Systems that are profitable without fees

Discussion in 'Automated Trading' started by jwdn, Jun 13, 2011.

  1. jwdn


    Hello everyone,

    As part of an academic research project, I am looking for examples of relatively simple systems/trading rules (in equities/fx or futures) that meet the following criteria. If you think of one off the top of your head, whether from experience or your readings, I would greatly appreciate it if you could let me know.

    1) System/rule that appears highly profitable in backtesting and recent out of sample testing when zero commission / trading costs / slippage are assumed, but is not profitable when realistic assumptions on the previously mentioned are made.

    2) System/rule that has been historically profitable for long periods of time (in practice, with all costs considered) but steadily or suddenly became no longer profitable in recent years.

    Thank you,
  2. I dont know why, but i have this feeling that wont be hard for you to find such systems ;-))

  3. rosy2


    make markets in gold calendar spreads
  4. MGJ


    Found this image in a 5-year-old thread named Murray Ruggiero Q & A

    Maybe you could investigate further.