|
PureBytes Links
Trading Reference Links
|
>Date: Wed, 12 May 1999 12:34:32 -0500
>From: "James H. Snowden" <jsnowden@xxxxxxxx>
>To: "." <omega-list@xxxxxxxxxx>
>Subject: Re:Purely mechanical
>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.
>
I slowly came to realize that I needed something more to go on than my
"judgement"!!! Instead, how about an exact set of statistics to go on?
There are many ways to trade. I found (naturally) that the most profitable
ways were NOT the most comfortable. By any means. So my system has the
stops a mile away. Plays the intermediate-term swings (far more profitable
overall than daytrading (churning) attempts). Trades last anywhere from a
couple days to several weeks or more.
Also I found it's REALLY important to get the right position size. Typical
single-contract simulations (featured by many so-called experts, including
RINA SYSTEMS) are worthless and dangerous for determing the realistic
drawdown profile. For example, the volatility several years ago (in the SP)
was about 1/10 of what is is now, so a realistic simulation would trade 10
times the contracts then as compared to now.
My system is set up for stock index futures. It uses multiple data sources
available for the stock market, something that's just not there for the
normal commodities.
PS. somebody was asking the other day about allocating money - cutting back
in the markets where the system doesn't work so well. My method is to trade
ONLY the very best things I can find! All you need is one or two things
that work. Trying to obtain diversification by trading markets (or systems)
where things don't work so well seems like the wrong way to go.
It's worth noting that nobody but me seems to be able to trade this system.
Certainly not my daytrading friend. He tries, but can never ride the trade
properly. Instead he'll spend several weeks daytrading, making a couple
hundred bucks, the losing a couple hundred, while he watches me capture the
big swing. I guess I'm fortunate in that my head is HARD AS A ROCK!
Here's a report simulating (approximately) 15% of a $70,000 starting equity
for each trade (no compounding). Commission is set for $20, margin and
slippage are zero:
PK CP Master SPBUILD2.TX-Daily 10/11/84 - 12/31/98
Performance Summary: All Trades
Total net profit $ 749189.50 Open position P/L $ 0.00
Gross profit $ 833876.00 Gross loss $ -84686.50
Total # of trades 254 Percent profitable 81%
Number winning trades 206 Number losing trades 48
Largest winning trade $ 17977.50 Largest losing trade $ -7734.00
Average winning trade $ 4047.94 Average losing trade $ -1764.30
Ratio avg win/avg loss 2.29 Avg trade(win & loss) $ 2949.56
Max consec. winners 35 Max consec. losers 3
Avg # bars in winners 11 Avg # bars in losers 7
Max intraday drawdown $ -15800.00
Profit factor 9.85 Max # contracts held 79
Account size required $ 15800.00 Return on account 4742%
|