My Automated Trading Strategy (3Years+ of Historical Data) Please Critique!

Discussion in 'Data Sets and Feeds' started by julian0625, Mar 27, 2011.

  1. Hello Everyone,

    My name is Julian Marchese, I am 14 years old, and I have an extreme interest in the financial markets. If you want to read more about my story, check out my discretionary thread here: http://www.elitetrader.com/vb/showthread.php?s=&threadid=216513.

    Anyways, over the past few months I have been developing a few proprietary automated trading systems. Before I put my money on the line, I wanted to share the results of 3 years of backtesting on both the Euro future, and the S&P Emini futures. This is the first strategy I have created, in which I am willing to start putting money on the line. So any of the experienced automated traders, please critique the results so I can further enhance it!

    Here is the results on the EURO FUTURES which the strategy trades 24 hours.

    Stats:
    <a href="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/5736ab3e-424e-43af-b34a-076dda267b04/EuroStrategyStats.png"><img class="embeddedObject" src="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/5736ab3e-424e-43af-b34a-076dda267b04/EuroStrategyStats.png" width="1048" height="705" border="0" /></a>

    Cumulative Profit:
    <a href="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/70184012-88b9-4afe-b658-90e9c8fba6dc/EuroStrategyCumulativeProfitChart.png"><img class="embeddedObject" src="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/70184012-88b9-4afe-b658-90e9c8fba6dc/EuroStrategyCumulativeProfitChart.png" width="1049" height="653" border="0" /></a>

    Monthly Profit:
    <a href="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/a73d16cd-bd36-4fd1-97db-f8f87adadb24/EuroStrategyMonthlyProfitChart.png"><img class="embeddedObject" src="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/a73d16cd-bd36-4fd1-97db-f8f87adadb24/EuroStrategyMonthlyProfitChart.png" width="1049" height="653" border="0" /></a>

    Now this is all trading one contract of the euro. This is derived from 24 hour data starting from 16/02/2007.
     
  2. Here is the S&P 500 emini Strategy results which ONLY TRADE RTH (9:30-4:15).

    Stats:
    <a href="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/028d6f62-0140-4141-a007-d213e5f2f47e/SP500StrategyStats.png"><img class="embeddedObject" src="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/028d6f62-0140-4141-a007-d213e5f2f47e/SP500StrategyStats.png" width="1048" height="705" border="0" /></a>

    Cumulative Profit:
    <a href="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/e6d85f62-5df1-4ccc-9093-01f35e0a7ef1/SP500StrategyCumulativeProfitChart.png"><img class="embeddedObject" src="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/e6d85f62-5df1-4ccc-9093-01f35e0a7ef1/SP500StrategyCumulativeProfitChart.png" width="1049" height="653" border="0" /></a>

    Monthly Profit:
    <a href="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/0d7a8a35-193e-4874-80ff-c8c136208c1f/SP500StrategyMonthlyProfitChart.png"><img class="embeddedObject" src="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/0d7a8a35-193e-4874-80ff-c8c136208c1f/SP500StrategyMonthlyProfitChart.png" width="1049" height="653" border="0" /></a>

    This again is only trading 1 CONTRACT.

    Please critique everyone it is really appreciated!!!
     
  3. So basically on an account of what I recommend of about 10k, these two strategies would have made $250k in 4 years or so.

    Thats a wopping 2500% on my account... should I be expecting these types of gains?

    Thats what worries me the most. I have built something that appears to make astronomical amounts on the capital invested. Is this expected??

    Thanks for your help!

    Julian
     
  4. What commission and slippage do you take into account in your simulations ?
    What is the average trade duration ?
     
  5. Why are there zeros in the "commission" row?
     
  6. Because it depends on your broker. My commission on the s&p emini is about $4.50 a RT so it will cut into a little less than half of the profits as the strategy makes about $10 a trade.

    $10-$4.50= $5.50

    SO with commision the emini strategy made $55k or so.

    The euro strategy would be $100k or so net as well.

    So this obviously slipped my mind, but this strategy would have returned 1500% not 2500%.

    Still pretty impressive IMO. Is this what I should expect though?
     
  7. You survived August 2008 - December 2008 trading 1 car. Nice job.
    Promising system... Maybe collective2 might be a good fit?
     
  8. yeah, add 1 tick slippage per rt and the strat is underwater
     
  9. Yea when I saw that it basically went sideways during that time, I was reeeeeeeally surprised XD :eek:

    If I may ask, what is collective2?
     
  10. Rol

    Rol

    Is it buying at the bid and selling at the ask? (unlikely in real life)
     
    #10     Mar 27, 2011