Automated Day Trading

M

Millionaire

From June 2018, I will be live trading the following system, fully automated, using the Interactive Brokers API.

Type of system: Intra Day
Markets Traded: Not Disclosed

System Stats
(These figures take into account all commission costs and estimates for slippage)

# of trades per year: 132
% of trades which are profitable: 37%
Average win/loss ratio on each trade: 3:1

% of months which were Losing: 32%
Average losing month return: -3.8%

% of months which were Profitable: 68%
Average profitable month return: +7%

Average return (all months): +3.6%

Typical monthly return range: -10% to +25%
Gain to Pain ratio: 3!

Average annual return: 43%

Largest drawdown: 25%
Longest drawdown: 12 months

5 Year visual back test results (60 most recent Months) % return per month

FullyAutomated.png



Plan is to update this journal at the end of every calendar Month.
 
It's not critical, but I can't visually find a 12 month drawdown in the bar chart you supply, although you state the longest drawdown is 12 months. Does the bar chart just represent a subset of your backtest results or is it the whole thing?

The first drawdown would be at most 5 months (1-5).
The second drawdown would be 1 month (13).
The third drawdown would be at most 7 or 8 months (15-21 or 15-22).
Etc...
 
Statistical Trader said:
Does the bar chart just represent a subset of your backtest results or is it the whole thing?
More...

A subset, i chose last 5 years. The rest of the back test looks pretty similar. Although the five losing months in a row seen in the above chart is quite rare, in theory, based on monthly loss rate of 32%, five losing months in a row should only happen about once every 25 years assuming the system still holds up.
 
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