Average system/strategy return breakdown

Great points:

> degrees of freedom in the BT
>"softness" in the equity curve to a modest range of change in the key parameters

I'd say the system is "highly" optimized though the avg return variations relate very logically to the adjusted parameters and there is a large very profitable "bubble" in the center of which I've settled my parameters

> how many contracts are practical to trade without serious slippage during the time of day the system works

I only include stocks which have median min daily price*volume of 80 million - I think an estimate of $100,000 per recommendation with a slippage of 0.25% is overly conservative 0.10% might be more realistic (but this is why I started this thread!)

> BTW, make an old man feel like shit. What's the timeframe, instrument, and net profitability of your system?

The backtest runs from Jan 2 1997 through yesterday (Thursday)

There's no way I'll hint at the instrument.. :)

Net profitability 0.70% per trade inc slip/commish
with portfolio managment:

avg 9% per quarter based on fixed $100,000 investments on 7 portfolio "slices"=$700,000

max DD 17.7%
 
...by "instrument" I was referring to the security issue, wondering if it trades on one issue only. Thanks for the clarification. With 9% profit per quarter and 0.7% gross per trade, are you implying that it trades roughly 13 times per quarter? That's what I meant by my timeframe question.

I only trade futures, but your stock commission and slippage seem to me like killers relative to those for futures. Is there some reason the system won't work on an index future?

Is that max DD on a yearly or quarterly basis? Again, relative to futures returns, I would have to add an anti-nauseal to my pharmacopeia to trade such a system.

Not cavilling, mind you, just want to understand.
 
0.7% per trade average trade length 3 days

I don't think the system will work on an index future

The max DD was of all-time, it was back in 1998 nothing over 10% since
 
Sorry forgot to answer the 13 times question.. no far more trades than that - over 3000 since the start of 1997
 
..thanks for explaining, very nice results (for stocks, haha!), and best of luck with your endeavors to partner. Failing that, you might consider applying yourself to day trading index futures, where a modest account can be built up rather quickly with a good system or systems. Then you could switch back to stocks and trade your system yourself with your own money.
 
DK,

I cant help but wonder why you would want to sell such a good system.. There would be more money in trading it. THe only two options I can see are: 1. Profit sharing or 2. System really does not work.

Even if you are under capitalized anyone can save a few grand to trade. Hell I did it when I was 14 collecting cans/ old news papers. Then again I did lose it all in my first adventure of trading!
 
The commissions would eat me alive. I traded a system about a year ago with $20,000 Canadian the problem was that at the time commissions were C$29 each way - and ate my profits. Granted I now have an Ameritrade account but my improved system utilizes multiple positions so it's a similar situation. Regardless I now have access to a pool of capital to fully implement this system. I'll take what I can get until I can go it alone.
 
...I didn't catch the portfolio aspect of your system before. If it is not proprietary to ask, does it NEED to hold multiple positions simultaneously to work well?
 
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