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At 1:02 PM -0500 3/22/02, [private message] wrote:
>Adding reasonable margins for commish and slippage would really hurt.
>
>BTW the ledgend on the accompanying chart has a pricing error possibly, or did
>the result really yield a 3% return on opening equity?
The equity curve in TradeStation assumes a starting account size of
$100,000 so trading one share of $SPX showed little absolute dollar
profit. The shape of the curve was the important matter. Trading 250
"shares" which would be about the size of the big SP futures
contract, would generate 250 times the profit (sill assuming no
costs). (I like to use one share since it tells me the number of
points of profit and trade size in points.)
Adding costs does not make it all that bad. With $20 commission and
0.5 big points slippage trading 250 "shares" of $SPX the results are
still decent (still forgetting that you cannot actually trade the
$SPX):
Inputs: BZ(3),SZ(1), Len(1), Offset(0);
If RateOfChange(close of data2,7)>BZ then buy at H[Len] + Offset stop;
If RateOfChange(close of data2,7)<SZ then sell at L[Len] - Offset stop;
4 years ending 12/31/01
$SPX cash index as data1 (BigPointValue = 1) trading 250 shares
$ADV NYSE advancing issues as data2
60 minute natural hour bars
$20 commission + $125 slippage
Close trades at end of day
Inputs
3,1,0,0
Net profit $547,000
Trades 1340
% Prof 50%
Ave Trade $408
PF 1.49
DD $39,000
ROA 1402%
Sharpe 2.33
Bob Fulks
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