Raystonn's Market Timer

Discussion in 'Journals' started by Raystonn, Apr 7, 2007.

  1. I've started tracking my trades at Collective2 as a more verifiable version of a Journal. Trades cannot ever be erased. History cannot ever be erased. The website itself determines the entry/exit prices, when you enter the trade, based on its own data feed. This mostly eliminates cheating. I will copy/paste all pertinent information into this thread.




    This is all that is in the system description:

    Raystonn`s Market Timer trades the EMD (S&P MidCap 400) futures contract. It strives to remain on the correct side of the market by reversing when the most likely direction of the market changes.

    Months of research, which include Monte Carlo simulations, have determined that a drawdown of $8,000 per contract from the highest intra-day equity peak would mean the system is broken well beyond anything in the past. If that should occur the system will be shut down. Average drawdown across all trades is approximately $1000 per contract. The maximum intra-day peak to valley drawdown ever experienced on a trade is approximately $5970 per contract.

    Trade size will be aimed strictly at <b>one contract for every $12,000 of peak end-of-day trading capital</b>. There will be only a single trade open at a time, and <b>no averaging down</b>. This means that the system will be shut down if it ever reaches 66.6% end-of-day peak to intra-day valley drawdown, average drawdowns will be approximately 8.3%, and the maximum drawdown ever encountered is 49.75%. This may be overly aggressive for some traders. Feel free to <b>adjust trade size accordingly</b>. By simply modifying your trade size to be one contract for every $24,000 of trading capital you will halve all drawdowns as a percentage of trading equity. Note that this would also halve your profits as a percentage of trading equity, as the reward per risk still remains the same.

    <b>A stop loss will always be in place</b> to protect against disaster. <b>Besides the stop loss, all trades are market orders</b>, making it very easy to keep your own accounts synchronized. Positions are held, on average, about 5 to 12 trading days, but never less than 1 day. The longest held positions over the past 5 years have been held for 22 trading days.


    Some statistics over the last 5 years as of 4/4/2007:

    Profit Factor: 4.78
    Total Number of Trades: 142
    Percent Profitable: 72.54%
    Winning Trades: 103
    Losing Trades: 39
    Even Trades: 0

    Average Trade Net Profit: $584.78 per contract
    Average Winning Trade: $1,253.16 per contract
    Average Losing Trade: ($1,180.44) per contract


    Some statistics over the last 6 months as of 4/4/2007:

    Profit Factor: 8.71
    Total Number of Trades: 13
    Percent Profitable: 61.54%
    Winning Trades: 8
    Losing Trades: 5
    Even Trades: 0

    Average Trade Net Profit: $857.51 per contract
    Average Winning Trade: $1,582.70 per contract
    Average Losing Trade: ($302.80) per contract


    Yearly results from 2003 to present:

    Year: 2003
    Net % Gain: <b>163.92%</b>
    Profit Factor: 2.79
    Number of Trades: 30
    Percent of Trades Profitable: 80.00%

    Year: 2004
    Net % Gain: <b>114.84%</b>
    Profit Factor: 1.55
    Number of Trades: 25
    Percent of Trades Profitable: 76.00%

    Year: 2005
    Net % Gain: <b>241.59%</b>
    Profit Factor: 2.47
    Number of Trades: 26
    Percent of Trades Profitable: 69.23%

    Year: 2006
    Net % Gain: <b>1021.43%</b>
    Profit Factor: 2.60
    Number of Trades: 37
    Percent of Trades Profitable: 72.97%

    Year: 2007
    Net % Gain: <b>108.56%</b>
    Profit Factor: 40.71
    Number of Trades: 9
    Percent of Trades Profitable: 66.67%
  2. New trades (copy/pasted from the real-time trade list):

    Trades Filled:
    Sell to open 8 @EMDM7 at market GTC
    Trade filled @869.10 (4/9/07 9:30 EDT)

    Trades Pending:
    Buy to close 8 @EMDM7 @ stop 889.70 GTC

  3. When done right, successful trading is usually fairly boring. At least we get to smile at the profits...

  4. ginux


  5. Ginux, those links have nothing to do with my system, nor this journal. In fact, neither of them even offers futures.

  6. oraclewizard77

    oraclewizard77 Moderator

    The problem with your backtests is that they never work in the future with real money.

    There are a few good systems on C2 like RT Forex North that have survived for long periods of time, but out of their over 5,000 systems I have only seen 3 that continue to work and yours is not one of them.

    Maybe, you are one of the 1% to survive in real trading, but I doubt it until you prove it with real money trades.
  7. Considering I just started the system on C2, it's not surprising mine is not one of the best listed. Did you bother to really read everything that was said, and perhaps glance at the system? My stats are not just backtests.

  8. If you have doubts, just wait and see how the system trades on C2. There is no reason to have to trust anything I say about past performance. Just monitor the future results.

  9. 5 years and only 142 trades just screams curve fitted. Not nearly enough data to put any faith in. What happens when you run this same system on another future? Er2, NQ, ES, YM.... Is your system still profitable? If so you have a fighting chance. If on all of those other futures its not even net positive then your dead in the water.

    I can train a neural network for less than 1 hour and get a system with very similar statistics as these.... the system would undoubtly fall apart in only a few weeks of foward testing.

    Could your system be profitable in the future? Possible......not enough data here to determine that however.

    I hope your system is one of the few lucky ones that survives.
  10. Depends on the rules. 142 trades for a swing system over 5 years would appear normal.
    #10     Apr 11, 2007