System trading journal

Discussion in 'Journals' started by southall, May 7, 2012.

  1. southall

    southall

    I will journal the results of my trading system here.

    It is a day trading system on the stock index futures.

    Daily win rate is about 65%.

    Average winning day about the same size as the average losing day.

    The graph shows a sample of daily returns in % or R multiples (assuming 1% is risked per trade).

    As more than 1 trade per day is taken, the system can lose more than 1% in a day, however days of losing more than 5% in a day are very rare.

    The system averages about 25% (or 25R) per year with a 15% draw down expected in a bad year.

    There are about 110 trading days per year where at least one trade is taken.

    [​IMG]
     
  2. southall

    southall

    This is the sample daily win loss ratios.. it is taken from the middle of the last decade and represents about 2 and half years of trading.
    I have tested over the last ten years but have presented a random section of the back test results here as the full 10 years worth of data doesn't display very well.

    [​IMG]