CL always-in

[dom993]

I am traveling right now so I don't have exact figures, but I think the P/F with stops is ~1.38 in backtest (5100+ trades), and 1.40 in forward test (~ 500 trades).

Avg/trade (per contract) is just under $100 in backtest, ranging from $47 in 2007 to ~ $190 in 2008, $110 in 2009, $65 to $90 in 2010..12, and just under $90 in 2013 ytd.

 

[dom993]

Week ending October 18:
8 wins ; 7 losses ; net -55

Week ending October 25:
8 wins ; 6 losses ; net -205

Week ending November 1:
8 wins ; 6 losses ; net +1970

Week ending November 8:
8 wins ; 2 BE ; net +2200

The re-designed system (live since October 15) has been working decently on the last 4 weeks - the results for the week of October 18 actually include a couple days of the prior version of the system, which lost -3840 in 2 days.

That version is only -440 from its P&L peak for the year.

As of the close tonight, the realized P&L since I started trading CLAlwaysIn is +6,495 (for 471 trades!), and the current drawdown is -14,635 from the P&L peak of July.

Attached: my account P&L graph since I started trading the system.

 

[EliteTraderNYC]

Hey DOM do you think these patterns are specific to CL or do you think they would also imply to ES?

 

[dom993]

Results for the week ending November, 15th, 2013:
- 3 wins ; 4 losses ; 1 BE ; net +320

A couple trades gave back over 1,000 each

 

[dahutu]

dom, would you mind sharing your continuous historical data? I am in the process of developing my own automatic trading system, but have issues of finding continuous future intraday historical data.

 

[dom993]

My historical data is from TickData (www.tickdata.com) ... reasonably good quality, not free but not unreasonable either.

 

[dom993]

Results for the week ending November 22:
4 wins ; 2 losses ; 2 BE ; net -780

 

[EliteTraderNYC]

Also check out big mikes forum for data, and Kinetick - they have a good amount of minute data.

 

[dom993]

Results for the week ending November 29:
- 5 wins ; 2 losses ; net -155

Results for the week ending December 6:
- 2 wins ; 3 losses ; net +1260

Current drawdown from July P&L peak: -14990
P&L from start: +6140

 

[dom993]

Results for the week ending December 13:
- 2 win ; 4 losses ; -1730

Results for the week ending December 20:
- 1 win ; 3 losses ; -1150

Results for the week ending December 27:
- 4 wins ; 1 loss ; +1155

Results for the week ending January 3:
- 2 win ; 2 losses ; +490

Results for the week ending January 10:
- 3 wins ; 4 losses ; -915
Very much annoyed as 1 trade was stopped to the tick

Results for the week ending January 17:
- 6 wins ; +4445

Cumulative P&L since start on March 19, 2013: +8,435 for 535 trades
Current drawdown: -12,695 vs P&L peak July 2013