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Yep, I agree with Gwenn. I call the use of dailies like this "propensity"
testing. It proves that your system *might* have merit. Also,
make sure you are running the "bouncing ticks" at 50%. You'll have
to go intraday to find out for sure.
regards,
Walt Downs
CIS Trading
-----Original Message-----
From: Gwenn Ael Gautier <Gw.Gautier@xxxxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Date: Sunday, July 19, 1998 7:37 AM
Subject: Re: FUTR: SYSTEM TEST, SP500
>Just from looking at these numbers, I see you enter and exit the same day?
Any
>such system has to be tested intraday, as daily bars are virtual bars, not
>reflecting real price action, which means trades registered as winners
could
>have been losers. If 20% of these are losers, one could "guess-timate"
profits
>at 344-70=274 and losses at 54+70=124 or 150 net profit or half your number
at
>best.
>
>As long as you haven't tested with intraday data on a 30min or less
timeframe,
>these numbers remain fully theoretical.
>
>Best to you
>
>Gwenn
>
>Jonathan Stewart Dempster a écrit:
>
>> this is the same system tested on the sp500, the only adjustment that i
>> made was that of margin, i set it to 20,000 per contract, im surpsised
as
>> i havent even raised the stops etc to take account of the higher value of
>> the sp500. ill have a look this week sometime. JSD
>>
>> S&P 500 INDEX-Daily 07/01/88 - 07/17/98
>>
>> Performance Summary: All Trades
>>
>> Total net profit $ 288600.00 Open position P/L $
0.00
>> Gross profit $ 343060.00 Gross loss
$ -54460.00
>>
>> Total # of trades 257 Percent profitable 84%
>> Number winning trades 215 Number losing trades 42
>>
>> Largest winning trade $ 11795.00 Largest losing trade
$ -2195.00
>> Average winning trade $ 1595.63 Average losing trade
$ -1296.67
>> Ratio avg win/avg loss 1.23 Avg trade(win & loss) $
1122.96
>>
>> Max consec. winners 28 Max consec. losers 2
>> Avg # bars in winners 1 Avg # bars in losers 1
>>
>> Max intraday drawdown $ -5015.00
>> Profit factor 6.30 Max # contracts held 2
>> Account size required $ 45015.00 Return on account 641%
>>
>> Performance Summary: Long Trades
>>
>> Total net profit $ 147785.00 Open position P/L $
0.00
>> Gross profit $ 172115.00 Gross loss
$ -24330.00
>>
>> Total # of trades 128 Percent profitable 83%
>> Number winning trades 106 Number losing trades 22
>>
>> Largest winning trade $ 11080.00 Largest losing trade
$ -2195.00
>> Average winning trade $ 1623.73 Average losing trade
$ -1105.91
>> Ratio avg win/avg loss 1.47 Avg trade(win & loss) $
1154.57
>>
>> Max consec. winners 21 Max consec. losers 3
>> Avg # bars in winners 1 Avg # bars in losers 1
>>
>> Max intraday drawdown $ -5405.00
>> Profit factor 7.07 Max # contracts held 2
>> Account size required $ 45405.00 Return on account 325%
>>
>> Performance Summary: Short Trades
>>
>> Total net profit $ 140815.00 Open position P/L $
0.00
>> Gross profit $ 170945.00 Gross loss
$ -30130.00
>>
>> Total # of trades 129 Percent profitable 84%
>> Number winning trades 109 Number losing trades 20
>>
>> Largest winning trade $ 11795.00 Largest losing trade
$ -1695.00
>> Average winning trade $ 1568.30 Average losing trade
$ -1506.50
>> Ratio avg win/avg loss 1.04 Avg trade(win & loss) $
1091.59
>>
>> Max consec. winners 22 Max consec. losers 3
>> Avg # bars in winners 1 Avg # bars in losers 1
>>
>> Max intraday drawdown $ -4760.00
>> Profit factor 5.67 Max # contracts held 2
>> Account size required $ 44760.00 Return on account 315%
>
>
>
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