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Example Trading System
- Thread starter sidinuk
- Start date
The system seems to be alternating between winning weeks and losing weeks. Last week we went down $880.00 after a profit of $3,175.00 in the previous week.
Having double checked my figures for last week I misquoted ER2 on Monday, it actually triggered a long trade first for a loss of 6 pts rather than a short trade for a loss of 3.5 pts. Also Friday was actually a $250 loss not a $270 loss. apologies - I shall be more careful in future!
Having double checked my figures for last week I misquoted ER2 on Monday, it actually triggered a long trade first for a loss of 6 pts rather than a short trade for a loss of 3.5 pts. Also Friday was actually a $250 loss not a $270 loss. apologies - I shall be more careful in future!
Oct 03, 2005. A Small loss as only YM and ES triggered trades - down $160 on the day.
Oct 04, 2005. A very mixed day with ER2 and NQ unfortunately being triggered long before the drop leading to stop out trades. However, YM, EMD and ES all caught the down move and more than covered the losses. Up $805 on the day.
Oct 04, 2005. A very mixed day with ER2 and NQ unfortunately being triggered long before the drop leading to stop out trades. However, YM, EMD and ES all caught the down move and more than covered the losses. Up $805 on the day.
welp i gotta say even though this system performed like crap in 2005 (essentially flat), it still performed better than most funds i think since its "release". right?
Well, yes, the system was developed using data from the first half of 2003 and forward tested to the end of 2004 when it was made public. The performance in 2005 has not matched that in 2003 and 2004 and it is an interesting experiment to continue to monitor the results. There are 4 possible reasons for this that I can think of:
i) Being made public has harmed the performance - unlikely, i think, as it is really a just an open range breakout system which have been around for years.
ii) The system was over optimised for 2003/2004 - unlikely, again, as it doesn't rely on many specify parameters.
iii) Market conditions this year haven't favoured breakout systems. Well it would be easy to say that the market this year has remained fairly static with the Dow moving in a range from 10k to 11k but it was like that throughout 2004 as well and the system pulled in a good performance then.
iv) It is impossible to design a mechanical system that will ever match historic performances - let's hope this isn't the case!
Anybody else and ideas?
i) Being made public has harmed the performance - unlikely, i think, as it is really a just an open range breakout system which have been around for years.
ii) The system was over optimised for 2003/2004 - unlikely, again, as it doesn't rely on many specify parameters.
iii) Market conditions this year haven't favoured breakout systems. Well it would be easy to say that the market this year has remained fairly static with the Dow moving in a range from 10k to 11k but it was like that throughout 2004 as well and the system pulled in a good performance then.
iv) It is impossible to design a mechanical system that will ever match historic performances - let's hope this isn't the case!
Anybody else and ideas?
Quote from sunnyskies:
it still performed better than most funds i think since its "release". right?
id like to see you manage 100M with this system.
i think this system simply banks on volatility -> im sure you would see a correlation between performance and volatility. since this system operates on a very slight edge, one reason for its dimishing returns could be put towards higher costs, the RSC(range/spread/commission) ratio on US indices is around <20> (avg$daily range / ($spread+$RTcommission)) atm whereas in 2003 it would have been around <30> because of higher volatility. simply put -> now your doing more RT's for the same $$$ -> taking longer -> decreased % return. the EURO has a RSC around <65> atm, hence more bang for your $$$. just like any other business, higher costs hurt.
Sid -
this is probably another good day for you.. a strong afternoon trend should give this sytem good profitability.. i haven't looked at your site today to see if the filters would stop you from trading certain pairs.. but on the ones that are traded today must yield some nice gains
this is probably another good day for you.. a strong afternoon trend should give this sytem good profitability.. i haven't looked at your site today to see if the filters would stop you from trading certain pairs.. but on the ones that are traded today must yield some nice gains
well, unfortunately the filters kept us out of all but YM today. But that made 33 points for a gain of $165.00 on the day.
Need to work on a swing trading system to really capitalise on this sort of persistent trend over several days. Still, our system has managed to get hold of some of it.
Need to work on a swing trading system to really capitalise on this sort of persistent trend over several days. Still, our system has managed to get hold of some of it.
Quote from sidinuk:
well, unfortunately the filters kept us out of all but YM today. But that made 33 points for a gain of $165.00 on the day.
Need to work on a swing trading system to really capitalise on this sort of persistent trend over several days. Still, our system has managed to get hold of some of it.
Sid,
Correct me if I'm wrong but I noticed that the system (if it traded Thursdays) gave back all of its (pretty decent) profit on ER2 today. I suspect it was much the same for the others.
What is your view on this problem? I know it probably doesn't happen that often but is it too hard to find a rule that will stop the bleeding on days like this?