Please Look at these Results

Discussion in 'Trading' started by MISSSNP, Feb 15, 2004.



    I have attached an excel file of my strategie's results of an es system I plan on trading. System executes on limit orders only.
    I know the average trade is small at ~$15 per contract, commissions at my frequency level will be $3 roundturn. Automated trading will have to be used with this system.
    I just want you guy's perspective on the realisticnous of this strategy I will be trading, "hopefully" unless I get shot down by
    you pro's. Anyway, Like to hear from on this one.


  2. Looks good. Go for it. If I had a system like that, I would trade it.

    If you're looking for constructive criticism, then mine would be that your average loss is more than your average win. From my reading from Market Wizards, most traders in that book say to have lots of small losses and a few big winners.

    But if your system makes money, then do it.
  3. General idea of the rules?
  4. Hi Paula:
    Couple of things quickly for you:
    First I notice that your sample data size is small at little more than 2 mos. Not a good sign. I know it takes a lot to obtain a bigger sample, but it is more than worth it.
    Second, from your data I extrapolate the type of system you are building is probably a variety of stat arb. If so, your profit/loss is greatly affected by A.) how efficient your execution is and b.) the stability of your entry setup. c.) The stability of the market's price action. In other words, the nature of your edge can (and is likely to) change at any time, so that even if you automate, you will need to put in safeguards, or arrange to monitor live for a while.
    third, I don't see a "Z" test. If you are going to involve yourself in high frequency systems, you might want to obtain a Z rating to make sure that you will recognize (quickly) the signs that your system is failing.
    Automating a high frequency execution system requires a lot of infrastructure support. There are a limited number of systems that will do the job. Most of the brokers who offer such systems require big account size. By the way, although I am a "pro" in the sense that I manage a family fund, I do not have a great deal of experience with high frequency systems. It would be the best of all worlds if you could obtain a qualified opinion from someone who has actually implemented such a system.
    That about exhausts my ideas on the subject. I hope you are successful. Good luck. Steve46
  5. chessman

    chessman Guest

    Has this system been automated? What are you using to automate it?

    It does 300 + RT trades a week, filling 600 limit orders in ES is not easy.
  6. Hi chessman,

    You are right, 600 is a lot. Now coming from simulations, what percentage of these limit orders would have gotten filled? 100%, 90%, 50% or less? A lot has been said on ET in the past about the difficulty of "simulating realistic fills" .

    Then for the ones filled in real trading, would the same spreadsheet statistics still apply? Or did mainly the losers get filled? These are some tough questions but you can't afford being without an answer.

    Be good,

  7. mmillar


    I've looked at this type of system before (frequent limit trades, low profit per trade) and IMHO it wont work in the real world.

    You are making $15 per trade.
    If you take $3 per trade commission off that you get $12 per trade.
    This is less than a quarter point on the ES.
    You have not accounted for slippage.

    Just because you put a limit order in doesn't mean you are going to get filled even if the market trades at that price.

    The only guarantee of being filled is if the market moves beyond your price. If you change your EL code so that you only get filled at your limit price if the market trades a quarter point past your limit price then you will get a better idea of what will happen in the real world.

  8. AC3


    Thanks for qouting this I looked at the Data and thot the same things ......... u account for no slippage and being a big fan of TS I know they always calc on the next trade price not the bid when u looking 2 sell or the offer when U looking 2 buy. Of course I assuming that ALL your deals r limits????? TS is great but U hve 2 knw exactly what they telling u in their reports ....... go further and as someone rightfully pointed out U must do a study that is longer then 2 months or the optimazation (which I assume ur using) will b giving U a best fit for that period only.
    Lastly, make sure U choose the "look inside the bar" function from TS this will allow u 2 inspect the price action iside the time period ur looking at
  9. ddog


    With only a $15 average trade and entries using limit orders you are going to lose money trading this system due to slippage (your orders are not going to get filled all the time at the limit price).
  10. AC3


    More to my point .... the TS is a great system but U hve 2 knw EXACTLY what ur looking at 2 get the most out of it....Otherwise ur going 2 get misled by the results it kicks out.
    #10     Feb 16, 2004