|
PureBytes Links
Trading Reference Links
|
Dear Gwen,
You have just reconfirmed what I have seen with Top step Bonds:
1. It overtrades.
2. Profitability is definitely declining.
3.As I heard from Randall, Brokers love it.
I am in the process of receiving real time data on T op Step 97 which is a S&P system.
Thanks much,
John
------------------ Reply Separator --------------------
Originally From: Gwenn Ael Gautier <gw.gautier@xxxxxxxxxx>
Subject: Re: Mechanical Trading
Date: 01/25/98 12:08pm
John Cappello wrote:
>
> Dear Gwenn,
> You can find all the info you need at R&W's website which I can't recall off hand. I am sure it will show up on a search.
>
> I have a broker execute for me.I don't even run it on my computer any more.
>
> No I trade others and I have posted them several times.
>
> Profits rotate . When one group lags another takes off.
>
> Catscan ll is superior to Catscan--Still evaluating.
> Golden SX --too new
> Galaxy-in process.More interested in Top Step by same supplier.
>
> What do you have to offer.
>
> Give a little,get a little,
> John
>
John,
Top Step Bonds initially provided parameter set US24, $50 commission and slippage R/T.
Historical data provided by MicroStar, apparently from Signal Cable. Real time signal
may differ at times from backtested signals with their data. However I checked with
PanAmSat Signal data which is late and missing quite a few ticks, so my real time
appreciation may be negatively biased.
US24, for h90 to z96:
Total Net profit: $253.850
Max DD: -$ 21.738
Percent Profitable: 46%
Average Profit per Contracr: $45
Average Win: $800
Average Loss: $550
Max #of contracts: 3
US24, for h97 to z97:
Total Net profit: $ 16.588
Max DD: -$ 10.263
Percent Profitable: 45%
Average Profit per Contracr: $21
Average Win: $770
Average Loss: $542
Max #of contracts: 3
Next published set US29, for h90 to z96:
Total Net profit: $359.338
Max DD: -$ 26.150
Percent Profitable: 50%
Average Profit per Contracr: $74
Average Win: $1062
Average Loss: $719
Max #of contracts: 3
US29, for h97 to z97:
Total Net profit: -$ 8.719
Max DD: -$ 18.231
Percent Profitable: 42%
Average Profit per Contracr:-$13
Average Win: $937
Average Loss: $734
Max #of contracts: 3
Next currently published set US57, for h90 to z96:
Total Net profit: $360.806
Max DD: -$ 21.894
Percent Profitable: 49%
Average Profit per Contracr: $87
Average Win: $1140
Average Loss: $730
Max #of contracts: 3
US57, for h97 to z97:
Total Net profit: $ 35.613
Max DD: -$ 16.206
Percent Profitable: 47%
Average Profit per Contracr: $67
Average Win: $1198
Average Loss: $777
Max #of contracts: 3
Top Step Bonds backtests nicely, but it seems to be very difficult to implement, you
need outstanding execution. You can change any parameters, it will test positively.
profitability seems to be on a downtrend over the last18 months, for most parameter
sets.
Top Step FX works along the same lines, but results are far from consistent, and
profitability is usually nil, except for a few occasions where you run up some profit.
Average gross trade is a few ticks. I iould never trade FX.
Top Step Index as well. I don't have it but it looks like it is has the caracteristics
of both Bonds and Fx. Tiny Average trades, and irregular perf.
Yours,
Gwenn
|