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If you are anything like me you spend a lot (and I mean a lot) of time
working with TradeStation to find profitable strategies and test ideas (from
books/magazines etc.).
So more than a year ago I started to develop a system to trade the ND (or
NQ) nasdaq futures.
It took me a YEAR to find a great system, and not only by statistics but by
REAL trading.
I took the experience from my real trading to further adjust my system.
My system is not optimized it only has three parameters (which are not
parameters in the common sense).
1. Anti slippage number (the system buys/sells a fraction before the "real"
deal)
2. Number of contracts you want to trade "day only"
3. Number of contracts you want to trade "overnight"
>From real trading I determined that the slippage in NQ (I traded NQ as
market order while taking signals from ND) equals $35 per contract. Hence I
set my commission to a whopping $180 for the big ND.
The system made huge amounts of money ($30,000 avg per month) with limited
drawdown ($57690 over 41 months) and a great average trade amount ($846). By
just trading 1 ND contract overnight.
Now I am quite a busy person and I don't feel much like becoming a systems
vendor by selling this or other systems (I already have a bunch of them
though less succesfull than this one). I'd rather do my work (senior
programmer) and my trading.
A good system will make its money trading. I do not need to make money
selling it.
However I would like to be diversified, and clearly I am not to give away a
system that took me a year to develop.
Other traders/programmers might have developed similar highly profitable
systems and all I am suggesting is to exchange source code for such systems.
This could some sort of official agreement where the agreement would state
that the system is only for personal use and not to be resold and such
(something like a notarized statement). I am not sure of the details but
maybe somebody else has enough legal knowledge to make a good agreement (not
50 pages just the basics!).
System don't get hurt to much when traded by different people (if we keep
the group limited).
SYSTEM SPECIFICS:
Total Net Profit$1,274,400.00
Gross Profit$3,163,045.00
Total # of trades1,505
Number winning trades509
Largest winning trade$43,000.00
Average winning trade$6,214.23
Ratio avg win/avg loss3.28
Max consec. Winners7
Avg # bars in winners60
Max intraday drawdown($57,690.00)
Profit Factor1.67
Account size required$57,690.00
Open position P/L $1,590.00
Gross Loss ($1,888,645.00)
Percent profitable 33.82%
Number losing trades 996
Largest losing trade ($18,500.00)
Average losing trade ($1,896.23)
Avg trade (win & loss) $846.78
Max consec. losers 26
Avg # bars in losers 16
Max # contracts held 1
Return on account 2209.05%
==>> more importantly look at the monthly figures (only 4 months lost money
!)
8/01($1,560.00)
7/01$9,920.00
6/01$14,020.00
5/01$16,740.00
4/01$31,400.00
3/01$5,300.00
2/01$67,500.00
1/01$95,920.00
12/00$99,920.00
11/00$36,420.00
10/00$83,500.00
9/00$40,540.00
8/00$39,040.00
7/00($5,560.00)
6/00$19,500.00
5/00$128,920.00
4/00$57,360.00
3/00$115,340.00
2/00$27,360.00
1/00$54,240.00
12/99$12,760.00
11/99$5,180.00
10/99$30,850.00
9/99$17,420.00
8/99$24,890.00
7/99$7,880.00
6/99$13,950.00
5/99$29,040.00
4/99$49,340.00
3/99$31,670.00
2/99($15,840.00)
1/99$31,000.00
12/98$3,920.00
11/98$3,730.00
10/98$53,890.00
9/98$5,170.00
8/98$14,850.00
7/98$19,220.00
6/98($990.00)
5/98($4,505.00)
4/98$5,385.00
The system would even trade the S&P ($150 commissions =is somewhat less in
S&P= still made $284625 over the same 41 month).
Should you have a system that performs less I would consider exhanging it to
some of my other system. I do not want to clog this mailing list too much,
just contact me.
I'll gladly send you the full report.
Robert
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Robert Linders
Orlando, FL
email: mugsnug@xxxxxxxxx
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