Please help with this spread betting SP500 strategy

Discussion in 'Trading' started by RocketTrader, Dec 22, 2002.

  1. 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%
     
  2. Sorry this is the equity curve......
     
  3. Foz

    Foz

    Looks fantastic! Start trading it small, though, to be sure your transaction cost assumptions are correct. Please update us with actual results.
     
  4. Note that this is using 1 minute intraday data
     
  5. 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.
     
  6. 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
     
  7. 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.
     
  8. def

    def Interactive Brokers

    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.