

 

Results for the week ending December 13:
- 2 win ; 4 losses ; -1730

Results for the week ending December 20:
- 1 win ; 3 losses ; -1150

Results for the week ending December 27:
- 4 wins ; 1 loss ; +1155

Results for the week ending January 3:
- 2 win ; 2 losses ; +490

Results for the week ending January 10:
- 3 wins ; 4 losses ; -915
Very much annoyed as 1 trade was stopped to the tick

Results for the week ending January 17:
- 6 wins ; +4445

Cumulative P&L since start on March 19, 2013: +8,435 for 535 trades
Current drawdown: -12,695 vs P&L peak July 2013