real time experiment

Discussion in 'Trading' started by fortuna, Sep 14, 2003.

  1. fortuna


    Futuresystem started 1 year ago. The purpose was to create a real time expirement for a CAC40 trading system, by posting all transactions (with their stop loss and targets) in real time. What are the results ?

    The fund started with a 316,400 Euro capital on the 6th Seprember 2002 (cac40 was then @ 3246). Based on a standard position of 10 lots for medium term position and 10 lots for short term position , the maximum leverage was twice the size of the fund if we are at the same time long (short) on both positions.

    We excluded any interests revenues from this capital , which should add around 2% in return. Commissions have cost 4.32% of the capital with a commission of 3.23 per lot.

    The fund is up 63.46%, with an annualized volatility of 22.42% and a Sharpe ratio of 5.04.

    With respect to our short term transactions, 67% are positive for a 24.33 points average profit . The average loss for 33% of all trades is 23.74 points. 208 transactions for the whole year which makes less than 1 trade per open day.

    This experiment is a real success and I intend to continue it for 1 more year before building something more serious.
  2. solid. where can i find out more.
  3. fortuna


  4. rickty



    What are the advantages trading the CAC vis a vis the ES or NQ? What are the trading hours expressed in EST?

  5. fortuna


    cac40 has one big interest. it is the european future with the biggest trading time from 08:00 am to 10:00 pm french time

    Furthermore. its volatility is between spx and ndx , which is rather interesting.

    SPX sucks: it really does not move, while ndx can be a bit too rocky
  6. Interesting indeed.

    Don't you get thrown around at the opening times for the US? (3.30p.m. European time). - Ftse futures used to be awful for about 30 mins while the US settled down...

    Kind regards

  7. fortuna



    you will be amazed how you can find some very easy patterns between us futures and european futures around us opening and also europe open.

    I am pretty sure some big hedge funds are playing this game
  8. T-REX


    Way to go!

    I dig your stats!

    What is the initial starting capital requirement to trade this methodology? And what is the minimum tick/pt size in terms of US $$$'s?

  9. fortuna


    1 lot cac40 is 10 times the index ie 10 x 3400 = 34,000 euros. I think you need a deposit of around 2,500 to 5,000 euros

    For my methodology you need to trade at the minimum 2 lots: so I would guess at the minimum 10,000 euros.
  10. fortuna


    intraday statistics for FOMC events show a steady and slow uptrend for SPX until the release of FOMC

    between 0.50% and 1%. we already made +0.25%

    Then after a few violkent moves the market will tell the right direction
    #10     Sep 16, 2003