Louis, I do trade 3 bars a day using hourly data. I tried different time frames and they were all profitable except anything under 15 minutes. I would get whipsawed. My EOD trading showed an annual profit of 60.10% so I was very happy. I then found that a daily chart using hourly stats showed a better profit so I had a program written to do that.
I accidently used a day/night chart when I backtested and the results were amazing. So I worked on duplicating the backtesting procedure when I traded. I had Barry write me an autotrading program so I didn't have to get up at 4:30am. I have an alert sent to me on my cell phone. It is on a special email that only gets alerts. Now, I can sleep in and when I get a signal the cell rings and wakes me up. I also take my laptop with me and when I get an alert on my cell, I use my laptop to access my home computer to check on the trade. I love this auto trading. Tom ----- Original Message ----- From: Louis P. To: [email protected] Sent: Thursday, July 31, 2008 11:30 AM Subject: Re: [amibroker] Re: Anyone actually making money? 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. 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
