Here are some stats on my trading system. This trades the ES on a 3 minute chart 1 contract and date from 10/7/02. Any insight is greatly appreciated.... Of course I know, at least, the short part of the system needs some tweaking!! Let me know if any further info is required.. All Trades Long Short Net Profit $34.50 $59.75 $-25.25 Profit per Bar $0.04 $0.15 $-0.06 All Trades 68 31 37 Avg Profit/Loss $0.51 $1.93 $-0.68 Avg Profit/Loss % 0.07% 0.24% -0.08% Avg Bars Held 11.79 13.03 10.76 Winning Trades 36 (53%) 19 (61%) 17 (46%) Gross Profit $132.75 $99.50 $33.25 Avg Profit $3.69 $5.24 $1.96 Avg Profit % 0.45% 0.64% 0.24% Avg Bars Held 8.89 11.11 6.41 Max Consecutive 5 4 3 Losing Trades 32 (47) 12 (39%) 20 (54%) Gross Loss $-98.25 $-39.75 $-58.50 Avg Loss $-3.07 $-3.31 $-2.92 Avg Loss % -0.38% -0.44% -0.35% Avg Bars Held 14.97 15.83 14.45 Max Consecutive 7 3 4 Max DrawDown $-48.25 $-23.25 $-42.25
Hi, If you stay in trade for 30-40 min your average profit should be higher then figures you have posted. What kind of system is that, I mean what is based on ? Walter
I've been tinkering around with a bunch of stuff not really putting anything together until now. So simply, yes this is the first "real" system I have put together...
With your avg. profit so close to your avg. loss (almost a 1:1 ratio), you'll want to see at least a 60% win rate, preferably 65%. You may also want to look at the effects of a mere 1 tick slippage on your results.
It's the short part of the system that is killing me: Long 58.9% to 41.1% (w to l) with avg. p to l of 4.16 to 2.21 Short 46.2% to 53.8% (w to l) with avg. p to l of 2.24 to 2.67 finally max DD winners: 16.5 / losers 34.0. Going to tweak some more...