Trading Edge

I think that if mechanical system is profitable in testing, that is enough to use idea behind it. However I was always trying to improve winning percentage. I do not know ideas behind any of these systems presented here but i know that improvement is very often just a simple technique( which is usually difficult to code ).
Walter

 

PKJR, the results look good. Only red flag I noticed was the winning and losing streak numbers are indicating dependency in the trades. If the winning % were 40%, then there should have been at least one occurrance of 10 losses in a row ((1-.4)^10)*253 = 1.52. The streaks are indicating a 54% win rate
((1-.54)^7)*253 = 1.1. I've never seen dependency in the SP market, so my hats off to you. Did you use backadjusted continuous futures to test? What was the test period?

 

How do you account for slippage?

Be very careful when testing a system on SP then applying it to ES. The nature of the differences in tick increment and open outcry vs. electronic trading can easily result in half to full handle on S&P depending on your time frame and what type of methods you are trading. E.g. a breakout method using SP data is always suspect because between the time the electronic quote arrives and when you get order in to the pit via open outcry it can easily move against you. ES is more reliable for testing and you can take 1 tick each way for slippage.

 

I just used continues contract as supplied by TradeStation (@ES.D)the period was exatly one year from 11/19/01 till today..after I posted this message I was curious how the system would perform when I optimize parametrs. I optimized only inputs for stops..the test run for little bit more than 3 hrs and the best net profit (minus com$) is around $39k so not much difference there..% profit is little bit higher and $win/loss is higher

-pkjr

 

just to add: the tests were done on ES not SP

 

When did you net 90+ points on 1 intraday trade? The largest intraday range I could find was 75 pts. on 7/24/2002.

 

This is the real edge in trading, if you don't have this you could get a system from Jesus and still muck it up and nobody gets it in three easy lessons.

 

the system went short on 7/17 and covered 7/24..in some situations it will take positions 'home'

 

pkjr, can you post the equity curve? What is the order technique, stops or market orders?

Good trading.

 

sure - the file is attached..includes today's open trade (long)