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Re: [amibroker] Re: Anyone actually making money?



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Hi professor,

Thanks for sharing your results!  Those are incredible results, indeeed!  But, if I understand correctly, you trade 3 bars/day, right?  You split your Daily data in three, and then you act on this data.  But 23 trades is not a lot, and did you try this in OOS?   Was it as good?

I might be too skeptical, but I just have toruble to believe you can achieve 300% profit with 23 trades with 3 bars/daily consistantly.  Or am I missing something?

Anyway if it works, this is a proof that something can work!  

BTW, where do you find the time to sleep?  :-P

Thanks!

Louis



2008/7/31 <professor@xxxxxxxxxxxxxx>



Louis,
 
I tried off and on for a year to set up my auto trading. I couldn't get it to trade my program the way that I wanted. I asked Barry to write a program. He did a great job. It works better than I expected. I have traded stocks, options, and futures. I just like gold futures because they are so volatile. I trade long and short. I just make such a good profit on gold futures that I don't need anything else. I trade about 5 to 10 times a month. First, I backtested. Then I traded manually. Now, I am auto trading. My trading results are very close to my backtesting results because I only place a trade at the time that my backtest would trade which is 4:30am, 5:15pm, and midnight. At least, that is what I think is happening.
Here is my backtest results.

Statistics
  All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 31029.60 19807.60 21222.00
Net Profit 21029.60 9807.60 11222.00
Net Profit % 210.30 % 98.08 % 112.22 %
Exposure % 1.41 % 0.95 % 0.46 %
Net Risk Adjusted Return % 14897.28 % 10305.81 % 24396.51 %
Annual Return % 1053.77 % 337.61 % 407.90 %
Risk Adjusted Return % 74648.77 % 35475.95 % 88677.77 %

All trades 23 13 (56.52 %) 10 (43.48 %)
 Avg. Profit/Loss 914.33 754.43 1122.20
 Avg. Profit/Loss % 914.33 % 754.43 % 1122.20 %
 Avg. Bars Held 9.74 9.62 9.90

Winners 13 (56.52 %) 7 (30.43 %) 6 (26.09 %)
 Total Profit 29437.60 14846.40 14591.20
 Avg. Profit 2264.43 2120.91 2431.87
 Avg. Profit % 2264.43 % 2120.91 % 2431.87 %
 Avg. Bars Held 12.23 12.86 11.50
 Max. Consecutive 6 3 3
 Largest win 8455.20 3355.20 8455.20
 # bars in largest win 11 9 11

Losers 10 (43.48 %) 6 (26.09 %) 4 (17.39 %)
 Total Loss -8408.00 -5038.80 -3369.20
 Avg. Loss -840.80 -839.80 -842.30
 Avg. Loss % -840.80 % -839.80 % -842.30 %
 Avg. Bars Held 6.50 5.83 7.50
 Max. Consecutive 2 2 1
 Largest loss -1594.80 -1594.80 -1424.80
 # bars in largest loss 18 18 5

Max. trade drawdown -3050.00 -2760.00 -3050.00
Max. trade % drawdown -92.58 % -92.58 % -74.40 %
Max. system drawdown -3894.40 -4944.80 -4814.40
Max. system % drawdown -22.73 % -22.29 % -25.09 %
Recovery Factor 5.40 1.98 2.33
CAR/MaxDD 46.37 15.15 16.26
RAR/MaxDD 3284.68 1591.89 3534.35
Profit Factor 3.50 2.95 4.33
Payoff Ratio 2.69 2.53 2.89
Standard Error 2233.04 1275.82 2009.76
Risk-Reward Ratio 22.13 21.75 10.78
Ulcer Index 6.33 7.16 8.59
Ulcer Performance Index 165.67 46.41 46.87
Sharpe Ratio of trades 3.71 3.94 3.72
K-Ratio 0.1626 0.1598 0.0792
 
I hope that this answers some of your questions.
Tom
 
 
 
 
 
----- Original Message -----
Sent: Thursday, July 31, 2008 10:17 AM
Subject: Re: [amibroker] Re: Anyone actually making money?

Hi professor,

Is there a particular reason why you chose futures over stocks? 

And why do you use IB automatic trading if trading delay is not a problem?  It seemed to me that the more volatile a market is, the faster one must buy/sell. 

I'm still thinking about trying IB automatic trading, but it just seems like a hell lot of trouble to learn how to use it.  Was it easy for you?

BTW, you said Barry helped you to write the code.  This must help! ;-)

Louis



2008/7/31 <professor@xxxxxxxxxxxxxx>



Louis,
 
Since I only make trades 3 specific times a day, I don't worry about the trade delay. I do use IB automatic trading. I have just finished testing it. I would watch my auto trade and then trade it manually. Now I am switching to auto trading completely. I had Barry write the trading program for me. It seems to work great. However, my trading part may have a problem which prevents a trade occasionally, but it doesn't prevent my trading from being very profitable. I only trade gold futures which as you know as very volitable.
 
Tom
----- Original Message -----
From: Louis P.
Sent: Thursday, July 31, 2008 9:48 AM
Subject: Re: [amibroker] Re: Anyone actually making money?

To Tom: Do you use IB automatic trading?  Is it possible to test such feature?  I find that intraday trade delay is a major reason why I don't make any money.  If I was faster I could do better.

Thanks,

Louis

2008/7/31 <professor@xxxxxxxxxxxxxx>

> Is it not obvious to you that some people�s personality calls for a

trading system, while others personality calls for a discretionary
approach.

I think that is the best thing that I've read on this thread!
 
I agree. I have found that I am too emotional to try day trading because I make emotional decisions. That is why I developed an EOD program to trade. When that was very profitable,  I had my EOD program converted to a real time program and auto trade. I use a dat/night chart and only trade 3 times a day. Now I just watch to make sure the auto trade is working correctly.
 
Tom
----- Original Message -----
Sent: Thursday, July 31, 2008 7:31 AM
Subject: SV: [amibroker] Re: Anyone actually making money?

--- In amibroker@xxxxxxxxxxxxxxx, "Jan Malmberg" <jan@xxx> wrote:

> Is it not obvious to you that some people�s personality calls for a
trading system, while others personality calls for a discretionary
approach.

I think that is the best thing that I've read on this thread!

Tuzo




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