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Oil that is.
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Tom,
>
> Thanks.
>
> It's crazy thinking about times when we go to 24 hr clocks and
> different markets.
>
>
> Yes, I cut my teeth on USA, EOD, stocks, no leverage - what a great
> training ground.
>
> I understand the sleep thing - it is a very real part of trading
that
> we don't factor into our talks e.g. the UK/Euro is good for me
> because it opens around tea time (GMT+10 Australia).
> Asia is good for me because we are in the same timezone (basically).
> The USA is the midnight special so it is not so good sleepwise but
no
> trader can ignore the US, IMO.
>
> back to the futures?
>
> Just starting to nibble at commodity futures (interested because of
> volatility and 24 hr market).
>
> I am in a 24hr GMT chart and visually noticed definite slow
> volatility bands at certain times of the day e.g. near the end of
the
> 24hr day GMT (after the US closes/before Asia opens) etc so that is
> why I asked you about your time windows (I haven't checked any
> further just thought I would mention it to you).
>
> brian_z
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, <professor@> wrote:
> >
> > 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
> > To: amibroker@xxxxxxxxxxxxxxx
> > 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@xxxxxxxxxxxxxxx, <professor@> 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@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@>
> > >
> > > 
> > >
> > > 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@>
> > >
> > >
> > > > 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@>
> > 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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