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Re:Purely mechanical



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>Does anyone have a system that is automatic and they never need to make
>a judgment?  I am just curious.  I use judgment going in and out.   I
>average about 55% to 56% winners long term trading options.  Should that
>number be higher?  How do futures traders do percent wise.
>
>Jimmy

I use a fairly automatic system but I don't consider any system 100% mechanical because
-how did you decide how much money to fund the system
-how did you decide what markets to trade
-how did you decide how much to risk per trade
-how did you decide how many markets you will trade
-how did you decide to go LONG only or long and SHORT
these things are generally not determined by a mechanical system and therefore there is some judgement in all systems in my opinion

Here is my break-out system (just the long only portion). I just test it in TS, i trade it mainly with by hand with Excel

input: len(20), bank(500000), risk(.02);

Vars:Mp(0), NewBank(0);
Mp=MarketPosition;
Value0=Highest(High,len);
NewBank=netprofit+bank;
Value3 = (Highest(High,len) - Lowest(Low,len));
Value4 = (NewBank*risk) / (BigPointValue*Value3);
If Value4 <1 then Value4 = 0;

Buy Value4 contracts at Value0 Stop;

  If Mp=1 and Mp[1]=0  then
    Value1=(Highest(High[1],len) - Lowest(Low[1],len)); 


My research leads me to believe this is the same basic system used by the turtles, Dennis, Eckhardt, Seykota, and others.

I am not worried about anyone copying because
1. none of you believe me  :)
2. You need at least $300,000 to trade futures if you are going to risk 1% per trade
3. Most people can't watch 20% of their money disappear
4. It is very difficult to test a system on TS that uses a common bank so it is impossible to see bankroll growth without doing things by hand and most people are too lazy to spend 100-500 hours testing a system by hand to see the true results

My testing shows this system is a 1.8 average win to average loss with a 43% win rate

your thoughts?

Andy