Systematic Performance Stats

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The 44 trades you are talking about occurred over a 3 month period. Our holding period is measured in days rather than minutes.

It sounds like you are doing real well! 2000 trades per year, clearing 1.5 pts per trade on average is 2000 x $30 = $60k on a single contract basis. Excellent! How long is your track record? Can I ask your winning percentage and standard deviation of your trades (in points)?

 

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And if that isn't good enough, someone will even show you how to go "beyond the snake oil"

What more can you ask for?

 

I'll post the Wealth-Lab code to the system that achieved those amazing results--back a few pages--later this evening. Those stats were from trading the INX index, not a tradeable contract. There was no allowance for slippage and a $5 roundtrip commission was used. I later added $30 per contract slippage which reduced performance by a third. In my testing on the emini's the results were less desirable, due to the larger bars (vs. index) and occasional lack of synchronicity at critical s/r points (stop running?). It does demonstrate the potential of a simple S/R system though, and maybe somebody can modify it to work better with tradeable contracts.

 

Hi Aaron,

I'm really glad to here that your making good money using a completley mechanical system. I have been trying to develop something similar for many years now and feeling I'm getting pretty close to having a fairly robust system for the e-minies.

You system seems to work in a time frame similar to mine, so I'm just curious if your methodology is similar.

My system uses breakouts from daily highs/lows with three diffferent length stops depending on the the market action. It also (about half the time) uses a straight resersal short to long/long to short that gets me out of failed breakouts quickly and quite often allows me to catch the top of major down moves and visa versa.

It uses absolutely no indicators at all.

The system makes about two or three trades a week.

Without giving away secrets, is it similar or not even close.

Thanks in advance,

Runningbear

 

Here is the WL code from the previous test results I published. It goes long when the price exceeds the previous bars H and short when it exceeds it's low. Very simple S/R. The problem is it only works well on the index (INX), not the emini's. Maybe somebody can fine tune and make it profitable with the tradeable contracts.

There's a little surplus in the code that I didn't edit out.

see http://www.elitetrader.com/vb/showthread.php?s=&threadid=6439&perpage=6&pagenumber=4 for performance stats.

var Bar: integer;
var StopPrice, Tick: float;
var ps: float;
var Barsavailable: integer;
procedure CalcCommission( BasisPrice: float);
var nShares: integer;
{Tick :=.10;}
begin
nShares:=Round(1000/BasisPrice);
if nShares <=1000 then
SetCommission((nShares/1)*45)
else
SetCommission(((nshares/1)*30)+40)
end;
BarsAvailable := Barcount;

SetPositionSize (100000);
InstallStopLoss(20);
for Bar:= Barcount()-499 to BarCount -1 do
begin
{ApplyAutoStops(Bar);}
if NOT LastPositionActive then
{ Entry Rules }
begin
if (PriceLow(Bar)<PriceLow(Bar-1)) and (PriceOpen(Bar) < PriceLow(Bar)) then
ShortAtStop(Bar,PriceLow(Bar-1),'');
If (PriceHigh(Bar)>PriceHigh(Bar-1)) and (PriceHigh(Bar)>PriceOpen(Bar)) then
BuyAtStop(Bar,PriceHigh(Bar-1),'');
CalcCommission(PriceClose(Bar));
end;

{ Exit Rules }
if LastPositionActive then
begin
If PositionShort(LastPosition)then
begin
If PriceHigh(Bar)> PriceHigh(Bar-1) then
Begin
CoverAtStop(Bar, PriceHigh(Bar-1),Lastposition,'');
BuyAtStop(Bar,PriceHigh(Bar-1),'');
CalcCommission(PriceHigh(Bar));
end;
end;
If PositionLong(Lastposition) then
begin
If (PriceLow(Bar)<PriceLow(Bar-1)) and (PriceHigh(Bar) <= PriceHigh(Bar-1))then
begin
SellAtStop(Bar, PriceLow(Bar-1),Lastposition,'');
ShortAtStop(Bar,PriceLow(Bar-1),'');
CalcCommission(PriceLow(Bar));
end;
end;
end;
end;

{$I 'Profit Pane (Bottom)'}

 

one contract traded system... similar results on all electronic traded futures... with the same parameters.

just to give you some direction of where optimization can lead you to..

 

and here the equity curve

 

oops forgot the attachment...