Hi professor, Thanks for sharing your results! Those are incredible results, indeeed! But, if I understand correctly, you trade 3 bars/day, right? You split your Daily data in three, and then you act on this data. But 23 trades is not a lot, and did you try this in OOS? Was it as good?
I might be too skeptical, but I just have toruble to believe you can achieve 300% profit with 23 trades with 3 bars/daily consistantly. Or am I missing something? Anyway if it works, this is a proof that something can work! BTW, where do you find the time to sleep? :-P Thanks! Louis 2008/7/31 <[EMAIL PROTECTED]> > > 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. <[EMAIL PROTECTED]> > *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. <[EMAIL PROTECTED]> >> *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 <[EMAIL PROTECTED]> >>> *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 >>> >>> >> > >
