Hi, I have been working on a strategy to trade the actual S&P500 index using spread betting in the UK. The reason is that spread betting is TAX FREE. Of course you have to pay through the spread. The spread on the Sp500 is 0.5 points. When I start trading I plan to trade 250points per GBP. So at 0.5 points spread I pay £125 comission for every trade. I do plan to start small at £10 per point initially. My strategy seems to give pretty good results without generating too many trades. Could people please give me advice and comment on the results below (results have commissions deducted). Also included is the equity curve. Note that the Contracts Held says 250 but it really means 250 GBP per point. Also note that there is a little dip near the beginning of the equity curve. Finally note that although the results are displayed in $ it really means GBP! Thanks a lot for your help. Regards, RC TradeStation Strategy Performance Report TradeStation Strategy Performance Report - Strategy $SPX.X-1 min (28/01/2002-20/12/2002) (28/01/2002 14:31:00-20/12/2002 21:15:00) Performance Summary: All Trades Total Net Profit $180,807.50 Open position P/L $0.00 Gross Profit $245,697.50 Gross Loss ($64,890.00) Commission Paid $40,750.00 Total # of trades 326 Percent profitable 49.39% Number winning trades 161 Number losing trades 165 Largest winning trade $4,620.00 Largest losing trade ($880.00) Average winning trade $1,526.07 Average losing trade ($393.27) Ratio avg win/avg loss 3.88 Avg trade (win & loss) $554.62 Max consec. Winners 7 Max consec. losers 5 Avg # bars in winners 27 Avg # bars in losers 16 Max intraday drawdown ($3,322.50) Profit Factor 3.79 Max # contracts held 250 Account size required $3,322.50 Return on account 5441.91% Performance Summary: Long Trades Total Net Profit $66,145.00 Open position P/L $0.00 Gross Profit $75,415.00 Gross Loss ($9,270.00) Total # of trades 65 Percent profitable 61.54% Number winning trades 40 Number losing trades 25 Largest winning trade $4,252.50 Largest losing trade ($685.00) Average winning trade $1,885.38 Average losing trade ($370.80) Ratio avg win/avg loss 5.08 Avg trade (win & loss) $1,017.62 Max consec. Winners 8 Max consec. losers 4 Avg # bars in winners 15 Avg # bars in losers 13 Max intraday drawdown ($1,525.00) Profit Factor 8.14 Max # contracts held 250 Account size required $1,525.00 Return on account 4337.38% Performance Summary: Short Trades Total Net Profit $114,662.50 Open position P/L $0.00 Gross Profit $170,282.50 Gross Loss ($55,620.00) Total # of trades 261 Percent profitable 46.36% Number winning trades 121 Number losing trades 140 Largest winning trade $4,620.00 Largest losing trade ($880.00) Average winning trade $1,407.29 Average losing trade ($397.29) Ratio avg win/avg loss 3.54 Avg trade (win & loss) $439.32 Max consec. Winners 6 Max consec. losers 6 Avg # bars in winners 31 Avg # bars in losers 16 Max intraday drawdown ($3,157.50) Profit Factor 3.06 Max # contracts held 250 Account size required $3,157.50 Return on account 3631.43% TradeStation Strategy Performance Report Monthly Trading Summary Monthly Average Analysis (Mark-To-Market): Period Net Profit % Gain Profit Factor # Trades % Profitable January $485.00 0.97% 1.32 5.00 20.00% February $1,987.50 3.94% 1.34 18.00 44.44% March $215.00 0.41% 1.06 13.00 38.46% April $5,220.00 9.91% 2.49 16.00 56.25% May $4,330.00 7.48% 2.14 18.00 38.89% June $13,505.00 21.70% 3.10 31.00 38.71% July $48,272.50 63.73% 3.65 82.00 48.78% August $23,725.00 19.13% 4.88 37.00 54.05% September $26,122.50 17.68% 6.13 29.00 55.17% October $40,027.50 23.02% 7.25 43.00 58.14% November $11,462.50 5.36% 4.53 20.00 50.00% December $5,455.00 2.42% 5.36 15.00 60.00% Monthly Period Analysis (Mark-To-Market): Period Net Profit % Gain Profit Factor # Trades % Profitable 12/02 $5,455.00 2.42% 5.36 15 60.00% 11/02 $11,462.50 5.36% 4.53 20 50.00% 10/02 $40,027.50 23.02% 7.25 43 58.14% 9/02 $26,122.50 17.68% 6.13 29 55.17% 8/02 $23,725.00 19.13% 4.88 37 54.05% 7/02 $48,272.50 63.73% 3.65 82 48.78% 6/02 $13,505.00 21.70% 3.10 31 38.71% 5/02 $4,330.00 7.48% 2.14 18 38.89% 4/02 $5,220.00 9.91% 2.49 16 56.25% 3/02 $215.00 0.41% 1.06 13 38.46% 2/02 $1,987.50 3.94% 1.34 18 44.44% 1/02 $485.00 0.97% 1.32 5 20.00% Monthly Rolling Period Analysis (Mark-To-Market): Period Net Profit % Gain Profit Factor # Trades % Profitable 12/02 $5,455.00 2.42% 5.36 15 60.00% 11/02-12/02 $16,917.50 7.91% 4.76 35 54.29% 10/02-12/02 $56,945.00 32.75% 6.22 78 56.41% 9/02-12/02 $83,067.50 56.23% 6.19 107 56.07% 8/02-12/02 $106,792.50 86.11% 5.83 143 55.94% 7/02-12/02 $155,065.00 204.73% 4.84 225 53.33% 6/02-12/02 $168,570.00 270.85% 4.60 256 51.56% 5/02-12/02 $172,900.00 298.58% 4.42 274 50.73% 4/02-12/02 $178,120.00 338.07% 4.29 290 51.03% 3/02-12/02 $178,335.00 339.86% 4.10 303 50.50% 2/02-12/02 $180,322.50 357.18% 3.84 321 50.16% 1/02-12/02 $180,807.50 361.61% 3.79 326 49.69%
Looks fantastic! Start trading it small, though, to be sure your transaction cost assumptions are correct. Please update us with actual results.
I used to optimize systems until they would show me similar equity curves. Just don't put any real money on it until you have done a few hundred live paper trades without modifying your system.
If you're confident in your ability and system then why not forget spread bets and do it on the real market. Spreads IMO are no way to trade properly. Tax free yes, but the cost of doing business is way too high, some charges you can see, others you can't
Sorry to dissapoint but the UK spread bet houses are no idiots. The reason you "think" your system works is because your code is trying to capture the first 20 minutes of cash prices every morning. GOOD LUCK! Those are YESTERDAYS prices and NOBODY is going to take the opposite of your trades because those prices NO LONGER EXIST. To verify this, change your code not to trade the first 20 minutes of each day and watch your system crash. Maybe it will make 1 or 2 points per trade at most, which will disapear too when you take into account commish & slippage/spread. Nice try but sorry, no cigar.
IMO, the cost of the wide spread and the enormous commission charges by far eliminates any tax benefits you would have. If your system is really that good, as a UK citizen you'd be better off moving off-shore and trading the market directly. Odds are your system will not work as planned and you'll need to do alot of fine tuning along the way. It's hard enough to make money on your own and you're starting out deep in the hole by paying for ridiculously expensive commissions and wide spreads.