Probably an automated trading system (as the 2X margin could be varied) achieving the above performance month by month consistently would be a money printing machine - almost a Holy Grail.
I'll answer the second question first. I'd have a hard (impossible?) time trading a system that had a 60 day drawdown (May - June). I think the key factors are profit per trade, profit factor, Sharpe ratio, maxDD/totalPL. Then there is opportunity, there must be enough trades. Brooks
Hey Brooksrimes, I just noticed this thread. If you haven't read these two already, you might find some inspiration here: http://www.elitetrader.com/vb/showthread.php?threadid=38777 http://www.elitetrader.com/vb/showthread.php?s=&threadid=33654&highlight=acrary The first is a great example of how systems can work for some people, but not for others. I have long suspected that a lot of people fail at using perfectly viable systems, simply because of their emotional/psychological issues. There are a ton of people on that thread that can't do what Spydertrader is doing, even though he outlines every move to do and why ahead of time. I think it is really quite remarkable, actually. The second is a very logical approach to building systems. Although incomplete, it certainly got me making modifications to some of my own strategies. /end $0.02 - The New Guy
Brooks, Before you can create the profitable system you desire, you need to change your beliefs. This is a strong belief that you need to replace with a belief that can help you get where you wish to go. With that limiting belief in place it won't be possible for you to create a fully objective system that performs well.
Forget about #2 and #3. You also need to define what you mean by "daytrading". Are you talking about 1 trade per day, or multiple trades per day (scalping)? Also, the concept of volatility breakout given by AnomalyResearch could be used to build a profitable system on ER2. You may need to discard the ES to get where you want to go.
Take a hard look at those years you've spent -- were they concentrating on coding, or actually watching the markets? The 3 examples of what you're working on now reveal that the bulk of your experience with market movement is probably through the eyes of others. Instead of starting with certain technical methods you've found somewhere to build a system around, why not spend a few months just watching the markets you want to trade and actually researching what makes them move without worrying about the coding process? In other words, just push your efforts in finding opportunities; if those conditions are programmable, great. But I think you will likely find that many profitable trading setups are not static. In fact, the best will shift with the nature of market conditions in real-time, and this is where their merits will shine in the long run -- signals that are reflexive of the market itself. To be a slave to a static system (much less something you've "read about") will only guarantee that you'll eventually be back at the drawing board again.
I suggest that you consider the following: The joint colloboration of a system with human instinct and experience at the helm. The problem with this is that you already have to be a decent discretionary trader. _However_, if you are, then the rewards from that colloboration may surprise you. nitro