What can I expect from my trading system?

Discussion in 'Strategy Building' started by jmmathieu, Aug 6, 2005.

  1. I've pretty much taught myself everything I know about trading, and I've put together a fairly basic, but good system. I backtest on a database of all US stocks (and ADRs) for the past fifteen years, though I do use filters. Anyway, what I would like to know is what is it reasonable to expect as far as percent profitable? My current system runs 66.4% profitable over the past fifteen years, and 86.1% profitable over the last year. I also realize a lot of people are more concerned with positive expectency, but for purposes of this question I'm more concerned with forecasting ability. So what are your best systems doing? I should also mention that I get at least ten trades a day out of my system. I'm pretty sure anyone can design a system that shows one trade a year that's profitable.
  2. Confirmation of the Obvious....................(1) Focus more on what your system has produced recently in the lower-volatility environment that we're in. What happened 2, 5, 10 or 15 years ago may not occur again for a long time. (2) Regarding the percentage-of-profitable-trades "number", of course, a higher number is better than a lower number as long as you aren't taking huge losses. You don't have a good system if you can be badly hurt by one single trade. (3) Numbers aside, is your method consistently profitable? You say it generates atleast 10 trades per day. Do you make money almost everyday? If so, you should make money week in and week out. It's at that point you know that the system is GOOD.
  3. you should get a copy of this months commoddities, stock and options magizine. there are some exellent articles on systems, trading and testing. good luck.
  4. Is it traders.com?

    I'm looking to subscribe to just one magazine,
    which magazine more specialized toward strategies
    and coding
  5. I don't have much of a problem making some money using equities with the system I have now. Lately it's worked very well, but I'm concerned also about how it will work if the market turns down. In one month I had 72 postive trades and no negative trades, but when I backtest there are periods that my system goes negative, and I have had some drawdowns. Overall I haven't been able to create a system that is consistently 70% positive after commissions and slippage. I should say that the reason I am looking to make this number as large as possible is so that I can use it to help with my options trading. But I'm also interested in what percent profitable trades other peoples systems generate so that I know what a reasonable level to be working towards would be. I know the basics for sure, but I'd rather hear other peoples personal experiences rather than what I read out of some book or website. Especially if their system is mechanical. Right now I'm doing a lot of discretionary trading and that takes a lot of research. Thanks for the replies.
  6. The lower your % profits, the higher your win to loss should be.

    I average 2 to 3 trades a month.

    48% profitable.

    6.7 to 1 - win to loss...

    Average over the past 5 years... live trading.

    Don't go too much lower than 50% profitible trades as emotionally it is tough to take 5 or 10 straight losers.

    Just my opinon
  7. JackR


    The magazine referenced is SFO - the Official Journal for Personal Investing in Stocks, Futures, and Options www.sfomag.com

    It is, in my opinion, normally an insipid magazine with lots of fluff and little substance. However, in the last month or two they have produced some fairly decent articles. I think you can still get it for free.

    Some other multimarket magazines are:

    Technical Analysis of Stocks and Commodities www.traders.com

    Active Trader - Short-term Trading in the Financial Markets www.activetradermag.com

    Both are good. Neither is free but TASC does offer substantial discounts for longer-term subscriptions which AT does not. TASC has been around forever and has had many of the big names in technical analysis contribute articles.