Finally a Winning Intraday System

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

  1. Minime


    To take a screenshot of your results, try Hypersnap from . It is free too with the little ad in the upper right corner and takes great screen shots.
    #11     Sep 29, 2002
  2. ron2368


    I just have to comment here that you have almost an 11,000$ drawdown with 7k in comissions over the course of a year to make nearly 4k. Theres just too much stress there for a low payout( at least for me).

    Backtesting does not accurately reflect slippage you might have in the future along with anything else that can go wrong when you have a real time trade.
    #12     Sep 29, 2002
  3. Bob111


    i would called-BROKER's PARADISE....on 6000 profit-4000 spend in comm:)
    #13     Sep 29, 2002
  4. wdbaker


    This will make you cry :D
    This is trading one contract only starting with $5000 in the account.
    I have used 2 ticks slippage plus $5 round trip, the equity curve is a sight to behold.

    Please see below(read, scroll way down)

    <TITLE>AmiBroker System Test Report</TITLE><STYLE>
    BODY { font-family:"Tahoma,Arial,Helvetica,Sans Serif"; font-size:8pt; }
    TD { font-size:8pt; text-align: right; }
    TH { font-size:8pt; text-align: left; font-weight:normal; }
    .BIG { font-size:10pt; font-weight:bold; text-align: center; }
    <TR bgcolor="#CCCCCC"><TH COLSPAN=5 class="BIG">Overall performance summary</TH></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>Total net profit:</TH><TD>114557.50</TD><TD>&nbsp;</TD><TH>Total commissions paid:</TH><TD>57480.00</TD></TR>
    <TR><TH>Return on account:</TH><TD>2291.15 %
    </TD><TD>&nbsp;</TD><TH>Open position gain/loss</TH><TD>0.00</TD></TR><TR><TH>Buy&Hold profit:</TH><TD>-17292.50</TD><TD>&nbsp;</TD><TH>Bars (avg. days) in test:</TH><TD>32665 (553)</TD></TR>
    <TR><TH>Buy&Hold % return:</TH><TD>-345.85%</TD><TD>&nbsp;</TD><TH>System to Buy&Hold index:</TH><TD>762.47%</TD></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>Annual system % return:</TD><TD>712.70%</TD><TD>&nbsp;</TD><TH>Annual B&H % return:</TH><TD> N/A </TD></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>System drawdown:</TH><TD>-175.00</TD><TD>&nbsp;</TD><TH>B&H drawdown:</TH><TD>-21362.50</TD></TR>
    <TR><TH>Max. system drawdown:</TH><TD>-5262.50</TD><TD>&nbsp;</TD><TH>B&H max. drawdown:</TH><TD>-23687.50</TD></TR>
    <TR><TH>Max. system % drawdown:</TH><TD>-34.82%</TD><TD>&nbsp;</TD><TH>B&H max. % drawdown:</TH><TD>-458.15%</TD></TR>
    <TR><TH>Max. trade drawdown:</TH><TD>-5262.50</TD><TD>&nbsp;</TD><TH>&nbsp;</TH><TD>&nbsp;</TD></TR>
    <TR><TH>Max. trade % drawdown:</TH><TD>-34.82%</TD><TD>&nbsp;</TD><TH>&nbsp;</TH><TD>&nbsp;</TD></TR>
    <TR><TH>Trade drawdown:</TH><TD>-962.50</TD><TD>&nbsp;</TD><TH>&nbsp;</TH><TD>&nbsp;</TD></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>Total number of trades:</TH><TD>1916</TD><TD>&nbsp;</TD><TH>Percent profitable:</TH><TD>48.2%</TD></TR>
    <TR><TH>Number winning trades:</TH><TD>923</TD><TD>&nbsp;</TD><TH>Number losing trades:</TH><TD>993</TD></TR>
    <TR><TH>Profit of winners:</TH><TD>237922.50</TD><TD>&nbsp;</TD><TH>Loss of losers:</TH><TD>-123365.00</TD></TR>
    <TR><TH>Total # of bars in winners:</TH><TD>20154</TD><TD>&nbsp;</TD><TH>Total # of bars in losers:</TH><TD>11202</TD></TR>
    <TR><TH>Commissions paid in winners:</TH><TD>27690.00</TD><TD>&nbsp;</TD><TH>Commissions paid in losers:</TH><TD>29790.00</TD></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>Largest winning trade:</TH><TD>2357.50</TD><TD>&nbsp;</TD><TH>Largest losing trade:</TH><TD>-942.50</TD></TR>
    <TR><TH># of bars in largest winner:</TH><TD>14</TD><TD>&nbsp;</TD><TH># bars in largest loser:</TH><TD>37</TD></TR>
    <TR><TH>Commission paid in largest winner:</TH><TD>30.00</TD><TD>&nbsp;</TD><TH>Commission paid in largest loser:</TH><TD>30.00</TD></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>Average winning trade:</TH><TD>257.77</TD><TD>&nbsp;</TD><TH>Average losing trade:</TH><TD>-124.23</TD></TR>
    <TR><TH>Avg. # of bars in winners:</TH><TD> 21.8</TD><TD>&nbsp;</TD><TH>Avg. # bars in losers:</TH><TD> 11.3</TD></TR>
    <TR><TH>Avg. commission paid in winner:</TH><TD>30.00</TD><TD>&nbsp;</TD><TH>Avg. commission paid in loser:</TH><TD>30.00</TD></TR>
    <TR><TH>Max consec. winners:</TH><TD>11</TD><TD>&nbsp;</TD><TH>Max consec. losers:</TH><TD>10</TD></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>Bars out of the market:</TH><TD>2663</TD><TD>&nbsp;</TD><TH>Interest earned:</TH><TD>0.00</TD></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>Exposure:</TH><TD>91.8%</TD><TD>&nbsp;</TD><TH>Risk adjusted ann. return:</TH><TD>775.96%</TD></TR>
    <TR><TH>Ratio avg win/avg loss:</TH><TD>2.07</TD><TD>&nbsp;</TD><TH>Avg. trade (win & loss):</TH><TD>59.79</TD></TR>
    <TR><TH>Profit factor:</TH><TD>1.93</TD><TD>&nbsp;</TD><TH></TH><TD></TD></TR></TABLE><P>
    #14     Sep 29, 2002
  5. wdbaker


    Not traders paradise but what I ended up with while trying to figure out how to code traders paradise.

    #15     Sep 29, 2002
  6. Quah


    Just curious - why wouldn't you give out the details of this system?
    #16     Sep 29, 2002
  7. Bob111


    hhehe.......i'm already crying:D
    now go head and try to make some money on it
    believe me, i will be really happy for you, if you make this return on your acc. really...
    but, real world can be different from good looking omega numbers.
    #17     Sep 29, 2002
  8. wdbaker


    Ron, when it says b&h that means buy and hold, the reports are comparing also to buy and hold.

    The Max. system drawdown: -350.00

    This was trading 100 shares only per trade

    I think a lot of people are reading the report incorrectly

    #18     Sep 29, 2002
  9. Bob111


    i can imagine, what P/L will be on my system, if i been able to coded in omega:)
    #19     Sep 29, 2002
  10. wdbaker


    First this is not traders paradise system
    Second the commissions that you are looking at include the slippage
    third this is on 100 shares per trade only, multiply that buy how much you want to make

    #20     Sep 29, 2002