Custom Tailored System

Discussion in 'Index Futures' started by ElectricSavant, Mar 14, 2003.

  1. 80% sounds a bit high, but dont be upset by having a system that does not trade everyday. one of the systems that i use only averages only 4 trades per month but has consistently made around 10 - 12 points per trade (on the ES) over the last 20 months. good risk since you're only in the market for an average of 90 min. per trade.

    think about it that way instead of profit ratio.

    #31     Mar 30, 2003
  2. Well...if we must continue this discussion ok.

    I belive that the Win Rate used together with the Average win loss calcualtions would be more representitive to valid results.

    Now P/L ratio would not be the application to compare the win rate with.

    I though we had covered this earlier....but i guess we did not.

    My original criteria has not been met with any of the 4 systems. I have only posted 1 system and hinted to the others.

    Michael B.
    #32     Mar 30, 2003
  3. michael, i sent you a private message with contact info
    #33     Mar 30, 2003
  4. dbphoenix


    I don't know why, but we are clearly on different paths, so I'll leave you to it.

    #34     Mar 30, 2003
  5. DB,

    I understand your point completly. I am sorry to communicate so poorly.

    P/L ratio and Win Rate used together would definatly prove your example correct...we are in agreement.

    But the Term "average win/loss not the same thing. Now if it is used together with Win Rate it is very powerful.

    Are we together now?

    Michael B.
    #35     Mar 30, 2003
  6. Why dont you run your backtesting statistics over a longer time period? I'd recommend at least 3-5 years.

    #36     Mar 30, 2003
  7. Blueberry,

    Ok, I will.

    I will post the results.....this may take a few day's. I need to find the historical data.

    Michael B.
    #37     Mar 30, 2003
  8. tah



    Great thread you got going here. I am glad that bbc asked about the longer term statistics, as this was exactly what I was going to ask as well. As we all know , short term results can be very misleading.

    I think it is great for you to offer this system for tweaks and improvements, but I was wondering if you would consider sharing the rules of the system so that we can do some of our own backtesting and improving of it?

    Thanks for your consideration on this idea.



    <Why don't you run your backtesting statistics over a longer time period? I'd recommend at least 3-5 years.

    #38     Mar 31, 2003
  9. Well.... I got my hands on data going back to 1/1999 for the ES. I believe the ES started trading in 1997, but some traders hinted that it was not as liquid in the beginning.

    My statistics work now.......but did not in 1999, 2000, and half of 2001. I thought I was a genius!

    Well back to the drawing board......

    How bout this system.....

    1)buy at open at the direction of the flip of the coin......with 3:1 ratio

    2)add one contract each morning until you win.

    3)must win before the ending of the 7th morning trade to break even.

    Michael B.
    #39     Apr 27, 2003