Recent content by cwu8918

The system traded on market order, and no positions overnight when I traded with my real account. The executions time were less than 500 ms. The slippage was very small, once or twice a day, one tick only if it happened. Slippage is not always bad. It happened in two directions, some times in...

It depends on the broker's margin requirements. e.g. for IB, trading one contract requires: ES GLOBEX: Intraday Initial - $2,875, Intraday Maintenance - $2,300 Overnight Initial - $5,750 Overnight Maintenance - $4,600 NQ GLOBEX: Intraday Initial - $2,250, Intraday Maintenance - $1,800...

Here is the backtest results from my NQ automatic trade system now: from Jul 20, 2009 - Nov 21, 2014 ( total 64 months): Trades: 4614 Net Profit: 146349 Max DD: 5042 Profit Factor: 1.51 For the past 4 years, I've been using this system to do forward test every day, and still don't have enough...

None. Forgot to mention it in my first post, the test data doesn't include the market data for May 6, 2010 and May 7, 2010. The market volatility for May 6, 2010 was unusually high, so the test result of May 6, 2010 was un-normal; even the following day, May 7, 2010 was unusual. I've decided...

YM performance

NQ performance

ES performance

I did forward test all three symbols on my IB paper trading account. The results of the forward test are almost same as the backtesting. The system traded on market order, executions time were less than 500 ms. The slippage was very small, once or twice a day, one tick only if it happened...

I've developed a system for fully auto trading E-mini futures. Here are the backtest results for the last 15 months. Trade one contract for each symbol, and no positions overnight ES: 07/20/2009 - 10/29/2010 Trades: 883 Net Profit: 53119 Max DD: 2068 Profit Factor...