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@xxxxxxxxxps.com,
<professor@x..> 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@xxxxxxxxxps.com
> 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@> 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@>
> >
> > 
> >
> > 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@>
> >
> >
> > > 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
> >
>