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Louis,
I do trade 3 bars a day using hourly data. I tried
different time frames and they were all profitable except anything under 15
minutes. I would get whipsawed. My EOD trading showed an annual profit of 60.10%
so I was very happy. I then found that a daily chart using hourly stats showed a
better profit so I had a program written to do that.
I accidently used a day/night chart when I
backtested and the results were amazing. So I worked on duplicating the
backtesting procedure when I traded. I had Barry write me an autotrading program
so I didn't have to get up at 4:30am. I have an alert sent to me on my cell
phone. It is on a special email that only gets alerts. Now, I can sleep in and
when I get a signal the cell rings and wakes me up.
I also take my laptop with me and when I get an
alert on my cell, I use my laptop to access my home computer to check on the
trade.
I love this auto trading.
Tom
----- Original Message -----
Sent: Thursday, July 31, 2008 11:30
AM
Subject: Re: [amibroker] Re: Anyone
actually making money?
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@xxxxxxxxx1.biz>
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.
| |
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@xxxxxxxxx1.biz>
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 -----
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@xxxxxxxxx1.biz>
> 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?
> 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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