The Rise and Fall of Mechanical Trading Systems

Discussion in 'Journals' started by DT-waw, Dec 16, 2010.

  1. DT-waw

    DT-waw

    An update on the performance of the tracked systems.

    1) Gold
    https://strategynetwork.tradestation.com/StrategyNetworkStore/StrategyPerformance.aspx?ParentId=818

    Net Equity since published on TS SN from the date of tracking on my Journal (16 Dec 2010):
    $46,155. Net Equity now: $47,610. The system made about $1,500!

    Open short trade from 1406.60

    2) Forexsniper USDCHF
    https://strategynetwork.tradestation.com/StrategyNetworkStore/StrategyPerformance.aspx?ParentId=724

    Net Equity since published on TS SN from the date of tracking on my Journal (16 Dec 2010):
    $9,255. Net Equity now: $8,296. The system lost almost $1000.


    3) ScaleOutBarracuda NG-2
    https://strategynetwork.tradestation.com/StrategyNetworkStore/StrategyPerformance.aspx?ParentId=1012

    Net Equity since published on TS SN from the date of tracking on my Journal (17 Dec 2010):
    $12,410. Net Equity now: $9,570. The system lost almost $3,000!
     
    #81     Dec 30, 2010
  2. DT-waw

    DT-waw

    4) FX TradeMaster
    https://strategynetwork.tradestation.com/StrategyNetworkStore/StrategyPerformance.aspx?ParentId=675

    Net Equity since published on TS SN from the date of tracking on my Journal (16 Dec 2010):
    $17,545. Net Equity now: $15,498. The system lost about $2,000.

    5) FX Scout
    https://strategynetwork.tradestation.com/StrategyNetworkStore/StrategyPerformance.aspx?ParentId=676

    Net Equity since published on TS SN from the date of tracking on my Journal (16 Dec 2010):
    $5,483. Net Equity now: $4,856. The system lost about $630.
     
    #82     Dec 30, 2010
  3. Somehow you have conveniently left out the "Cruiser System"...short euro @ 14059 currently 13274...:)


    NiN
     
    #83     Dec 30, 2010
  4. DT-waw

    DT-waw

    Sorry, I update the Cruiser system also :)
    https://strategynetwork.tradestation.com/StrategyNetworkStore/StrategyPerformance.aspx?ParentId=1076

    Closed a short trade at 1.3144 for a $8,700 gain and now is long from the same price.

    At the current moment, it is the #1 system among all posted to Tradestation Strategy Network in terms of Annualized Rate of Return, which stands at 448%.
    Its tracked in real time for 106 days now.

    The Gold system is #6 with 272% annualized return. Tracked live for 204 days.
     
    #84     Dec 30, 2010
  5. DT-waw

    DT-waw

    Take a look at the Top 10 systems ranked by Net Profit since publishing.

    Let's see whether they will continue making profits...
     
    #85     Dec 30, 2010
  6. Dr Who

    Dr Who

    I must admit, like some others, I'm not certain what you think you'll prove with this thread.
    OK, you may show that your chosen systems may not do as well as they claim but even if eventually (and you do realise that you're gonna have to do this for the long haul before you can come to a conclusion) they do lose, what have you proved ?
    Only that these systems may not have a longterm positive expectation. And even that may be in doubt because you'll probably not do this for long enough.
    But you'll certainly not be able to generalise this to 'every' mechanical system. And just because I use the word 'mechnical' that doesn't necessarily mean 'simple'.
    As human we are 'mechanical' too. We may have emotions but they are just based on 'mechanics' eventhough they look pretty complex.
    I have no doubt whatsoever that some traders out there have systems that are 'mechanical' but that are profitable.
    In fact I have......:)
     
    #86     Dec 30, 2010
  7. DT-waw

    DT-waw

    the purpose is to find the successful systems and learn how they make trades.
    i think its not wise to look at the past data only, but rather observe the systems for long enough time, day by day.

    At this point i have two observations:

    1. A system does not need >80% profitable trades in order to be ahead of others

    2. The most profitable systems do not trade often
     
    #87     Dec 30, 2010
  8. DT-waw

    DT-waw

    systems making more than 2 trades per day, tend to produce lower than average returns.
     
    #88     Dec 30, 2010
  9. DT-waw

    DT-waw

    #89     Jan 5, 2011
  10. DT-waw

    DT-waw