DAX Trading System

Discussion in 'Strategy Development' started by DT-waw, Dec 10, 2002.

  1. Here are stats for DAX futures trading system which I've developed. It trades two contracts with slightly different rules for each.

    Period: 1 June 2001 - 29 July 2002 (14 months)
    Slippage & commissions: 1 point/order (2 pts / round-trip) for each contract.
    Interest rate: 0
    Total Net Profit (in points) 9,834.5
    Number of trades: 770
    % Profitable trades (incl. flat): 42,2%
    Profit Factor: 1.73
    Maximum Drawdown (in points) 565.5

    Let's assume we take 200k EUR for trading these two contracts.
    Maximum drawdown in real trading can be substantialy higher - 2,000 points? Total Net Profit in the next 14 months can be lower - only 4,000 points. Each point is worth 25 EUR, so we will earn 100k with 200k capital ( 50% ) with 50k ( 25% ) drawdown.

    I wonder how these stats will look like, if backtesting period will be longer: 36 months or more.
     
  2. Is 200K for 2 contracts too conservative? Is the IM only 11250 EUR? 4 or 5 contracts is still a safe play.