Being sidelined over 80% of the time and making the smallest possible average profit per trade with 600 actions automatically a week for turns that have worked is an interesting picture. Because of my personal limitations, I am definitely unable to see it ever happening at all. It is not going to happen in the ES market. Figuing how the data presented was arrived at is my greatest short coming. Reading the other associated posts here is equally mysterious to me.
At 0.30pts per contract, and factoring in commish of 0.05pt and spread(vig) of 0.25pt, you are down to 0.00pt P&L. At 120 trades per day I presume your system trades some kind of short term divergence - possibly a stat arb. Perhaps you might want to give us a sense of what your trade is trying to accomplish?
I would be surprised if > 50% of limit orders are filled in actual trading. Simple math: # of trades 3277 x $3 comm = $31k ! Interesting how people design systems with rose colored glasses.
LOL. Glad I didn't go to your school!! I assume this system is something like the one given on this thread... http://www.elitetrader.com/vb/showthread.php?s=&threadid=26440&highlight=multiplier0.5 Would someone mind explaining what is meant by 'stat arb' ? Thanks
An attempt to profit from pricing inefficiencies that are identified through the use of mathematical models. Statistical arbitrage attempts to profit from the likelihood that prices will trend toward a historical norm. Unlike pure arbitrage, statistical arbitrage is not riskless. http://www.investorwords.com/5803/statistical_arbitrage.html
my gross net was $49500 on 3277 trades. at $3 rt, commissh is ~$10000, so net is $39500. that's still respectable from 12/09/03 to 2/12/04, ~$18000 per month, one lot. Paula
If you're not interested in listening to anyone's cautions, why not just start trading it as soon as possible? Tomorrow? Today?