Intra-Day S&P 500 Index (System 1)

Discussion in 'Journals' started by trend456, Sep 10, 2002.

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  1. This is a new system developed using Tradestation. This system is a short-term swing trading system. I will include all trades at the end-of-day. These result's are hypothetical. All trades are from tradestation. This is a test.

    Starting Capital: $5000

    Starting Date: 9/4/2002

    Slippage and Commission aren't included. I'm planning to keep up with the daily work including all the trades everyday.

  2. 1.9/4/2002 15:00 Buy 15 at 895.49
    9/5/2002 08:45 Exit 15 at 890.32 (-77.55)

    2.9/5/2002 09:15 Sell 12 at 875.72
    9/5/2002 10:15 Exit 12 at 879.84 (-49.44)

    3.9/6/2002 08:45 Buy 18 at 888.00
    9/6/2002 15:00 Exit 18 at 893.11 (91.98)

    4.9/9/2002 13:30 Buy 18 at 901.66
    9/10/2002 13:30 Exit 18 at 901.59 (-1.26)

    5.9/10/2002 13:30 Sell 26 at 901.04
    9/10/2002 13:45 Exit 26 at 902.97 (-46.32)

    6.9/10/2002 15:15 Buy 21 at 909.45

    9/10/2002 : $4913.55

    There's one open position. Which is Buy 21 at 909.45. It's been losing as of 9/4/2002.
  3. The system starts trading at $5000 of capital. I don't think this is enough capital to trade this system if I include slippage and commissions. I have tested this system from 1982-2002. I already have systems that I trade. The system in the thread is the one that's been developed recently. I thought it would be interesting to post the daily trades in ET. I have tested the system on SP futures and ES in Globex. Obviously the starting capital of this system using futures is greater.

    I'm willing to answer any comments. I'm not thinking about revealing the system.

  4. Htrader

    Htrader Guest

    Have you thought about using SPY as the trading vehicle instead of the actual S&P 500 index? It should give you more realistic fiils.
  5. rickty


    This is unfortunate.

    I understand your system to be purely mechanical and as such I think your journal will not generate as much interest here compared to all the others where we are witness to a trader's evolution (Huios, let me borrow your term). In your case, we will simply be presented with buys and sells without any understanding of the logic that goes behind them. On the other hand, if we have knowledge of the logic we can see how it performs under today's market conditions.

  6. Hi HTrader,

    I've thought about that. I was thinking about using SPY, SP, or ES. Have tested with SPY, too. I want to keep the real thing to myself. I might change my mind in the future.

  7. rcreal


    No offense, but what purpose does posting daily trades do, besides drive up the number of posts you make?

    Instead, maybe a monthly report or post the performance summary. But still, what does that contribute?

    If you aren't going to trade the system, why not post the code or at least some theory on how it works?

    Maybe someone will learn from your work or even contribute an improvement.

    I've posted some code to this and other forums. Not trying to impress anyone with my programming skill :), just making (sometimes a feeble) attempt to contribute.

    Just my $.14


  8. Hi rickty, recreal,

    I assumed that I'd get comments on revealing the system or contributing to the whole world about the system. I'm not offended about the comments.

    I'm sorry but the system can't be revealed or contributed. If I am on your side I would give out a similar comment. I also think a day to day trade is a lot of information. You can pick up an idea on how the system trades. I'm sure the experienced traders would pick up the style by revealing the day to day trades.

  9. Open Position from 9/10/2002 was liquidated today.

    6. 9/10/2002 15:15 Buy 21 at 909.45
    9/11/2002 13:30 Exit 21 at 912.09 (58.08)

    Current Capital : $4971.63

    Capital is up from the previous day. Still below the starting capital of $5000.
  10. This is really exciting. An undisclosed system making hypothetical trades. I can barely wait for tomorrow. I smell book deal.
    #10     Sep 11, 2002
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