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



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The times are PST and I use them because the backtest seems to end a bar at the end of the day so I use midnight. The market opens at 4:30am (now at 5:30am) but I don't want to change things. Then the market closes for I think 45 minutes at 5:15pm. That is the time that I decided to use. When I tested other times to make it more convenient for me. Like 9am, 3pm, and 10pm so I could get more sleep, it didn't work as well.
 
Remember that I started doing EOD trading. Then I did an daily chart with an hourly trading period. All were profitable. Then by mistake, I used a day/night chart and my profit doubled so I use that. Then I made my auto trading match my backtesting buys. I say that I did it, but actually, Barry did all the programming of my auto trading.
 
I am going to use it on oil futures also. I still have to work on it to see if I can get it more profitable so it will be worth the effort to trade it.
 
Tom
----- Original Message -----
From: brian_z111
Sent: Thursday, July 31, 2008 6:14 PM
Subject: [amibroker] Re: Anyone actually making money?

Hello Tom,

Thanks for your very candid posts.

Is that US Eastern Time.
If so that puts your trading windows in US afterhours?

Any hints as to why you like those windows (no offence if you don't
answer).

brian_z

--- In amibroker@xxxxxxxxxps.com, <professor@x..> wrote:
>
> 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@xxxxxxxxxps.com
> 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@x..>
>
> 
>
> 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@xxxxxxxxxps.com
> 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@x..>
>
>
> > 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@xxxxxxxxxps.com
> Sent: Thursday, July 31, 2008 7:31 AM
> Subject: SV: [amibroker] Re: Anyone actually making money?
>
>
>
> --- In amibroker@xxxxxxxxxps.com, "Jan Malmberg" <jan@>
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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