Yes, if you trade millions of dollars 8% a year vs 4% risk-free is a difference. But with small acct about 30k you have to make 100% a year to have money for a living ( if you have no other income ). One of the ET Members said "trading is easy when you have other income source" - that's true. DT-waw
I agree with you brother...I say you and I get together and collaborate on a book. We'll call it "Hit and Haul-Ass Trading"
I attach system performance reports from Amibroker for 4 indices: NQ100, SP500, Nikkei225 and DAX30. System were optimized for acct return criteria and for each index separately. There was no money management optimization - margin x1 Maybe you could get higher returns with higher margin. You can't create much better systems based on EOD trading for these futures, IMO. NQ100 index was the best in EOD trading. I can't wait to see intraday results. DT-waw
How far did You backtest results ? Such results usually comes: 1. From error 2. Spotting temporary cycles (long trend has own mechanism, but once is finished, the cycle is gone Trading "live" the system can clear this out.
Recently, I decided to test some very simple ideas using a variation of "N-day breakout" with a different "n" factor....I tested for the past 3 years and I simply adjusted the profit targets/stop allowances...I also put in an "open equity giveback" stop of 15% once an initial target was hit... The tighter I placed the stop, the higher the profit factor and the lower the winning percentage...With a very simple "n" day breakout on the sp 500, I had a 6.50 profit factor with a 31.79% winning percentage...When I expanded the stop to approximately 1/3rd of the ultimate profit target, the profit factor dropped to 3.79 and the winning percentage hovered around 49%... I went through the trades and the system did account for a variety of "outlier" events or price spikes so even the abnormal(beyond the intended stop) trades were included...I then continued to test the "n breakout" with different "n" factors including the Donchian System with a 20Day breakout and 10D trailing stop...While the system had some big gainers(in fact March 1st-March 21st is an example of one of the trades), the amount of lag before triggering the buy basically made reasonable stops impossible...
ChrisM: J Yen and Eurodollar: backtested from 1981 to 1999 ( missed huge gain on eurodollar 2001/2002 ). DAX, NDX, N225, SPX: from May 1994 to Apr 2002. Take a look at charts, there were many non-trending periods. Nobody wants to show his/her intraday system performance on NQ100? DT-waw
Attached is a Tradestation 6.0 backtest on the $NDX.X for 20 "shares" of NDX per trade (equal to 1 e-mini NQ) using my proprietary " Q` system". Not perfect but not bad IMHO