Systematic Performance Stats

Discussion in 'Strategy Building' started by gjmason, Jun 21, 2002.

  1. gjmason


    is anyone trading a systematic or mechanical approach ( 100% systematic, 0% discretionary) and pulling consistent profits out of the eminis or nq's?
    if so, post your performance for the last 3 mos, including # trades,
    #profitable trades, net profit, gross profits, gross loss, and max
    drawdown in $, all on a 1 contract basis.

    i doubt anyone has any performance
    to brag about,

    G. J. Mason
  2. Aaron


    Why would you think no one has any performance to brag about? In the futures markets somebody is always making money -- there are just as many shorts as longs.

    The Schindler Fund had 44 trades from March 20th to June 20th in the NQ's. 59% were profitable and we netted $1910 on a one contract basis. Futures Magazine is going to show us as the top CTA for the month of April in their forthcoming July issue.

    Are you going through a tough drawdown, Mr. Mason? It happens to all of us. If you aren't at a peak in equity you are in a drawdown -- and that is most of the time!

  3. Aaron:

    I commend you on your performance...Would you care to comment on what size a portfolio these returns are based on?...

    Just curious
  4. Aaron


    Schindler Trading has $1.4 million under management.
  5. Aaron


    <b>Thank you</b> for your commendation, Vulture.
  6. Aaron,

    Congratulations on some impressive performance. I find it interesting that you had 44 trades over a three month period, while I see newbies here talking about trading 15-20 times a day in their accounts. Without giving away the keys to the kingdom, perhaps you could give us some general outlines on your trading philosophy and approach.
  7. Aaron


    Thanks AAAintheBeltway.

    I think it is possible to make money in the markets at all different time frames -- holding periods of anywhere from minutes to years. Schindler Trading's strategies typically have a holding period of 1 to 3 days.

    We take a 100% systematic approach. We backtest everything and do rigorous out-of-sample testing. These are philosophies I highly recommend. As for indicators, I recommend starting with trend following indicators and expand from there.

    By the way, I should add whenever mentioning our performance, that <b>past performance is not necessarily indicative of future results. Futures trading is speculative and involves a high degree of risk.</b>
  8. tntneo

    tntneo Moderator

    I am not sure it is a newbie thing.
    However, I used to make many trades a day (well, in low volatility environment it's a great play to do bands counter market.. then you can make many scalps a day.. there are other ways,but I talk here only about what I do).
    There is profit in doing less trades. I am sure only of one thing : there is no 'right' way.
    Now, I try to make only one trade a day for the index trading. 'never been so succesful.

    if one trade very short time frames, the risk is to trade noise. You must be very good to trade noise and make money (with the exception of low volatility, low volume environment).

    With fewer trades, you overlook noise and can make more money. my experience at least.
    irony is, I understood it when index trading became hedging against my 'regular' operations. now the index part is more profitable [although market making is great with very little drawdown and unreal equity curve]. It becomes more and more important : thanks to very few trades.

    maybe there is an important truth there.

  9. I like the 1-3 day time frame as well.
  10. EricP


    Contrary traders, such as myself, specifically look for opportunities to trade 'noise'. For example, assume that a stock is moving within a narrow range... up and down and up and down and up and down... There is really no price movement going on... Just NOISE. To profit from this, you simply trade contra to the extreme directions of the noise. In other words, lacking any confirmation that this move is 'real,' you simply treat it as noise and go against it. This is a scalping strategy (like 'playing market maker') that can be traded by those with low commission costs relative to the magnitude of the 'noise.'

    #10     Jun 24, 2002