Please critique

Discussion in 'Automated Trading' started by adadadog, Sep 9, 2009.

  1. This is a forward test/optimization result of one of my new auto systems. I would appreciate if you can shade some light on its worthiness.
    Thanks in advance.

    Sorry I have trouble upload image file, unacceptable format. i am trying.
    • tmp.jpg
      File size:
      266.4 KB
  4. The data was from last 6 month nq futures.
    Annual return is 230%.
  5. edbar


    It cannot be an "Annual" return if the data is only for 6 months.
    You mean it is an "Annualized" return, assuming that the next 6 months will repeat what it did in the last 6 months.

    As I recall, the market jumped a huge amount in the last few months, so I doubt you will get the same returns in the 2nd half. I was trading AIG and getting 50% to 100% returns on each trade 6 months ago, but that is gone. Also many of the stocks that took a huge hit in the first part of the crash have now retraced at least half way.

    Also, many will debate this issue, but once you start floating your limit orders and stop losses in public view for live trading, the institutional computers and professional traders who live and die by the level II screens will have your lunch. That's when the real chess game begins.

    I think every serious trader has made a ton of money in simulation, only to find that it is not the same after you go live.

    My suggestion is to take it live for a few weeks, with scaled down amounts and ramp up after you see it holding its own, in the real world.

  6. You are right on annualized part. Actually it had more shorting than longing for the past six month rally. I made several mistakes in this test: I mixed points with dollars, I used $2.4 commission for points and earning should be in points, I neglected slippages. Finally there is a bug in the code that will not cover a short sometimes, even it moves against me big time. On balance, I underestimated the worth of the system. I tested more, it gave me unbelievable numbers which I like to keep it for myself.

    Thanks again.