Re: [amibroker] Re: Anyone actually making money?, AmiBroker Email List Archive

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 | Charts | Trades | Formula | Settings | Symbols

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 -----

From: Louis P.

To: amibroker@xxxxxxxxxxxxxxx

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.

To: amibroker@xxxxxxxxxxxxxxx

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 -----

From: tuzo_wilson

To: amibroker@xxxxxxxxxxxxxxx

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