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TWA,
Your point is well taken. There is no holy grail, but a few things are
wrong with all these simulations. First, although $200 for slippage is
good (or low) for today, it is very high for 13 years ago, which is when
your test begins. Pre crash, one tick markets were the norm and even
afterward for a long time they were common. The past 2 years is when it
seems to have widened considerably. Next, maybe you shouldn't demand on
getting out at the close every day. Many "daytrading" strategies hold
up to 5 days or so (still short term). Also, compounding can't be
ignored. It is the key to money management. THe ability to adjust
quantites as the account increases/decreases is a key to growth with
short term trading.
Good Luck in your search Indiana Jones,:)
Eric
TWA7663@xxxxxxx wrote:
>
> 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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