Finally a Winning Intraday System

Discussion in 'Trading' started by wdbaker, Sep 29, 2002.

  1. wdbaker


    The only problem is I have no money to trade it. So looking for a partner to join up with in Colorado, I live in Denver. No I will not reveal the system but am willing to post the stats for the backtests. Yes I confirmed that it is not forward looking and the system is very simple, plays long and short the same way, no optimization required, works across all securities and all time frames including the es and nq. It actually trades better the higher you go in time frame. I will post results for the qqq in 5min
    using 100 shares and $5000 start up.

    See way below, I can't figure out how to move the html up
    (read, Scroll to the bottom please)

    Is this the Holy Grail?? For me it is :D
    Oh and just to really frustrate people, Aphexcoil is not to far off
    enuff said


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    <TR bgcolor="#CCCCCC"><TH COLSPAN=5 class="BIG">Overall performance summary</TH></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>Total net profit:</TH><TD>6605.00</TD><TD> </TD><TH>Total commissions paid:</TH><TD>4832.00</TD></TR>
    <TR><TH>Return on account:</TH><TD>132.10 %
    </TD><TD> </TD><TH>Open position gain/loss</TH><TD>0.00</TD></TR><TR><TH>Buy&Hold profit:</TH><TD>-8474.91</TD><TD> </TD><TH>Bars (avg. days) in test:</TH><TD>19997 (366)</TD></TR>
    <TR><TH>Buy&Hold % return:</TH><TD>-169.50%</TD><TD> </TD><TH>System to Buy&Hold index:</TH><TD>177.94%</TD></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>Annual system % return:</TD><TD>131.57%</TD><TD> </TD><TH>Annual B&H % return:</TH><TD> N/A </TD></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>System drawdown:</TH><TD>-61.00</TD><TD> </TD><TH>B&H drawdown:</TH><TD>-9561.81</TD></TR>
    <TR><TH>Max. system drawdown:</TH><TD>-350.00</TD><TD> </TD><TH>B&H max. drawdown:</TH><TD>-10741.74</TD></TR>
    <TR><TH>Max. system % drawdown:</TH><TD>-5.91%</TD><TD> </TD><TH>B&H max. % drawdown:</TH><TD>-202.86%</TD></TR>
    <TR><TH>Max. trade drawdown:</TH><TD>-116.00</TD><TD> </TD><TH> </TH><TD> </TD></TR>
    <TR><TH>Max. trade % drawdown:</TH><TD>-2.05%</TD><TD> </TD><TH> </TH><TD> </TD></TR>
    <TR><TH>Trade drawdown:</TH><TD>-73.00</TD><TD> </TD><TH> </TH><TD> </TD></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>Total number of trades:</TH><TD>1208</TD><TD> </TD><TH>Percent profitable:</TH><TD>49.6%</TD></TR>
    <TR><TH>Number winning trades:</TH><TD>599</TD><TD> </TD><TH>Number losing trades:</TH><TD>609</TD></TR>
    <TR><TH>Profit of winners:</TH><TD>16152.00</TD><TD> </TD><TH>Loss of losers:</TH><TD>-9547.00</TD></TR>
    <TR><TH>Total # of bars in winners:</TH><TD>11862</TD><TD> </TD><TH>Total # of bars in losers:</TH><TD>6500</TD></TR>
    <TR><TH>Commissions paid in winners:</TH><TD>2396.00</TD><TD> </TD><TH>Commissions paid in losers:</TH><TD>2436.00</TD></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>Largest winning trade:</TH><TD>214.00</TD><TD> </TD><TH>Largest losing trade:</TH><TD>-72.00</TD></TR>
    <TR><TH># of bars in largest winner:</TH><TD>64</TD><TD> </TD><TH># bars in largest loser:</TH><TD>12</TD></TR>
    <TR><TH>Commission paid in largest winner:</TH><TD>4.00</TD><TD> </TD><TH>Commission paid in largest loser:</TH><TD>4.00</TD></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>Average winning trade:</TH><TD>26.96</TD><TD> </TD><TH>Average losing trade:</TH><TD>-15.68</TD></TR>
    <TR><TH>Avg. # of bars in winners:</TH><TD> 19.8</TD><TD> </TD><TH>Avg. # bars in losers:</TH><TD> 10.7</TD></TR>
    <TR><TH>Avg. commission paid in winner:</TH><TD>4.00</TD><TD> </TD><TH>Avg. commission paid in loser:</TH><TD>4.00</TD></TR>
    <TR><TH>Max consec. winners:</TH><TD>10</TD><TD> </TD><TH>Max consec. losers:</TH><TD>7</TD></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>Bars out of the market:</TH><TD>2451</TD><TD> </TD><TH>Interest earned:</TH><TD>0.00</TD></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>Exposure:</TH><TD>87.7%</TD><TD> </TD><TH>Risk adjusted ann. return:</TH><TD>149.95%</TD></TR>
    <TR><TH>Ratio avg win/avg loss:</TH><TD>1.72</TD><TD> </TD><TH>Avg. trade (win & loss):</TH><TD>5.47</TD></TR>
    <TR><TH>Profit factor:</TH><TD>1.69</TD><TD> </TD><TH></TH><TD></TD></TR></TABLE>
  2. Htrader

    Htrader Guest

    I hate to let you down, but with only a $5 average gain per trade and over 1000 trades, I doubt this system will hold up if you include bid/ask spread slippage.

    Also, if you truly believe in this system, you don't need alot of funds to trade it. Just trade the nasdaq e-minis, one contract only requires about $1200 of intraday margin to trade.
  3. I envy you! You live in Denver, where an average white collar worker's starting salary is $100k a year, don't have a few thousand bucks left to start trading with, and have a system that gives you an almost infinitesimally positive expectancy in a backtest. That's where I want to be 20 years from now.
  4. Bob111


    if you willing to post your entry-exit points-it will only make sense, if you can do it in real time. Everything else - useless, because you can put whatever you want. Couple good services offer same thing-they promote their trading systems, but in trial-they send you signals thru soft looks like messenger in real time. That make sense-you can try it in real time, before you pay money for it.
  5. Bob111


    i look in your performance report from (omega?) make me laugh. dude, here is my trades from past-

    i got few very big losses at end,because i don't have stops, that why i sit in cash and work on my system + prices got so cheap, it a bit harder to make money now, because of big commissions.
    but, anyway, i make almost 10000 in few month on 10000 capital, and as you can see MORE than 90% of trades is profitable. your 49% (which never been tested in real life) did not impressed me
    sorry, but, you have long way to go.
  6. wdbaker


    This backtest was over 1208 trades and the Avg. trade (win & loss): 5.47 the amount used for commission and slippage was .04cents per share. If that is not good enough then you can just move up to the 10min time frame, I'll do this just for you. Here I will use .10 per share for commission and slippage.

    As for trading the e-mini, I need about $10,000 to feel safe and know that I can make a living off from it. Thats what I am looking for.

    Thanks for your input

    See below(read, scroll down)

    <TITLE>AmiBroker System Test Report</TITLE><STYLE>
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    <TR bgcolor="#CCCCCC"><TH COLSPAN=5 class="BIG">Overall performance summary</TH></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>Total net profit:</TH><TD>3925.00</TD><TD> </TD><TH>Total commissions paid:</TH><TD>6570.00</TD></TR>
    <TR><TH>Return on account:</TH><TD>78.50 %
    </TD><TD> </TD><TH>Open position gain/loss</TH><TD>0.00</TD></TR><TR><TH>Buy&Hold profit:</TH><TD>-8469.83</TD><TD> </TD><TH>Bars (avg. days) in test:</TH><TD>10123 (366)</TD></TR>
    <TR><TH>Buy&Hold % return:</TH><TD>-169.40%</TD><TD> </TD><TH>System to Buy&Hold index:</TH><TD>146.34%</TD></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>Annual system % return:</TD><TD>78.22%</TD><TD> </TD><TH>Annual B&H % return:</TH><TD> N/A </TD></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>System drawdown:</TH><TD>-193.00</TD><TD> </TD><TH>B&H drawdown:</TH><TD>-9529.17</TD></TR>
    <TR><TH>Max. system drawdown:</TH><TD>-779.00</TD><TD> </TD><TH>B&H max. drawdown:</TH><TD>-10760.16</TD></TR>
    <TR><TH>Max. system % drawdown:</TH><TD>-9.44%</TD><TD> </TD><TH>B&H max. % drawdown:</TH><TD>-202.71%</TD></TR>
    <TR><TH>Max. trade drawdown:</TH><TD>-122.00</TD><TD> </TD><TH> </TH><TD> </TD></TR>
    <TR><TH>Max. trade % drawdown:</TH><TD>-2.15%</TD><TD> </TD><TH> </TH><TD> </TD></TR>
    <TR><TH>Trade drawdown:</TH><TD>-76.00</TD><TD> </TD><TH> </TH><TD> </TD></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>Total number of trades:</TH><TD>657</TD><TD> </TD><TH>Percent profitable:</TH><TD>46.9%</TD></TR>
    <TR><TH>Number winning trades:</TH><TD>308</TD><TD> </TD><TH>Number losing trades:</TH><TD>349</TD></TR>
    <TR><TH>Profit of winners:</TH><TD>11419.00</TD><TD> </TD><TH>Loss of losers:</TH><TD>-7494.00</TD></TR>
    <TR><TH>Total # of bars in winners:</TH><TD>5136</TD><TD> </TD><TH>Total # of bars in losers:</TH><TD>3483</TD></TR>
    <TR><TH>Commissions paid in winners:</TH><TD>3080.00</TD><TD> </TD><TH>Commissions paid in losers:</TH><TD>3490.00</TD></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>Largest winning trade:</TH><TD>219.00</TD><TD> </TD><TH>Largest losing trade:</TH><TD>-80.00</TD></TR>
    <TR><TH># of bars in largest winner:</TH><TD>32</TD><TD> </TD><TH># bars in largest loser:</TH><TD>22</TD></TR>
    <TR><TH>Commission paid in largest winner:</TH><TD>10.00</TD><TD> </TD><TH>Commission paid in largest loser:</TH><TD>10.00</TD></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>Average winning trade:</TH><TD>37.07</TD><TD> </TD><TH>Average losing trade:</TH><TD>-21.47</TD></TR>
    <TR><TH>Avg. # of bars in winners:</TH><TD> 16.7</TD><TD> </TD><TH>Avg. # bars in losers:</TH><TD> 10.0</TD></TR>
    <TR><TH>Avg. commission paid in winner:</TH><TD>10.00</TD><TD> </TD><TH>Avg. commission paid in loser:</TH><TD>10.00</TD></TR>
    <TR><TH>Max consec. winners:</TH><TD>8</TD><TD> </TD><TH>Max consec. losers:</TH><TD>8</TD></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>Bars out of the market:</TH><TD>1852</TD><TD> </TD><TH>Interest earned:</TH><TD>0.00</TD></TR>
    <TR><TH COLSPAN=5> </TH></TR>
    <TR><TH>Exposure:</TH><TD>81.7%</TD><TD> </TD><TH>Risk adjusted ann. return:</TH><TD>95.73%</TD></TR>
    <TR><TH>Ratio avg win/avg loss:</TH><TD>1.73</TD><TD> </TD><TH>Avg. trade (win & loss):</TH><TD>5.97</TD></TR>
    <TR><TH>Profit factor:</TH><TD>1.52</TD><TD> </TD><TH></TH><TD></TD></TR></TABLE>
  7. loveshek


    Hello Bob111

    I looked your trade record but i dont know how to read it...
    How much total did you earn in this period?

    just curios
  8. Bob111


    it a copy from my database. read it simple-column P_L-mean P/L
    Commisions-mean commisions. it a pair trading system-i long one and short another at same time. closing position time-may be after market close, because sometimes i update my database, when i have time. open-always 1-2 min after i open positions.
    single row-represents 1 trade.
    i make 9000 after commisions, then lost around 3000 in just few trades only because i been not mentally prepared for losses)))). system works perfectly in ANY kind of market(up, down, flat). now i work on stand alone application, which will be even more efficient than this system. it will include NASDAQ and NYSE stocks. number of pairs-will be greater, all posiiotns will be open and closed in one session. no more overnignt positions. stop loss will be added.
  9. loveshek


    ok now i understand you have 2 positions each time...thank you :>
  10. TBA


    #10     Sep 29, 2002