ER2, Index day trading systems

Discussion in 'Classifieds' started by JohnnyK, Feb 10, 2006.

  1. I have four uncorrelated trading systems that I am considering selling to raise money to trade them. The systems are robust for the past three years and scales up nicely over the past six months as shown in the attatchment in this thread.

    I have made mistakes not related to the systems recently that makes me consider selling.

    I want to generate $5000 for these systems. If someone were to be interested, I might post it on Ebay to conduct the transaction.

    If anyone has any good ideas how I can accomplish this, thank you very much. Three of four of the systems apply to ER2 and can be tranferred to ES but perform 1/3. Another system works well on at least three indexes. All market orders with stop market trailing stops.

    I might also consider selling on C2Collective for each profitable trade, but would rather have the $5000 now, as time is of the essence.


  2. novel20


    Do you think those systems worth $5k?

    Why wouldn't you want to keep the systems, and generate $5k with them? And if I buy your systems, can you promise you would never use them again (not even modify them slightly and reuse)? I just worry ythat you would compete against me and lessen my edge using your systems.

  3. Ah, I had not conceived of giving up my interest in using the systems. I can't imagine not using them. In fact this is for the purpose of enabling me to use them more aggressively and take advantage of the current dip in the EC. But for the $5K I would agree not to sell the systems to anyone else. That is in my best interest also, as I intend to be a user, and to scale up aggressively. The systems are robust enough that if the parameters were changed a bit, resulting in fills several minutes away from the optimum, they would still perform. I should be the one concerned about how much size you intend to do.

    This is a one time effort to re-raise initial capital after dropping 2k by betting heavily on an average drawdown. When the drawdown decided to drop another 1K to a two year low, I dropped 2K. I am very aggressive and take advantage of the day rates = $1K They don't call me JohnnyK for nothing! I broke my rules to scale up only for each $1.5K, and scale back down when under. I am selling because I think I can turn 5K into 10 or 15 in the next 6-8 weeks taking advantage of this drawdown. Three months from now, this decisions could mean 20 or 30K difference, IMO...between my other options.

    If I sold them and was scaling up, I would periodically check parameters for optimum and spread out from there a bit as I monitor fill speed. Hopefully we would not step on each others toes. These perform well using market orders so that helps. It helps also that I am currently a small fish, and will probably discover other, uncorrelated systems as I have time to focus. I have not tested on the big Russell contract, but imagine it would scale there.

    It also performs at 1/3 performance on SP. If the ER2 decided to transform into another SP, then the transformation should be gradual to lower levels. The systems do not perform in the pre-2003 ER2 conditions. So, as long as the ER2 remains as it has since the beginning of 2003, it should still perform . The non-compounded EC is nicely straight and I can sample that for you, as well as the individual systems ECs. I have been testing live since August daily. No problems. The only problems are with me, proving you can have a great system and still not make it.

    To finalize a transaction, do you agree it is in both of our interest to meet in person to make the exchange? You can copy the code off my laptop after loading the ELD and looking at the ECs to match those I show you.

    Geez, I think I saw this in a James Bond movie!

  4. Moreagr


    can you show us your historcial postive equity curve chart or some backtested results.
  5. yes i can show you both. you will find my historical not matching because I was always in there fooling around, betting against it when it was skyrocketing, and heavy on it when it wanted to DD. But there is some correlation you will see. The slippage is accounted for and not a concern.
  6. Johnny,

    My nononsense itch prompts me to this little post:
    Why would you sell even a single one of those 4 "uncorrelated" trading gems with such a juicy equity curve as shown in the url (nononsense assumes that this equity curve is representative for each of the uncorrelated gems as offered). Your asking price of $5000 a piece is peanuts compared to what these should have brought you already.

    Johnny, from time to time, I had already asked myself some questions upon reading some of your posts. But how could you have been " fooling around [and] betting against" systems with such splendid promise of return? This doesn't bode well for your continuation after having reaped a few $5000 from some credulous souls, not familiar with your past intense chit-chat endeavor. I would advise you to quit trading all together.

    Moreover, buyer candidates would have to be incredibly credulous given your warning "you will find my historical not matching".
    nononsense nevertheless encourages you to keep angling for such exceptionally credulous patrons. You may have a point in believing that a few may indeed come forward out of the fry of profit thirsty, less competent traders.

    Johnny, good luck. Don't forget to send nononsense a postcard whenever you happen to cash in on this.

    :) nononsense :)

  7. Welcome to a real trading thread my old arch-friend!

    The equite curve shown in that post is the compounded version scaling every 1.5K for the last six months of all systems performance in backtest. Thats why it's in Excel. I'm getting ready to post the non-compounded to date here for your amusement.

    I'm proud of my chit-chat "past" and the invaluable nononsense contributions I've posted there. (You should see my latest contribution under kingcobra's "faith" thread). However, it is debatable whether it is a waste of time and interferes with my trading. To the extent that reflects in my historical, is debatable. If you give me 5K I promise not to share anymore of my wisdom in chit-chat! I'm surprised they even let nononsense escape from chit chat, his ancestral home, and roam at large in real trading forums. :)

    My historical does not match my backtests not because of nonsense, but because of nonsensical actions I've taken outside of the system. But you will see the correlation between the ups and downs, how I cut the ups short, and steepened the downs. Everyone knows you can ruin a good system by not following your rules.

    I started out running three out of the four systems. I paid for every single mistake, one code mistake, as well as technical operator error mistakes (several) relative to Tradestation, parameter mistakes, connectivity mistakes, and sizing mistakes.

    For example, if I was offline accidentally, thats when the system would win. If I was in, or in heavy, thats when it would lose. One of those I realized was a bad apple and took it offline. I added another uncorrelated system and moved foreward, making some money. Then, like in three or four days I made $2700 and I thought, damn, this can't keep going up. So I turned off the three systems, and turned on the bad apple system which appeared to be at the bottom of a dip. BAD decision; cost a combination of $4.5K in lost opportunity and lost capital within a week or two. Total cost of that mistake I estimate to be $12K or more not having that money during next elevator rides. Actually, it was not until late November I realized how much I was giving up by not scaling each 1.5K. I was still thinking in terms of 4.5K each. So I gave up all the potential compounding you see in the EC charted. The 4th Q ER2 could have yielded $25K starting with one contract had I realized that, so there's another costly lesson, eh? So now you know.

    Then, at the beginning of December I had tweaked parameters on two systems, including the bad apple, and realized how much potential i had been missing. I then said to myself, I'm going to generate income and started betting heavy. Of course, thats when it wants to test its next DD. That took me out of the game for two or three weeks while I worked my butt off to resupply capital from traditional source. I got back in on another DD and thought, Im going to take advantage of this DD. Two days I was running two contracts when I should have been running one and BAM! Knocks me out of the game again. I put in just enough to put above margin and tried to fight my way back with a combo of scared money, discretionary trading, and selectively turning on and off systems. Luck was not in my favor, so here I am.

    Long story short, JohnnyK, not the systems are at fault. I'm not that anxious to sell actually, which is why I don't care if people think of my story as nonsense. I'm someone who developed some systems, tested live, and paid for all his mistakes along the way. If someone doesn't think this kind of R&D is worth 5K, then that's ok. I prefer not to be out of the game for the next 4 or 6 weeks. That's what this is all about. So this IS a time limited offer that could be withdrawn at any time. The person who recognizes the opportunity in this, will probably already be a quant who agrees 5K is a small risk to take for the white box aquisition of such systems.

    Could I be making another mistake by selling to such a person? You tell me! It's a big risk for me that I do not want to repeat more than once. Better yet, I should just adjust my price right now and make it 10K and I will pay for airfair anywhere in the US or Canada.

    Thanks nononsense!

  8. Ok, here is a three year EC of all systems working in symphony. That's why the EC is so smooth. You can see I am currently in it's deepest DD in this period. When I bet heavy on what I thought was the bottom, I was taken out, hence, I'm selling.

    Does this system look like it's finished?

    <img src=>
  9. Oops. Here's the same EC with $5 commish RT and $10.00 slippage RT. I had opened a new chart and forgot to include...again! Sorry!

    <img src=>
    #10     Feb 14, 2006