If your using EFS, enter the highest return you've had...

[BakedWafer]

I am using NQ #F for testing but trading NQ M4. Thanks for the heads up though Doji.

[BakedWafer]

Doji, would you be interested in swapping systems? I think we could help each other out with ideas.
EDIT***
We could password protect them so we couldn't view the code.


Let me know.

[Doji3333]

My system's 120 day test of the NQ

Here is a 120 day test of my system for the NQ#F. I know it has alot of trades, but with $68,166 in profits for 6 months trading 10 contracts - I know I would be willing to deal with the drawdowns.

It did have one loosing month (december 2003) with a loss of $3000. The rest were all profitable.

This is a test with the Phase 2 system with the following settings..

var tStart = 630;
var tEnd = 1302;

var LossLimit = 9; // set to 99 to create UNLIMITED loss count
var LossCutoffTime = 1200;
var ExitOnReverse = true; // Set to true to force an EXIT on ANY REVERSAL signal

var DefEntryContracts = 200;
var ExitContracts1 = 200;

Baked, I'll consider your offer to swap efs files.. I still have a few more days of testing left to do before I'll be ready to show it to anyone.

[Doji3333]

correction...

Make that .... $86,188.87 .... in profits.

[BakedWafer]

Give me a second to compile a 6 months NQ F, with 10 contracts

[BakedWafer]

Re: correction...

Originally posted by Doji3333
Make that .... $86,188.87 .... in profits.

The thing I like about my strategy, is there is a trailing stop that bumps you out before you get slammed on a draw down.

[BakedWafer]

No losing months, although APRIL was really close! REAL TIME testing on one contract to start tomorrow!

[Doji3333]

Baked...

Looks real good. Yeah, your system (and your stops) are presenting a smoother equity curve.

My system does not have stops. It uses the Phases as a entry/stop mechanism. That is why you can see my system taking some draw-downs, but it also allows it to stay in a trade and "take some heat".

The benefit to what we are going is showing people (partially) how we skin a cat. There are different ways to skin a cat - obviously.

I'm curious about something though. I'm using 3 minute charts - how about you?? The reason I'm asking is because of the number of trades compared between the two systems. If you are using a longer term chart, then this could easily be the difference.

B

[Doji3333]

My monthly results.

Here you go (for comparison).

Baked, I'm also curious how you end up with whole numbers on that last test?? All of your months end in .00?? Are you rounding the commissions for the trade or doing something in your code?

I use 0.096 for my commisions (per contract) - that is probably why my numbers are all wacky.

B

[soylent]

huh, must be in reverse

I may be on to something here...

This one seems to work completely reveresed from what it should.

huh.

-c

[BakedWafer]

Re: Baked...

Yes. DOJ, I am using a 5-minute chart, let me try it on a 3 and see what results I get back. Post em in a second. If you'd like you can IM me at WakedBafer and we can chat in quasi-realtime.

J

Originally posted by Doji3333
Looks real good. Yeah, your system (and your stops) are presenting a smoother equity curve.

My system does not have stops. It uses the Phases as a entry/stop mechanism. That is why you can see my system taking some draw-downs, but it also allows it to stay in a trade and "take some heat".

The benefit to what we are going is showing people (partially) how we skin a cat. There are different ways to skin a cat - obviously.

I'm curious about something though. I'm using 3 minute charts - how about you?? The reason I'm asking is because of the number of trades compared between the two systems. If you are using a longer term chart, then this could easily be the difference.

B

[soylent]

You know -- looking @ my sorry EFS, I couldn't help but throw on some trend lines and short my own EFS.

I think it's been a long day.

-c

[BakedWafer]

Originally posted by soylent
You know -- looking @ my sorry EFS, I couldn't help but throw on some trend lines and short my own EFS.

I think it's been a long day.

-c

LOL, Soylent.

***EDIT***

Doj, it pumps the amount of trades up to 560. I wonder how closely related out strategies are. :?}

[Doji3333]

Soylent...

I've had graphs like that before. I even tried (once) to reverse my trading logic to see if it would create an inverse graph - no luck. Just remember, tomorrow is another day and there IS another way to skin that cat.

Baked, hey I'll be in the NJ/NY area very early next month - working for the hedge funds .. yes, now two of them. Maybe we can meet. My schedule will be very tight, but I might have some time on Sunday the 6th of June. Email me at [email protected] if you want to meet.

B

[spike500]

Just a thought

BakedWafer,

I think there might be an error in your Strategy Performance Summary.
The report generates a number of statistics but I think the program starts from the principle that you always fully invest your equity. This means that you start trading with the number of contracts as you do but that you have to build up bigger positions as your equity becomes bigger. This means that your profits will be much larger , but also your drawdown will be much larger because your losing position will be much bigger (more contracts).

It think that the purpose of calculating a drawdown is to show to the potential investor the maximum risc he would have had if he had started trading in your system on the worst possible moment. The worst possible moment is where the drawdown is the biggest. As you always took the same position from the start, the drawdown has to be calculated on the initial investment. This means that you cannot divide the 2711$ by 30912$ (which was in your case the equity when the drawdown happened) but you have to divide it by the initial capital which is much smaller. You have to calculate it in this way because the investor starts at the worst possible moment and will take a loss of 2,711$ against his initial investment ( he will have no gains at that moment), not against the equity that you have at that moment. This will give a substantially bigger drawdown. If we suppose starting capital was 10,000 $ then the drawdown would be approx. 27% and not 8.77%. That’s a huge difference, especially when you lose it.

The minimum account size required is also wrong to me. The minimum account size has to be calculated in accordance with the risc of level you are prepared to take. If your minimum account size is 2,711$, your account will be wiped out if you start trading at the worst possible moment because you will have to take a loss equal to the invested amount. On top of that I don’t think you can trade your position with 2,711$ on your account.

Example of calculating the minimum accountsize: The first question an investor has to answer is:how much risc do I want to take? If you don’t want a drawdown of more than 25% the 2711$ drawdown must represent this 25% on your invested capital. So the minimum capital required would be 2711/ 0.25 or 10,844$.

Be careful with automated calculations in report generators. Always check if the calculations are correct (if possible) and never take these figures for granted. In backtesting you can optimise all the parameters in your system to get the best results. But don’t forget these are the results for THE PAST. There is no prove that this will be the case for THE FUTURE.
I once builded a system that was optimized on the past. It gave very good results. When I started trading I reoptimized the system daily to be sure that the parameters were optimal for the actual situation. ( I tough that this was a brilliant idea) But I was never able to reach the returns that were achieved in the backtesting. That’s also why many systems with good results in the past give such a poor results in real trading.

I don’t want to ridiculize anyone or any attempt to build a good system, but I find it important to share my experience and to argument my point of vue . If I don’t agree with something I always explain why.
I hope you don’t see this posting as a posting from Mr Wiseguy, I only try to think of things that can improve your system.

Regards,
Spike