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Hi everyone,
I need to test one of my systems on the S&P index but my tick data only goes back to 7/97. I would like to get more data than that do do a more thorough test on it. I willing to exchange the system in return for an OMZ that contains nothing but S&P500 index tick by tick data, starting from, let's say the beginning of time ( if possible ;-)) until 7/97. I know that's a lot so I'm willing to give the system up (that way more than one person is testing to its robustness and validity...).
As an incentive, here's the result so far, using $30 commision, $125 slippage (Ii know this is high, but you can't hurt to have worst case scenario in back testing) and $12,500 in margin (this is also arbitrary). It is also unoptimized in anyway (what's the point when you don't have another set of data to compare it to?).
CyclicalMomntmVr51.1 SPX-60 min 06/26/97 - 03/20/98
Performance Summary: All Trades
Total net profit $ 25907.50 Open position P/L $ 0.00
Gross profit $ 47632.50 Gross loss $ -21725.00
Total # of trades 28 Percent profitable 46%
Number winning trades 13 Number losing trades 15
Largest winning trade $ 7295.00 Largest losing trade $ -2817.50
Average winning trade $ 3664.04 Average losing trade $ -1448.33
Ratio avg win/avg loss 2.53 Avg trade(win & loss) $ 925.27
Max consec. winners 3 Max consec. losers 4
Avg # bars in winners 19 Avg # bars in losers 5
Max intraday drawdown $ -7867.50
Profit factor 2.19 Max # contracts held 1
Account size required $ 15867.50 Return on account 163%
Performance Summary: Long Trades
Total net profit $ 37160.00 Open position P/L $ 0.00
Gross profit $ 43870.00 Gross loss $ -6710.00
Total # of trades 17 Percent profitable 65%
Number winning trades 11 Number losing trades 6
Largest winning trade $ 7295.00 Largest losing trade $ -2410.00
Average winning trade $ 3988.18 Average losing trade $ -1118.33
Ratio avg win/avg loss 3.57 Avg trade(win & loss) $ 2185.88
Max consec. winners 6 Max consec. losers 2
Avg # bars in winners 20 Avg # bars in losers 6
Max intraday drawdown $ -3430.00
Profit factor 6.54 Max # contracts held 1
Account size required $ 11430.00 Return on account 325%
Performance Summary: Short Trades
Total net profit $ -11252.50 Open position P/L $ 0.00
Gross profit $ 3762.50 Gross loss $ -15015.00
Total # of trades 11 Percent profitable 18%
Number winning trades 2 Number losing trades 9
Largest winning trade $ 1917.50 Largest losing trade $ -2817.50
Average winning trade $ 1881.25 Average losing trade $ -1668.33
Ratio avg win/avg loss 1.13 Avg trade(win & loss) $ -1022.95
Max consec. winners 2 Max consec. losers 6
Avg # bars in winners 12 Avg # bars in losers 5
Max intraday drawdown $ -11115.00
Profit factor 0.25 Max # contracts held 1
Account size required $ 19115.00 Return on account -59%
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