Beau, not sure I understand your motive for sharing a code that you've worked extensively on that COULD make you a lot of money? I understand trying to prove or disprove J Hershey but to share all your hard work freely seems, well, not bright. Unless of course you aren't sharing it all but then what would be the point of sharing any of it?
So, you guys were definitely doubters that I could convert the .SPX data into a tradeable system, but I did just that, and here it is on SDS and SSO at 100% of equity. Looks nice and juicy to me, and I don't see much evidence of slippage here, assuming a 0.01 per share of slippage and commission. Long + Short Starting Capital $147,000.00 Ending Capital $315,167.88 Net Profit $168,167.88 Net Profit % 114.40% Annualized Gain % 781.36% Exposure 12.41% Cash Interest $2,117.45 Margin Loan Interest ($1.92) Total Commission ($1,918.32) DividendsPaid $0.00 Number of Trades 21 Avg Profit/Loss $8,007.99 Avg Profit/Loss % 3.75% Avg Bars Held 16 Winning Trades 20 Winning % 95.24% Gross Profit $175,451.28 Avg Profit $8,772.56 Avg Profit % 4.25% Avg Bars Held 14.85 Max Consecutive 18 Losing Trades 1 Losing % 4.76% Gross Loss ($9,398.93) Avg Loss ($9,398.93) Avg Loss % -6.20% Avg Bars Held 39 Max Consecutive 1 Max Drawdown ($30,482.64) Max Drawdown Date 11/13/2008 Max Drawdown % -14.41% Max Drawdown % Date 10/10/2008 Wealth-Lab Score 5,387.22 RAR 6,294.57 Profit Factor 18.6672 Recovery Factor 5.5168 Payoff Ratio 0.6845 Sharpe Ratio 8.4203 Ulcer Index 2.529 WL Error Term 4.858 WL Reward Ratio 160.8406 Luck Coefficient 4.063 Pessimistic Rate of Return 5.3141 Equity Drop Ratio 0.0035 You'll have to excuse me for not posting the program. This is usually the last step I take before watching it for awhile. I'll watch it till it builds for the next 10 trades. If it wins greater than 80-90% of the time, I'd say it works.
BW, are these some of the trades you are getting. Something doesn't look right. thnx Code: Short SPX15 160 12/8/2008 10:15:00 AM 901.69 12/8/2008 12:45:00 PM 907.91 -0.69 -1,001.20 10 -100.12 Jacks friend Long SPX15 158 12/9/2008 7:15:00 AM 907.59 12/9/2008 12:45:00 PM 889.16 -2.03 -2,917.95 22 -132.63 Jacks friend Long SPX15 156 12/10/2008 7:15:00 AM 900.83 12/10/2008 7:45:00 AM 897.19 -0.41 -573.84 2 -286.92 Jacks friend Short SPX15 156 12/10/2008 10:00:00 AM 896.24 12/10/2008 11:15:00 AM 891.20 0.56 780.24 5 156.05 Jacks friend Long SPX15 157 12/10/2008 12:30:00 PM 898.68 12/10/2008 12:45:00 PM 898.97 0.03 39.53 1 39.53 Jacks friend Short SPX15 157 12/11/2008 10:30:00 AM 896.18 12/11/2008 12:45:00 PM 874.08 2.46 3,463.70 9 384.86 Jacks friend Long SPX15 167 12/12/2008 9:15:00 AM 865.94 12/12/2008 10:15:00 AM 873.17 0.83 1,201.41 4 300.35 Jacks friend Short SPX15 168 12/12/2008 10:45:00 AM 865.43 12/12/2008 12:45:00 PM 880.04 -1.69 -2,460.48 8 -307.56 Jacks friend s Short SPX15 164 12/15/2008 7:15:00 AM 871.20 12/15/2008 9:00:00 AM 870.28 0.10 144.88 7 20.70 Jacks friend Long SPX15 165 12/15/2008 10:45:00 AM 868.65 12/15/2008 12:45:00 PM 869.40 0.08 117.75 8 14.72 Jacks friend Short SPX15 160 12/17/2008 7:15:00 AM 896.37 12/17/2008 12:45:00 PM 903.92 -0.85 -1,214.00 22 -55.18 Jacks 0.00
From the stats it looks like the code is "peeking" at future bars. You have 10 pages of code... how do you know this isn't the problem?
Sure looks like that to me too. I'm running the code on esig $SPX 15 minute bars for the last 120 days. Net profit is -$4360. I "trade" all I can starting with $147,000. Something is not right.