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this is the same system as tested on recently on british pound and sp.
Bouncing ticks at 50% if thats relevant, now on this specific contract i
did optimize one of the indicator lengths lengths (made it more sensitive)
also enclosed unadjusted performance summary...
Alan sears. it has two entry requirements, but like i said i have neglected
exit criterior, apart from the money management stop and a trailing %. ill
look at that
during this week.. oh and its terrible on grains , coffee, etc. seems ok
on the liquid markets.
DEUTSCHE MARK-98U-Daily 08/25/97 - 07/20/98
Performance Summary: All Trades ********OPTIMIZED
Total net profit $ 15375.00 Open position P/L $ 0.00
Gross profit $ 15375.00 Gross loss $ 0.00
Total # of trades 18 Percent profitable 100%
Number winning trades 18 Number losing trades 0
Largest winning trade $ 2025.00 Largest losing trade $ 0.00
Average winning trade $ 854.17 Average losing trade $ 0.00
Ratio avg win/avg loss 100.00 Avg trade(win & loss) $ 854.17
Max consec. winners 18 Max consec. losers 0
Avg # bars in winners 2 Avg # bars in losers 0
Max intraday drawdown $ -1550.00
Profit factor 100.00 Max # contracts held 2
Account size required $ 5550.00 Return on account 277%
Performance Summary: Long Trades
Total net profit $ 9325.00 Open position P/L $ 0.00
Gross profit $ 9325.00 Gross loss $ 0.00
Total # of trades 10 Percent profitable 100%
Number winning trades 10 Number losing trades 0
Largest winning trade $ 2025.00 Largest losing trade $ 0.00
Average winning trade $ 932.50 Average losing trade $ 0.00
Ratio avg win/avg loss 100.00 Avg trade(win & loss) $ 932.50
Max consec. winners 10 Max consec. losers 0
Avg # bars in winners 2 Avg # bars in losers 0
Max intraday drawdown $ -1550.00
Profit factor 100.00 Max # contracts held 2
Account size required $ 5550.00 Return on account 168%
Performance Summary: Short Trades
Total net profit $ 6050.00 Open position P/L $ 0.00
Gross profit $ 6050.00 Gross loss $ 0.00
Total # of trades 8 Percent profitable 100%
Number winning trades 8 Number losing trades 0
Largest winning trade $ 1225.00 Largest losing trade $ 0.00
Average winning trade $ 756.25 Average losing trade $ 0.00
Ratio avg win/avg loss 100.00 Avg trade(win & loss) $ 756.25
Max consec. winners 8 Max consec. losers 0
Avg # bars in winners 3 Avg # bars in losers 0
Max intraday drawdown $ -1100.00
Profit factor 100.00 Max # contracts held 2
Account size required $ 5100.00 Return on account 119%
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the one loss was a money management stop.... set at 2000.
obviously a couple more of them and all the profits gone, but i havent
given a great deal of thought ot the exiting of a trade as yet, in fact
none at all.
originally i was looking to create/find a system that tries to identify
extreme price levels,(in any market) and look to position trade them,
intermediate term, but now im not so sure, maybe i could do both. I get the
feeling its maybe better to study a few markets and try to understand how
they move, then again is that relevant if you use a mechanical system...?
DEUTSCHE MARK-98U-Daily 08/25/97 - 07/20/98
Performance Summary: All Trades ***** Un adjusted
Total net profit $ 8900.00 Open position P/L $ 0.00
Gross profit $ 10975.00 Gross loss $ -2075.00
Total # of trades 15 Percent profitable 93%
Number winning trades 14 Number losing trades 1
Largest winning trade $ 2025.00 Largest losing trade $ -2075.00
Average winning trade $ 783.93 Average losing trade $ -2075.00
Ratio avg win/avg loss 0.38 Avg trade(win & loss) $ 593.33
Max consec. winners 11 Max consec. losers 1
Avg # bars in winners 2 Avg # bars in losers 7
Max intraday drawdown $ -2075.00
Profit factor 5.29 Max # contracts held 2
Account size required $ 6075.00 Return on account 147%
Performance Summary: Long Trades
Total net profit $ 4075.00 Open position P/L $ 0.00
Gross profit $ 6150.00 Gross loss $ -2075.00
Total # of trades 9 Percent profitable 89%
Number winning trades 8 Number losing trades 1
Largest winning trade $ 2025.00 Largest losing trade $ -2075.00
Average winning trade $ 768.75 Average losing trade $ -2075.00
Ratio avg win/avg loss 0.37 Avg trade(win & loss) $ 452.78
Max consec. winners 7 Max consec. losers 1
Avg # bars in winners 2 Avg # bars in losers 7
Max intraday drawdown $ -2500.00
Profit factor 2.96 Max # contracts held 2
Account size required $ 6500.00 Return on account 63%
Performance Summary: Short Trades
Total net profit $ 4825.00 Open position P/L $ 0.00
Gross profit $ 4825.00 Gross loss $ 0.00
Total # of trades 6 Percent profitable 100%
Number winning trades 6 Number losing trades 0
Largest winning trade $ 1225.00 Largest losing trade $ 0.00
Average winning trade $ 804.17 Average losing trade $ 0.00
Ratio avg win/avg loss 100.00 Avg trade(win & loss) $ 804.17
Max consec. winners 6 Max consec. losers 0
Avg # bars in winners 2 Avg # bars in losers 0
Max intraday drawdown $ -650.00
Profit factor 100.00 Max # contracts held 2
Account size required $ 4650.00 Return on account 104%
questions.
1) do some of you (if there are any) who use system trading optimize
settings for specific markets.
2) do you still make a profit.
3) is anyone willing/able to send historic intra day data for any of the
following
DM, BP, JY, and is that legal..??
All comments welcomed..... J.S.D
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