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dbecker wrote
> > Has anybody tried the ETS Tradestation system on the S and P?
hans esser wrote:
> I asked similar few weeks ago - didnt get any positive reply, but 1
> negative and 1 who said ETS is more a set of indicators and NO fixed
> system - therefore I wonder how a broker (LIND just offered that to
> me aswell) or FUTURES TRUTH do evaluate that.......
I have been using ETS for about 6 months now to trade options on the S&P
100, with mixed results, but overall making money.
It IS a system, in my opinion. It renders signals based on
predetermined price patterns and confirmation with a trend, which is a
proprietary indicator included in the package. It can be used with any
market and timeframe -- the author states that the longer the timeframe,
the more the risk. I currently trade signals based on a 60-minute
timeframe.
February was hell because of whipsaws, and I got tired of being beat up
and didn't trade in early March. Had I taken the trades, I would have
had a quite successful March, and covered all of my February incidental
losses. My system report from the system for 10/1/97 through today are
shown below.
Out of fairness, my problems have not been with the system, generally,
but with poor execution and slippage. The system is extremely
responsive to changing market conditions, and timing the execution is
somewhat of an art, since the S&P100 options prices move quite quickly.
The system has its own proprietary (and quite flexible) stops and
targets, and they must be followed religiously.
The author offers an advisory service which was $150/mo at the time I
purchased the system, and it was an invaluable tool in learning to trade
the system and in confirming conformance with the approach the vendor
prescribes. I'd recommend trying the advisory service first to see if
you're going to be able to adopt the approach prior to making the $2,500
plunge for the software. Like anything else, trading the system is a
commitment, you shouldn't make emotional decisions about its signals,
and success requires extreme discipline. But that's no different than
making a decision to trade any system.
With respect to Hans' comment about a bunch of indicators, I don't know
who responded, but that was my experience with Brenner's CycleTrader.
Now THAT is nothing but indicators. And despite the fact that I've been
e-mailed by one user who's quite satisfied, he developed his own trading
"style" based on the CycleTrader indicators. I wouldn't recommend the
system -- you can't backtest for one thing, and I really want something
to alert me to buy and sell, which it just doesn't do.
I hope this is helpful in setting the record straight.
Note that these are MY results, based on the parameters I have chosen.
Your results might differ. The other thing to remember is that I trade
the options, based on signals derived from the index itself, so these
are not actually results from trading the instruments themselves.
_ETS ST EXPERT 3.02 OEX-60 min 10/01/97 - 03/23/98
Performance Summary: All Trades
Total net profit $ 102.73 Open position P/L $ 0.00
Gross profit $ 180.38 Gross loss $ -77.65
Total # of trades 55 Percent profitable 53%
Number winning trades 29 Number losing trades 26
Largest winning trade $ 16.68 Largest losing trade $ -8.82
Average winning trade $ 6.22 Average losing trade $ -2.99
Ratio avg win/avg loss 2.08 Avg trade(win & loss) $ 1.87
Max consec. winners 7 Max consec. losers 5
Avg # bars in winners 18 Avg # bars in losers 11
Max intraday drawdown $ -20.83
Profit factor 2.32 Max # contracts held 8
Account size required $ 20.83 Return on account 493%
Performance Summary: Long Trades
Total net profit $ 57.74 Open position P/L $ 0.00
Gross profit $ 104.00 Gross loss $ -46.26
Total # of trades 36 Percent profitable 53%
Number winning trades 19 Number losing trades 17
Largest winning trade $ 15.93 Largest losing trade $ -8.10
Average winning trade $ 5.47 Average losing trade $ -2.72
Ratio avg win/avg loss 2.01 Avg trade(win & loss) $ 1.60
Max consec. winners 6 Max consec. losers 6
Avg # bars in winners 21 Avg # bars in losers 11
Max intraday drawdown $ -19.50
Profit factor 2.25 Max # contracts held 8
Account size required $ 19.50 Return on account 296%
Performance Summary: Short Trades
Total net profit $ 44.99 Open position P/L $ 0.00
Gross profit $ 76.38 Gross loss $ -31.39
Total # of trades 19 Percent profitable 53%
Number winning trades 10 Number losing trades 9
Largest winning trade $ 16.68 Largest losing trade $ -8.82
Average winning trade $ 7.64 Average losing trade $ -3.49
Ratio avg win/avg loss 2.19 Avg trade(win & loss) $ 2.37
Max consec. winners 3 Max consec. losers 3
Avg # bars in winners 13 Avg # bars in losers 11
Max intraday drawdown $ -12.85
Profit factor 2.43 Max # contracts held 6
Account size required $ 12.85 Return on account 350%
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