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Assuming you're talking 40 big points (or even "only" 23) ... the biggest
problem you have is that you can not stand multiple adverse excursions into your
capital - I would not for a moment rely on the 2 consecutive losses shown in
your backtest of only a year's data. Worse yet, your psyche will not likely
stand for it either - you won't know what fear is until you've lost half your
capital and then try to pull the trigger on a new trade.
Earl
-----Original Message-----
From: Jonathan Stewart Dempster <aceit@xxxxxxxxxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Date: Tuesday, August 11, 1998 4:32 PM
Subject: Re:Earl/rt. Trading E mini short term position trades
>Earl, i do not have a problem as long as the majority of overnight range
>moves are withing 40 points..or so.
>so as you say its moved 23, but that happens to be the right direction,
>(this time) and im aware that tomorrows trade might well be heading in the
>opposite way but 23 points is fine with me, ill let the system tell me
>when to liquidate..or set a suitable money stop..
>
> im just acting on the system test results, and that has said biggest ac
>required $6600, ive enclosed the results for the past twelve months. maybe
>some of you can see an obvious fault with it, if so could you point it out
>please...
>thanks for commenting. J.S.D.
>
>
>MINI. SP500
>
> S&P 500 Index - CME-Daily 07/01/97 - 08/11/98
>
> Performance Summary: All Trades
>
>Total net profit $ 25547.50 Open position P/L $ 50.00
>Gross profit $ 31492.50 Gross loss $ -5945.00
>
>Total # of trades 31 Percent profitable 65%
>Number winning trades 20 Number losing trades 11
>
>Largest winning trade $ 2067.50 Largest losing trade $ -1662.50
>Average winning trade $ 1574.63 Average losing trade $ -540.45
>Ratio avg win/avg loss 2.91 Avg trade(win & loss) $ 824.11
>
>Max consec. winners 3 Max consec. losers 2
>Avg # bars in winners 8 Avg # bars in losers 3
>
>Max intraday drawdown $ -2587.50
>Profit factor 5.30 Max # contracts held 1
>Account size required $ 6587.50 Return on account 388%
>
>
> Performance Summary: Long Trades
>
>Total net profit $ 14262.50 Open position P/L $ 0.00
>Gross profit $ 15150.00 Gross loss $ -887.50
>
>Total # of trades 14 Percent profitable 79%
>Number winning trades 11 Number losing trades 3
>
>Largest winning trade $ 2067.50 Largest losing trade $ -362.50
>Average winning trade $ 1377.27 Average losing trade $ -295.83
>Ratio avg win/avg loss 4.66 Avg trade(win & loss)$ 1018.75
>
>Max consec. winners 6 Max consec. losers 2
>Avg # bars in winners 12 Avg # bars in losers 5
>
>Max intraday drawdown $ -1775.00
>Profit factor 17.07 Max # contracts held 1
>Account size required $ 5775.00 Return on account 247%
>
>
> Performance Summary: Short Trades
>
>Total net profit $ 11285.00 Open position P/L $ 50.00
>Gross profit $ 16342.50 Gross loss $ -5057.50
>
>Total # of trades 17 Percent profitable 53%
>Number winning trades 9 Number losing trades 8
>
>Largest winning trade $ 2037.50 Largest losing trade $ -1662.50
>Average winning trade $ 1815.83 Average losing trade $ -632.19
>Ratio avg win/avg loss 2.87 Avg trade(win & loss)$ 663.82
>
>Max consec. winners 2 Max consec. losers 2
>Avg # bars in winners 3 Avg # bars in losers 2
>
>Max intraday drawdown $ -1772.50
>Profit factor 3.23 Max # contracts held 1
>Account size required $ 5772.50 Return on account 195%
>
>
>
>**as for supercharts, i thought the manual said that intra day data was'nt
>compatibale, ok you say it is, so that leads me to another question, ...
>
>Is there a web location where i can obtain historic intraday data for
>free....?
>
>
>------------------------------------------------------------
>
>At 07:15 11/08/98 -0600, you wrote:
>>I suspect you'll find an excellent answer to your question overnight with
>E-Mini
>>down $23 * 50 = $1150. Throw in commissions and slippage and your $6600
>account
>>would be down nearly 20% on just one contract. That's why those of us who
>trade
>>the S&P and like to sleep well don't hold overnight and run don't trade
>accounts
>>at 2:1 margin ratio.
>>
>>Earl
>>
>>-----Original Message-----
>>From: Jonathan Stewart Dempster <aceit@xxxxxxxxxxxxxxx>
>>To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
>>Date: Tuesday, August 11, 1998 5:36 AM
>>Subject: Trading E mini short term position trades
>>
>>
>>>* that the globex mini500 does'nt move beyond a 40 point overnight
>>>range.(If it does then i need to think a little more), although if the
>>>move is in my fav, then obviously the profit target will liquidate the
>>>position.thats fine. i just need to know if a money management stop
>>>currently at 2000 would get hit, as yet according to system tests ignoring
>>>globex it does'nt...
>>
>>
>>
>
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