system historical results on ES

Discussion in 'Strategy Development' started by Kris, Feb 5, 2009.

  1. Kris

    Kris

    Ok, some of you who were following my last thread " building the system," were very helpful to me and I would appreciate any further input.

    I purchased historical tick data on the ES futures and ran my system through several years of testing (not finished yet - but these four years will give a rough idea). The system performs much better in a volatile environment than a quiet one. It closes out all positions eod but only trades when the setup occurs which is not every day.

    Here are some results (more to come) based on trading 1 contract:

    1999 Long Only - $12,636, 69 Trades 65% win rate, 1.28-1
    Slippage and Commissions ($100 per trade) = 6900
    Net P/L - $5736

    1999 Short Only - $12, 178.67, 74 Trades 55% win rate, 1.83-1
    Slip/Comm - $7400
    Net P/L - $4778

    1999 Net P/L (Short and Long) = $10,514

    2006 Short Only - $10,937 71 Trades 63% win rate, 1.89 - 1
    Slip/Comm $7100
    Net P/L $3837

    2006 Long Only - $4178 130 Trades 51% win rate 1.15-1
    Slip/Comm $13,000
    Net P/L (8822)

    2006 Net P/L - (4985)

    2007 Short Only $14, 837 103 Trades 58% win rate 1.24-1
    Slip/Comm $10,300
    Net P/L $4537

    2007 Long Only $8515 84 Trades 61% win rate 1.33 - 1
    Slip/Comm $8400
    Net P/L $115

    2007 Net P/L $4652

    2008 Long Only $6350 36 Trades 63% 1.65 - 1
    Slip/Comm $3600
    Net P/L $2750

    2008 Short Only $52, 587 176 Trades 61% 1.75-1
    Slip/Comm - $17,600
    Net P/L - $34,987

    2008 Net P/L $37,737


    So you can see it clearly performs best when volatilty is high, and performs worst in a quiet market. I haven't tested the years after the tech bubble but I have a feeling the system will perform quite well on those days as well.

    I like my win % and win size but am I actually making enough profit here? Is $52k on one contract decent or am I kidding myself here?? Obviously it seems like you could scale this up and make some decent coin with a big enough account.

    I'll post more data but any input from the experienced guys would be appreciated.