What is acceptable $ per contract??

Discussion in 'Index Futures' started by EqtTrdr, Aug 24, 2006.

  1. Trying my hand at automated system development here....

    Using ES I was able to code a system that profits $10,500 per contract avg. for each 12month period for the last 5 years.

    $10,500 per year per contract is after commish and slippage are factored into the mix.

    How does this rate against other systems on ES?

    Is this even worth trading?

    thanks for any input here
  2. I know it's a profitable system and I ain't be sharin'

    actually the system is readily available for free on the internet, but I made some minor modifications.

    It only avg .9pts per trade (winners-losers/#)and only trades ES 15-20 times a month..

    Boring as hell and not much gain .9pts on ES...

    just looking for some feedback as this really tests my patience having to not miss a trade and sit on my hands for most of the day :(
  3. Well for a comparsion, the best automated strategy backtested over 5 years for the ES, 1 contract at a time, I have come up with would have profited $105,000 over the 5 year period so that is, around 21K a year....

    Forward testing the numbers hold up, has a few wild draw downs that makes the method unacceptable for me so I chose not to trade it....

    10k a year is not bad.. if the draw downs are acceptable to you, I would forward test it on a simulation account for a few weeks/months, if results hold up, why not trade it.....

    Good luck
  4. thanks, that is exactly what I was looking for...

    much appreciated :)

  5. They all make money until you have to trade em
  6. either way..

    I was just looking for a comparison value per contract so I know if at least I am headed in the right direction or not, and how close I am to the "norm"

  7. Divide the result (subtract commission and slippage please) by 3x the margin on a contract. If the result is attractive its worth giving it a go.

    You might want to look at intraday charts on a smaller timescale around the time of its entries and exits to see how realistic the assumptions are before you put cash on it.
  8. What's the drawdown?
  9. The normal questions are:

    1) What's the win rate (50%? 70%?)
    2) What's the average win amount divided by average loss amount (reward/risk ratio)
    3) What's the max drawdown?

    Tracking MAE and MFE for each trade is very helpful, as it helps you decide where to put SL and TP levels.
  10. appreciate all the great suggestions..

    thanks again :)
    #10     Aug 24, 2006