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<DIV><FONT size=2>this is the same system that was tested on the daily
cash dow, but now i have manage to test it on the sp500
Continuous futures, the formula is the same but inputs
have been changed to account for the different trading ranges.
</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>i still would like to know what is the best way to
test on older data, to account for the smaller
trading ranges.. </FONT></DIV>
<DIV><FONT size=2>is it best to test in chunks of data and
change all profit goals etc, in 3
year blocks etc ? also if anyone knows if its possible to
create "scale up contracts" in line with percentage
increase of equity, anyway have a look and if you have any
comments ,please speak up. </FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Rgds Jonathan .</FONT></DIV>
<DIV> </DIV>
<DIV> </DIV>
<DIV><FONT size=2>END OF DAY </FONT></DIV>
<DIV><FONT size=2>
<P>SP00-Daily 96/01/02 - 99/09/21 </P>
<P>Performance Summary: All Trades </P>
<P>Total net profit $ 189780.00 Open position P/L $ 0.00</P>
<P>Gross profit $ 210017.50 Gross loss $ -20237.50</P>
<P>Total # of trades 51 Percent profitable 41%</P>
<P>Number winning trades 21 Number losing trades 30</P>
<P>Largest winning trade $ 12367.50 Largest losing trade $ -4482.50</P>
<P>Average winning trade $ 10000.83 Average losing trade $ -674.58</P>
<P>Ratio avg win/avg loss 14.83 Avg trade(win & loss) $ 3721.18</P>
<P>Max consec. winners 3 Max consec. losers 10</P>
<P>Avg # bars in winners 7 Avg # bars in losers 3</P>
<P>Max intraday drawdown $ -8982.50 </P>
<P>Profit factor 10.38 Max # contracts held 1</P>
<P>Account size required $ 8982.50 Return on account 2113%</P>
<P> </P>
<P>Performance Summary: Long Trades </P>
<P>Total net profit $ 189780.00 Open position P/L $ 0.00</P>
<P>Gross profit $ 210017.50 Gross loss $ -20237.50</P>
<P>Total # of trades 51 Percent profitable 41%</P>
<P>Number winning trades 21 Number losing trades 30</P>
<P>Largest winning trade $ 12367.50 Largest losing trade $ -4482.50</P>
<P>Average winning trade $ 10000.83 Average losing trade $ -674.58</P>
<P>Ratio avg win/avg loss 14.83 Avg trade(win & loss) $ 3721.18</P>
<P>Max consec. winners 3 Max consec. losers 10</P>
<P>Avg # bars in winners 7 Avg # bars in losers 3</P>
<P>Max intraday drawdown $ -8982.50 </P>
<P>Profit factor 10.38 Max # contracts held 1</P>
<P>Account size required $ 8982.50 Return on account 2113%</P>
<P> </P></FONT></DIV></BODY></HTML>
</x-html>From ???@??? Fri Jan 21 08:31:38 2000
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From: "Phil Lane" <patterntrader@xxxxxxxxxx>
To: "<realtraders@xxxxxxxxxxxxxxx>"
<realtraders@xxxxxxxxxxxxxxx>
References: <000801bf6426$b7de5780$2efa31d4@xxxxx>
Subject: [RT] Re: FUTR: tading systems sp500,
Date: Fri, 21 Jan 2000 08:22:14 -0800
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<DIV><FONT face=Arial size=2>I'd recommend basing everything on the volatility,
and then testing on a continuous contract. And FORGET about built-in TS
stops/targets, do them in the system EL. As in the following
pseudocode-</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>Position size = somedollars/(ATR*BigPointValue)
</FONT></DIV>
<DIV><FONT face=Arial size=2>Targets=EntryPrice+factor*ATR</FONT></DIV>
<DIV><FONT face=Arial size=2>Stops=EntryPrice-factor2*ATR</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>ATR could be something like the 50-day average true
range. With this setup you can test your system all the way back to 1982 - I
know you're dying to do that!</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>rgds phil</FONT></DIV>
<DIV><FONT face=Arial size=2><A
href="http://www.patterntrader.com";>http://www.patterntrader.com</A></FONT></DIV>
<BLOCKQUOTE
style="BORDER-LEFT: #000000 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px; PADDING-RIGHT: 0px">
<DIV style="FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B>
<A href="mailto:jd@xxxxxxxxxxxxxxxxxxxxx";
title=jd@xxxxxxxxxxxxxxxxxxxxx>Jonathan s Dempster</A> </DIV>
<DIV style="FONT: 10pt arial"><B>To:</B> <A
href="mailto:realtraders@xxxxxxxxxxxxxxx";
title=realtraders@xxxxxxxxxxxxxxx>realtraders@xxxxxxxxxxxxxxx</A> </DIV>
<DIV style="FONT: 10pt arial"><B>Sent:</B> Friday, January 21, 2000 7:45
AM</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> [RT] FUTR: tading systems
sp500,</DIV>
<DIV><BR></DIV>
<DIV><FONT size=2>this is the same system that was tested on the daily
cash dow, but now i have manage to test it on the
sp500 Continuous futures, the formula is the same
but inputs have been changed to account for the different trading
ranges. </FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>i still would like to know what is the best way to
test on older data, to account for the smaller
trading ranges.. </FONT></DIV>
<DIV><FONT size=2>is it best to test in chunks of data and
change all profit goals etc, in 3
year blocks etc ? also if anyone knows if its possible
to create "scale up contracts" in line with percentage
increase of equity, anyway have a look and if you have any
comments ,please speak up. </FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Rgds Jonathan .</FONT></DIV>
<DIV> </DIV>
<DIV> </DIV>
<DIV><FONT size=2>END OF DAY </FONT></DIV>
<DIV><FONT size=2>
<P>SP00-Daily 96/01/02 - 99/09/21 </P>
<P>Performance Summary: All Trades </P>
<P>Total net profit $ 189780.00 Open position P/L $ 0.00</P>
<P>Gross profit $ 210017.50 Gross loss $ -20237.50</P>
<P>Total # of trades 51 Percent profitable 41%</P>
<P>Number winning trades 21 Number losing trades 30</P>
<P>Largest winning trade $ 12367.50 Largest losing trade $ -4482.50</P>
<P>Average winning trade $ 10000.83 Average losing trade $ -674.58</P>
<P>Ratio avg win/avg loss 14.83 Avg trade(win & loss) $ 3721.18</P>
<P>Max consec. winners 3 Max consec. losers 10</P>
<P>Avg # bars in winners 7 Avg # bars in losers 3</P>
<P>Max intraday drawdown $ -8982.50 </P>
<P>Profit factor 10.38 Max # contracts held 1</P>
<P>Account size required $ 8982.50 Return on account 2113%</P>
<P> </P>
<P>Performance Summary: Long Trades </P>
<P>Total net profit $ 189780.00 Open position P/L $ 0.00</P>
<P>Gross profit $ 210017.50 Gross loss $ -20237.50</P>
<P>Total # of trades 51 Percent profitable 41%</P>
<P>Number winning trades 21 Number losing trades 30</P>
<P>Largest winning trade $ 12367.50 Largest losing trade $ -4482.50</P>
<P>Average winning trade $ 10000.83 Average losing trade $ -674.58</P>
<P>Ratio avg win/avg loss 14.83 Avg trade(win & loss) $ 3721.18</P>
<P>Max consec. winners 3 Max consec. losers 10</P>
<P>Avg # bars in winners 7 Avg # bars in losers 3</P>
<P>Max intraday drawdown $ -8982.50 </P>
<P>Profit factor 10.38 Max # contracts held 1</P>
<P>Account size required $ 8982.50 Return on account 2113%</P>
<P> </P></FONT></DIV></BLOCKQUOTE></BODY></HTML>
</x-html>From ???@??? Fri Jan 21 08:52:16 2000
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From: Proffittak@xxxxxxx
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Date: Fri, 21 Jan 2000 11:41:38 EST
Subject: [RT] Re: FUTR: tading systems sp500,
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Status:
In a message dated 1/21/00 11:07:35 AM Eastern Standard Time,
jd@xxxxxxxxxxxxxxxxxxxxx writes:
<< this is the same system that was tested on the daily cash dow, but now
i have manage to test it on the sp500 Continuous futures, the formula is
the same but inputs have been changed to account for the different
trading ranges.
i still would like to know what is the best way to test on older data,
to account for the smaller trading ranges..
is it best to test in chunks of data and change all profit goals etc,
in 3 year blocks etc ? also if anyone knows if its possible to create
"scale up contracts" in line with percentage increase of equity, anyway
have a look and if you have any comments ,please speak up.
Rgds Jonathan . >>
hi
the continues contract is from 1982
test 1982 t0 1992
then test 1992 to 2000
if consistent results then you have a winner
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