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Thanks to Walt, Gary, Bob, Tom and others that have given statistical results
of their experience with short term systems.
I thought that I would try to give another example of my difficulty of
achieving satisfactory results with daytrading systems. My "Buy and Hold"
example was bad.
I quickly run some stats on a daytrading system (that I purchased) that was
one of the top performers declared by several reputable sources, magazines,
users grours,etc. I tested this system, that always exited prior to the
close, on the actual data of the last 44 S&P contracts. Since TradeStation
has a 13,000 bar limitation I needed to copy and paste the TradeStation
results to a spreadsheet to combine all stats for the 44 contracts.
Therefore, I must use the caveat that I may have made mistakes.
This system made 755 trades.
To demonstrate the huge negative affects that slippage and commission have on
profits I first tested the system without slippage and commission. The
profit was $226,750. 60% wins and a win/loss ratio of 1.58. Not bad!
After subtracting $220 for commission and slippage the system only made
$60,870. I sure wouldn't watch the screen every minute of every trading day
for all those years for this.
I have developed day trade systems that do better than the above but I still
have problems getting the results I want for systems that always exit prior
to the close.
Walt and others have posted results that give great results for day systems.
Again, I want to thank them. It gives me encouragement.
Russ
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