Sts trading system: historical results

Discussion in 'Educational Resources' started by seleukos, Feb 22, 2006.

  1. seleukos


    On last 2000 working days, on this 23 instruments we executed 45850 operations, Of these, 59.53% was successfully. In the sense that close was above open if long and close was below open if short.

    The math difference is in average 0.29546 % a day, using open and close only.
    Obviously, you should calculate commissions and slippage, if the case.

    Also reducing the 0.29546% of gain to 0.1% a day (that probably is eccessive) you can evaluate 0.1 x 250 = 25% yearly about.

    Really, this is a work... but gain is not bad.

    In our firm we gained in line with this numbers:it depends obviously on commission and slippages.

    We will deaggregate the result for every instrument and publish them in the near future.

    We will add that also we are speaking of last 2000 working days and 23 instruments, no one can be sure that in the future the results will repeat the performance of the past.

    Good trade.

    ** seleukos ** Sts version 5.4.26 Template: E
    Machine: C51 Sts disk: K STS
    File originally began on Wed 22 Feb 2006 15:14:00
    Forecast for working day after: 20060221 that is 20060222
    Instr today should go
    FFAG LONG Future Silver Comex Front
    FFAU FLAT Future Gold Comex Front
    FFCC SHORT Future Cocoa CSCE Front
    FFCL FLAT Fut.Light Crude Oil Front
    FFCO LONG Future Corn CBOT Front
    FFDA LONG Future Dax Xetra Front
    FFFB LONG Future S&P MIB30 Milan Front
    FFFT LONG Future Ftse 100 London Front
    FFJU SHORT Future jap .Yens for one US Dollar Front
    FFNA SHORT Fut.Natural Gas Front
    FFND LONG Nasdaq 100 future Front
    FFNH LONG BidAskMean future Nq100 MiniGlobex 24hrs Front
    FFSO LONG Future Soybean Oil CBOT Front
    FFSP No forecast Future SP Front
    FFSR No forecast Future SP mini GLOBEX (24 hrs) Front
    FFSS FLAT Future Soybean Seed CBOT Front
    FFSU FLAT Future Us Dollars for one Swiss Franc Front
    FFUE SHORT Future US Dollars against one Euro Front
    FFUS FLAT Future Tbond Front
    INDU LONG Dow Jones Industrials Average
    KJUL LONG Yen for one us$ Limited
    KSUL LONG Swiss francs for 1 us dollar Limited
    KUEL FLAT us$ per one Euro Limited
    The clause 'No forecast' is set when, on last 55 working days,the
    internal controller gained very poorly or loosed: this can denote
    a congested or sideways situation.In practice it is as a 'FLAT'
    clause (in both the suggestion is to stay out).
    Nevertheless: while 'FLAT' is a really computed decision, the clause
    'No forecast' is rather an impossibility to express a good forecast.
    In this case we suggest to be cautious using your own systems also.
    ================================================================== eof