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Dear JS,
I got to see the performance you sent. It appears to me that according to
the legend in the performance summary, it is trading 4 e-minis...and
netting $166,000 or so over what appears to be less than a year. It is a
great backtest. And all I am doing is extracting.
Plus the average profit is only $287 per trade { I interpret that to be
roughly $70 per e-mini]. Most sytems I have seen which have low average
profit need an unsustainable per cent profit way over 75%.
These numbers seem to jive with your report when I multiply the number of
winning trades with average profit.
If you or he have money in it, I wish you the best. To me they look like
optimization results...and what it has done 2003 to year end is critical.
I also have my doubts about Element. I find it is just out of the
development stage 2003 and had a losing month in July which is the first
time it had 2 losing months the same year in the 3 years shown. Deviations
from a prior norm are always caution lights.
There is only one person trading it and he claims to have made $10,000
since the beginning of the year.
Apparently, the developer has the group of his systems to trade one each
e-mini for a total of 5 using $100,000. Even on that basis the results
were not terrific.
I hope I am wrong about your friend's system. As for Element, I will stand
aside and see how it finishes 2003.
Sincerely,
John
> I am usually a stealth reader/non-responder to this forum but after
reviewing the results of the "Element" I had to throw in my two cents
worth.
>
> I have a friend, a bad trader but great system writer, who has written a
strategy to trade the emini. I attached the results to this email.
Actually, the results I attached are not as good as his system because I
cut down the initial capital (he uses 50 thousand, Element uses 20
thousand) to make it more comparable with "Element". It is backtested
starting 08/11/02 and I can't go any further back because it uses tic
data and that's as far back as my "ES.tik" file goes. I am also missing
about five days worth of tick data at the end of May and it skewed the
performance to the downside.
>
> In short, I am not impressed the "Elements" results.
>
> Regards,
>
> John
>
> -----Original Message-----
> From: jvc689@xxxxxxx [mailto:jvc689@xxxxxxx]
> Sent: Friday, September 19, 2003 10:14 PM
> To: Realtraders@xxxxxxxxxxxxxxx
> Cc: Trading_Systems@xxxxxxxxxxxxxxx
> Subject: [RT] Mechanical Trading
>
>
> Most commercial ones have not been so great this year except for a
couple
> of CTA Futures Funds who have their own proprietary ones.
>
> I like to use some leisure time to search and destroy a lot of the trash
out there preying on those who are looking for the Holy Grail [like I
still do]. But here is one I can not find a flaw...yet. There is a site:
>
> http://www.capitalberkeley.com
>
> They have five systems on the site for the S&P. I can trash four of them
but the one called Element, seems to good to be true. And we all know
the
> old adage, if it's too good to be true yada yada yada.
>
> Please tell me what I am missing. I think these guys are CTA's if that
makes any difference.
>
> Sincerely,
>
> John
>
>
>
>
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