Another thing you might want to look at is simplicity of the system. The more complex and more variables, the more likely that it is too closely fit to current market conditions. Also, even though backtesting isnt as important as real-time results, is it as consistent with profits in different types of markets? How does it do before this last 5 month period
When a system has several years of profitability in real time with real money, real fills and real slippage, in varied market conditions, AND has weathered at least a few 3 sigma events, then it is worth something. Until then, at least in my opinion, it is worth hypothetical money. Jessie
Thunderdog... with regards to drawdown, the maximum thus far has been a little under 700.00 per contract (9/2/03), which it overcame the very next week with a $1400 profit/ per contract. The system does exist and this post was more of a "Proud father" post than anything else. Over the last 3 years I've endured much ridicule as I wrote it, but it turns out to be quite simple in the end and I believe it will keep producing for many years to come, but that remains to be seen. It is not based on any TS strategys or indicators, but ones developed myself. As to long and short sides, it has been slightly biased to the long side $ wise (12,000 to 9000) and trade wise (700 to 550) over the last 5 months, which is to be expected since the market has been in an uptrend. When I can program it to get me a beer at 4:15 everyday it will be a complete success.
5 months was all the backtesting data I have stored, as several times the data cache has gotten corrupted and had to be deleted. I try to keep an up to date backup, but always seem to be behind when I need it. I'd like to get more ES tick data if anyone has it.
I is pretty dumb in the math department. Let's go through the figures. $21,000 profit / 1250 trades = $16.8 per trade. 1250 / 5 months = 11.36 trades a day. How many contracts are you trading, because you mention $1400 profit/ per contract? I don't want to know about your pretend system, because I know that you have not traded it "live" on the ES to send money directly to the arb boys in the pit and your broker. I just want to know who is your broker so that I can buy stock in their company. By the way, congrats on your hard work for designing a system. Toughest job going.
You say you have been at this for over two years but only have recent data of 5 months? Current days' data not loaded just reinforces the fact that the system has not been traded "live." The boys in the pit and your broker are anxious to get going collecting money to buy their boats out of season. Get your account open soon, please. Does your system use stops? Are they hard coded or are you using the canned TS stuff? How much are you allowing for slippage/commissions? Don't worry about moving to a tax free state, an island would be the route that you want to pursue....errrr...your lawyer will pursue for you.
Let me know what you find out - I average over 7 pts daily for nearly 5 yrs. What is a method that does a million plus a year worth??
An investment that generates over a million a year in profit is worth over a million x 3. That's pretty much the standard when assessing an investments value. Recover your investment in 3 years and then reap the profits. I'm fairly sure that no one would pay 3 million for any stock trading system, so I'll have to be content just reaping the profits. Now at 20 profitable weeks (1113 this week) vs. 1 losing week. Naysayers need not reply... I really don't care.
Are you sure that you can't sell 3 million copies at the $.99 stores? Don't give up so soon. There is still EBay. What are you going to use to ramp up your # of contracts per trade? $1113 for the week gross is not exactly getting to a million a year, for a system that you are not trading in real time.