Louis,
I tried off and on for a year to set up my auto trading. I couldn't get it to
trade my program the way that I wanted. I asked Barry to write a program. He
did a great job. It works better than I expected. I have traded stocks,
options, and futures. I just like gold futures because they are so volatile. I
trade long and short. I just make such a good profit on gold futures that I
don't need anything else. I trade about 5 to 10 times a month. First, I
backtested. Then I traded manually. Now, I am auto trading. My trading results
are very close to my backtesting results because I only place a trade at the
time that my backtest would trade which is 4:30am, 5:15pm, and midnight. At
least, that is what I think is happening.
Here is my backtest results.
Statistics | Charts | Trades | Formula | Settings | Symbols
Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 31029.60 19807.60 21222.00
Net Profit 21029.60 9807.60 11222.00
Net Profit % 210.30 % 98.08 % 112.22 %
Exposure % 1.41 % 0.95 % 0.46 %
Net Risk Adjusted Return % 14897.28 % 10305.81 % 24396.51 %
Annual Return % 1053.77 % 337.61 % 407.90 %
Risk Adjusted Return % 74648.77 % 35475.95 % 88677.77 %
--------------------------------------------------------------------------
All trades 23 13 (56.52 %) 10 (43.48 %)
Avg. Profit/Loss 914.33 754.43 1122.20
Avg. Profit/Loss % 914.33 % 754.43 % 1122.20 %
Avg. Bars Held 9.74 9.62 9.90
--------------------------------------------------------------------------
Winners 13 (56.52 %) 7 (30.43 %) 6 (26.09 %)
Total Profit 29437.60 14846.40 14591.20
Avg. Profit 2264.43 2120.91 2431.87
Avg. Profit % 2264.43 % 2120.91 % 2431.87 %
Avg. Bars Held 12.23 12.86 11.50
Max. Consecutive 6 3 3
Largest win 8455.20 3355.20 8455.20
# bars in largest win 11 9 11
--------------------------------------------------------------------------
Losers 10 (43.48 %) 6 (26.09 %) 4 (17.39 %)
Total Loss -8408.00 -5038.80 -3369.20
Avg. Loss -840.80 -839.80 -842.30
Avg. Loss % -840.80 % -839.80 % -842.30 %
Avg. Bars Held 6.50 5.83 7.50
Max. Consecutive 2 2 1
Largest loss -1594.80 -1594.80 -1424.80
# bars in largest loss 18 18 5
--------------------------------------------------------------------------
Max. trade drawdown -3050.00 -2760.00 -3050.00
Max. trade % drawdown -92.58 % -92.58 % -74.40 %
Max. system drawdown -3894.40 -4944.80 -4814.40
Max. system % drawdown -22.73 % -22.29 % -25.09 %
Recovery Factor 5.40 1.98 2.33
CAR/MaxDD 46.37 15.15 16.26
RAR/MaxDD 3284.68 1591.89 3534.35
Profit Factor 3.50 2.95 4.33
Payoff Ratio 2.69 2.53 2.89
Standard Error 2233.04 1275.82 2009.76
Risk-Reward Ratio 22.13 21.75 10.78
Ulcer Index 6.33 7.16 8.59
Ulcer Performance Index 165.67 46.41 46.87
Sharpe Ratio of trades 3.71 3.94 3.72
K-Ratio 0.1626 0.1598 0.0792
I hope that this answers some of your questions.
Tom
----- Original Message -----
From: Louis P.
To: [email protected]
Sent: Thursday, July 31, 2008 10:17 AM
Subject: Re: [amibroker] Re: Anyone actually making money?
Hi professor,
Is there a particular reason why you chose futures over stocks?
And why do you use IB automatic trading if trading delay is not a problem?
It seemed to me that the more volatile a market is, the faster one must
buy/sell.
I'm still thinking about trying IB automatic trading, but it just seems like
a hell lot of trouble to learn how to use it. Was it easy for you?
BTW, you said Barry helped you to write the code. This must help! ;-)
Louis
2008/7/31 <[EMAIL PROTECTED]>
Louis,
Since I only make trades 3 specific times a day, I don't worry about the
trade delay. I do use IB automatic trading. I have just finished testing it. I
would watch my auto trade and then trade it manually. Now I am switching to
auto trading completely. I had Barry write the trading program for me. It seems
to work great. However, my trading part may have a problem which prevents a
trade occasionally, but it doesn't prevent my trading from being very
profitable. I only trade gold futures which as you know as very volitable.
Tom
----- Original Message -----
From: Louis P.
To: [email protected]
Sent: Thursday, July 31, 2008 9:48 AM
Subject: Re: [amibroker] Re: Anyone actually making money?
To Tom: Do you use IB automatic trading? Is it possible to test such
feature? I find that intraday trade delay is a major reason why I don't make
any money. If I was faster I could do better.
Thanks,
Louis
2008/7/31 <[EMAIL PROTECTED]>
> Is it not obvious to you that some people�s personality calls for a
trading system, while others personality calls for a discretionary
approach.
I think that is the best thing that I've read on this thread!
I agree. I have found that I am too emotional to try day trading
because I make emotional decisions. That is why I developed an EOD program to
trade. When that was very profitable, I had my EOD program converted to a real
time program and auto trade. I use a dat/night chart and only trade 3 times a
day. Now I just watch to make sure the auto trade is working correctly.
Tom
----- Original Message -----
From: tuzo_wilson
To: [email protected]
Sent: Thursday, July 31, 2008 7:31 AM
Subject: SV: [amibroker] Re: Anyone actually making money?
--- In [email protected], "Jan Malmberg" <[EMAIL PROTECTED]>
wrote:
> Is it not obvious to you that some people�s personality calls for a
trading system, while others personality calls for a discretionary
approach.
I think that is the best thing that I've read on this thread!
Tuzo
