|
PureBytes Links
Trading Reference Links
|
I disagree strongly.
----------
<SNIP>
> If a system is being constructed to make trading automatic because the
person,
> "can't" then this is a reflection to me of how he has constructed his own
mind.
>How can a successful system trade where the creater of it cannot?
<Snip>
Here's one of my system I created over the last several weeks. It uses a
$30 commision,
$125 slippage and $12,500 margin. NO stops. Of course, this is all
hypothetical. NDX's big point value changed from $1 to $100 so it can act
as a proxy for a continous futures contract.
CyclicalMomntmVr28.1 NDX-60 min 10/02/95 - 03/16/98
Performance Summary: All Trades
Total net profit $ 53713.00 Open position P/L $ 0.00
Gross profit $ 65917.00 Gross loss $ -12204.00
Total # of trades 56 Percent profitable 59%
Number winning trades 33 Number losing trades 23
Largest winning trade $ 8860.00 Largest losing trade $ -1496.00
Average winning trade $ 1997.48 Average losing trade $ -530.61
Ratio avg win/avg loss 3.76 Avg trade(win & loss) $ 959.16
Max consec. winners 10 Max consec. losers 5
Avg # bars in winners 18 Avg # bars in losers 6
Max intraday drawdown $ -3387.00
Profit factor 5.40 Max # contracts held 1
Account size required $ 15887.00 Return on account 338%
Performance Summary: Long Trades
Total net profit $ 30846.00 Open position P/L $ 0.00
Gross profit $ 35485.00 Gross loss $ -4639.00
Total # of trades 28 Percent profitable 71%
Number winning trades 20 Number losing trades 8
Largest winning trade $ 6845.00 Largest losing trade $ -1496.00
Average winning trade $ 1774.25 Average losing trade $ -579.88
Ratio avg win/avg loss 3.06 Avg trade(win & loss) $ 1101.64
Max consec. winners 9 Max consec. losers 4
Avg # bars in winners 19 Avg # bars in losers 7
Max intraday drawdown $ -2736.00
Profit factor 7.65 Max # contracts held 1
Account size required $ 15236.00 Return on account 202%
Performance Summary: Short Trades
Total net profit $ 22867.00 Open position P/L $ 0.00
Gross profit $ 30432.00 Gross loss $ -7565.00
Total # of trades 28 Percent profitable 46%
Number winning trades 13 Number losing trades 15
Largest winning trade $ 8860.00 Largest losing trade $ -1493.00
Average winning trade $ 2340.92 Average losing trade $ -504.33
Ratio avg win/avg loss 4.64 Avg trade(win & loss) $ 816.68
Max consec. winners 5 Max consec. losers 4
Avg # bars in winners 16 Avg # bars in losers 6
Max intraday drawdown $ -3502.00
Profit factor 4.02 Max # contracts held 1
Account size required $ 16002.00 Return on account 143%
CyclicalMomntmVr28.1 NDX-60 min 10/02/95 - 03/16/98
Date Time Type Cnts Price Signal Name Entry P/L Cumulative
10/25/95 10:30am Sell 1 589.21
10/27/95 10:30am SExit 1 585.69 $ 197.00 $ 197.00
11/09/95 10:30am Buy 1 609.65
11/13/95 10:30am LExit 1 614.92 $ 372.00 $ 569.00
11/22/95 3:30pm Sell 1 570.03
11/27/95 10:30am SExit 1 583.02 $ -1454.00 $ -885.00
12/05/95 1:30pm Sell 1 594.74
12/06/95 4:15pm SExit 1 589.98 $ 321.00 $ -564.00
12/12/95 10:30am Sell 1 589.22
12/13/95 1:30pm SExit 1 589.40 $ -173.00 $ -737.00
12/14/95 11:30am Sell 1 578.45
12/18/95 4:15pm SExit 1 548.04 $ 2886.00 $ 2149.00
12/21/95 10:30am Sell 1 575.66
12/21/95 11:30am SExit 1 578.54 $ -443.00 $ 1706.00
01/10/96 2:30pm Buy 1 535.50
01/15/96 10:30am LExit 1 549.38 $ 1233.00 $ 2939.00
02/12/96 12:30pm Buy 1 626.97
02/12/96 12:30pm LExit 1 626.97 $ -155.00 $ 2784.00
03/11/96 12:30pm Buy 1 604.32
03/12/96 12:30pm LExit 1 597.34 $ -853.00 $ 1931.00
03/12/96 12:30pm Sell 1 597.34
03/12/96 4:15pm SExit 1 599.02 $ -323.00 $ 1608.00
04/10/96 10:30am Buy 1 617.32
04/11/96 10:30am LExit 1 603.91 $ -1496.00 $ 112.00
05/06/96 2:30pm Buy 1 660.93
05/07/96 3:30pm LExit 1 661.71 $ -77.00 $ 35.00
07/16/96 4:15pm Buy 1 614.25
07/19/96 12:30pm LExit 1 628.62 $ 1282.00 $ 1317.00
07/19/96 12:30pm Sell 1 628.62
07/19/96 4:15pm SExit 1 633.05 $ -598.00 $ 719.00
08/15/96 11:30am Buy 1 675.14
08/15/96 12:30pm LExit 1 677.45 $ 76.00 $ 795.00
08/29/96 10:30am Sell 1 676.37
08/30/96 4:15pm SExit 1 663.54 $ 1128.00 $ 1923.00
09/03/96 2:30pm Buy 1 667.61
09/05/96 10:30am LExit 1 664.61 $ -455.00 $ 1468.00
09/05/96 10:30am Sell 1 664.61
09/06/96 12:30pm SExit 1 663.34 $ -28.00 $ 1440.00
09/06/96 12:30pm Buy 1 663.34
09/23/96 11:30am LExit 1 733.34 $ 6845.00 $ 8285.00
09/27/96 3:30pm Buy 1 745.05
09/30/96 3:30pm LExit 1 741.72 $ -488.00 $ 7797.00
10/11/96 11:30am Buy 1 760.84
10/16/96 10:30am LExit 1 767.76 $ 537.00 $ 8334.00
12/17/96 2:30pm Buy 1 810.94
12/20/96 12:30pm LExit 1 834.38 $ 2189.00 $ 10523.00
12/20/96 12:30pm Sell 1 834.38
12/24/96 1:30pm SExit 1 835.40 $ -257.00 $ 10266.00
12/27/96 11:30am Sell 1 838.21
12/27/96 12:30pm SExit 1 840.52 $ -386.00 $ 9880.00
01/17/97 10:30am Buy 1 882.83
01/24/97 10:30am LExit 1 912.14 $ 2776.00 $ 12656.00
01/30/97 10:30am Buy 1 903.94
02/03/97 2:30pm LExit 1 920.11 $ 1462.00 $ 14118.00
02/10/97 11:30am Sell 1 884.34
02/12/97 10:30am SExit 1 879.50 $ 329.00 $ 14447.00
02/14/97 12:30pm Sell 1 898.90
02/18/97 4:15pm SExit 1 897.53 $ -18.00 $ 14429.00
03/03/97 3:30pm Buy 1 854.92
03/05/97 1:30pm LExit 1 863.17 $ 670.00 $ 15099.00
03/10/97 1:30pm Buy 1 846.29
03/12/97 10:30am LExit 1 842.46 $ -538.00 $ 14561.00
03/12/97 10:30am Sell 1 842.46
03/14/97 11:30am SExit 1 846.78 $ -587.00 $ 13974.00
03/18/97 4:15pm Sell 1 827.57
03/20/97 10:30am SExit 1 805.95 $ 2007.00 $ 15981.00
03/27/97 2:30pm Sell 1 830.84
04/01/97 4:15pm SExit 1 796.79 $ 3250.00 $ 19231.00
04/15/97 4:15pm Sell 1 798.00
04/17/97 10:30am SExit 1 811.38 $ -1493.00 $ 17738.00
06/18/97 12:30pm Sell 1 972.14
06/19/97 12:30pm SExit 1 979.98 $ -939.00 $ 16799.00
06/24/97 2:30pm Buy 1 975.06
06/25/97 4:15pm LExit 1 979.22 $ 261.00 $ 17060.00
08/29/97 1:30pm Buy 1 1078.30
08/29/97 4:15pm LExit 1 1074.08 $ -577.00 $ 16483.00
09/15/97 2:30pm Sell 1 1091.09
09/16/97 12:30pm SExit 1 1095.38 $ -584.00 $ 15899.00
09/16/97 12:30pm Buy 1 1095.38
09/18/97 10:30am LExit 1 1117.40 $ 2047.00 $ 17946.00
09/18/97 10:30am Sell 1 1117.40
09/18/97 10:30am SExit 1 1117.40 $ -155.00 $ 17791.00
10/02/97 11:30am Buy 1 1108.61
10/06/97 12:30pm LExit 1 1127.14 $ 1698.00 $ 19489.00
10/22/97 2:30pm Sell 1 1101.54
10/28/97 12:30pm SExit 1 1011.39 $ 8860.00 $ 28349.00
10/28/97 12:30pm Buy 1 1011.39
10/29/97 4:15pm LExit 1 1030.08 $ 1714.00 $ 30063.00
10/29/97 4:15pm Sell 1 1030.08
10/31/97 1:30pm SExit 1 1017.28 $ 1125.00 $ 31188.00
10/31/97 1:30pm Buy 1 1017.28
11/06/97 10:30am LExit 1 1040.29 $ 2146.00 $ 33334.00
11/10/97 3:30pm Sell 1 1014.79
11/13/97 3:30pm SExit 1 1000.08 $ 1316.00 $ 34650.00
11/13/97 3:30pm Buy 1 1000.08
11/18/97 12:30pm LExit 1 1041.04 $ 3941.00 $ 38591.00
11/18/97 12:30pm Sell 1 1041.04
11/19/97 4:15pm SExit 1 1039.06 $ 43.00 $ 38634.00
11/21/97 2:30pm Sell 1 1053.01
11/25/97 2:30pm SExit 1 1037.32 $ 1414.00 $ 40048.00
11/28/97 10:30am Buy 1 1049.37
12/02/97 12:30pm LExit 1 1059.72 $ 880.00 $ 40928.00
12/02/97 12:30pm Sell 1 1059.72
12/03/97 3:30pm SExit 1 1059.44 $ -127.00 $ 40801.00
12/05/97 11:30am Buy 1 1062.82
12/09/97 11:30am LExit 1 1065.24 $ 87.00 $ 40888.00
12/09/97 11:30am Sell 1 1065.24
12/15/97 3:30pm SExit 1 988.13 $ 7556.00 $ 48444.00
12/26/97 1:30pm Buy 1 954.07
12/31/97 4:15pm LExit 1 990.83 $ 3521.00 $ 51965.00
02/02/98 10:30am Buy 1 1094.98
02/05/98 3:30pm LExit 1 1114.01 $ 1748.00 $ 53713.00
|