|
PureBytes Links
Trading Reference Links
|
Test same system on SP futures. If it holds up there, you are onto something.
BTW, I presume you meant DJ futures, else if its the cash you talked about, just forget it, you can't trade cash.
Gwenn
The Torch wrote:
> JD,
>
> For one thing all you should be looking at a system
> that can go both short and long. What do you plan on
> doing in a bear market? Put it in Cash?
>
> What if you were to buy and hold the DOW for 3 years?
> What would the return have been? 28 trades is not a
> lot for three years, is it?
>
> Just some thoughts.
>
> JS
>
> --- Jonathan s Dempster <jd@xxxxxxxxxxxxxxxxxxxxx>
> wrote:
> > Group, find attached summary of END OF DAY
> > trading system on Dow, i would like those who take
> > an interest to highlight the Weakness and any
> > potential strenghts. I realise the data is only 3
> > years duration, and the bull run, and there is
> > also a 6 (month due to theft ) gap in that, so
> > effectively there is 30 months of daily price
> > activity on which these hypothectical results are
> > based, so if anyone has a end of day o,h,l,c
> > data for the DAILY dow and they could send it that
> > would be great, say from todays close going back
> > 12 months, that would fill the gap in my data and
> > enable me to see how it did on on the missing
> > months, until i get a new data supplier arranged,
> >
> >
> >
> > Data used is END OF DAY,
> > Omega supercharts.
> >
> > DA----Y-Daily 10/02/96 - 06/30/99
> >
> > Performance Summary: All Trades
> >
> > Total net profit $ 42040.00 Open position P/L $
> > 0.00
> > Gross profit $ 47680.00 Gross loss $
> > -5640.00
> >
> > Total # of trades 28 Percent profitable
> > 57%
> > Number winning trades 16 Number losing trades
> > 12
> >
> > Largest winning trade $ 2980.00 Largest losing
> > trade $ -2220.00
> > Average winning trade $ 2980.00 Average losing
> > trade $ -470.00
> > Ratio avg win/avg loss 6.34 Avg trade(win &
> > loss) $ 1501.43
> >
> > Max consec. winners 4 Max consec. losers
> > 4
> > Avg # bars in winners 9 Avg # bars in losers
> > 4
> >
> > Max intraday drawdown $ -4176.80
> > Profit factor 8.45 Max # contracts held
> > 1
> > Account size required $ 4176.80 Return on account
> > 1007%
> >
> >
> > Performance Summary: Long Trades
> >
> > Total net profit $ 42040.00 Open position P/L $
> > 0.00
> > Gross profit $ 47680.00 Gross loss $
> > -5640.00
> >
> > Total # of trades 28 Percent profitable
> > 57%
> > Number winning trades 16 Number losing trades
> > 12
> >
> > Largest winning trade $ 2980.00 Largest losing
> > trade $ -2220.00
> > Average winning trade $ 2980.00 Average losing
> > trade $ -470.00
> > Ratio avg win/avg loss 6.34 Avg trade(win &
> > loss) $ 1501.43
> >
> > Max consec. winners 4 Max consec. losers
> > 4
> > Avg # bars in winners 9 Avg # bars in losers
> > 4
> >
> > Max intraday drawdown $ -4176.80
> > Profit factor 8.45 Max # contracts held
> > 1
> > Account size required $ 4176.80 Return on account
> > 1007%
> >
> >
> ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------
> >
> > 2 trades exited on money management stops, the
> > other 10 being break even stops (less 120.
> > slippage, comm.) with floor @ $ 550.
> >
> > bouncing ticks @ 30%
> > $120. slippage & commission allowance.
> >
> > if anyone can provide any "general rules of
> > thumb" for evaluating simulated trading results,
> > or if anyone knows of any sources of good
> > information regarding pro's /con's of system
> > trading etc, that would be welcomed.
> >
> >
> > Any comments, data assistance , appreciated.
> >
> > Jonathan.
> >
> >
> >
> __________________________________________________
> Do You Yahoo!?
> Talk to your friends online with Yahoo! Messenger.
> http://im.yahoo.com
|