Fully Automated Day Trading

[Rickshaw Man]

Trading Style: Intra Day Momentum

Past 12 month performance (First 11 months from back test, last month is live trading)

2017:07 1.4%
2017:08 4.8%
2017:09 0.8%
2017:10 -6.0%
2017:11 8.8%
2017:12 5.8%
2018:01 9.5%
2018:02 -0.7%
2018:03 6.2%
2018:04 1.7%
2018:05 -3.5%
2018:06 8.6% (Live trading!)

Full back test goes back over 15 years, results as follows:

Mean Annual Return: 45%
Std deviation of annual return: 20%
Best performing year: +100%
Worst performing year: +4%
Largest drawdown: 15%

Trades per year: 136
Trade Win %: 40%
Monthly Win %: 75%
Average Monthly Return: 3.75%
Best performing month: +25%
Worst performing month: -10%

I plan to update this journal at the end of each month.
But sometimes i upgrade my systems based on new research breakthroughs, if so i might start a new journal if the new system is significantly different from this one.

This is just stats typed on a forum. Lets see this on your trading platform. Post something that's credible.

 

[Rickshaw Man]

Trading Style: Intra Day Momentum

Past 12 month performance (First 11 months from back test, last month is live trading)

2017:07 1.4%
2017:08 4.8%
2017:09 0.8%
2017:10 -6.0%
2017:11 8.8%
2017:12 5.8%
2018:01 9.5%
2018:02 -0.7%
2018:03 6.2%
2018:04 1.7%
2018:05 -3.5%
2018:06 8.6% (Live trading!)

Full back test goes back over 15 years, results as follows:

Mean Annual Return: 45%
Std deviation of annual return: 20%
Best performing year: +100%
Worst performing year: +4%
Largest drawdown: 15%

Trades per year: 136
Trade Win %: 40%
Monthly Win %: 75%
Average Monthly Return: 3.75%
Best performing month: +25%
Worst performing month: -10%

I plan to update this journal at the end of each month.
But sometimes i upgrade my systems based on new research breakthroughs, if so i might start a new journal if the new system is significantly different from this one.

So if you want to come here and post stuff like this you need to post snap shots from your software...NOT numbers typed onto the site. Whats your draw down? Post something showing your strategy in an actual trading software. I use Multicharts.

 

[Millionaire]

So if you want to come here and post stuff like this you need to post snap shots from your software...NOT numbers typed onto the site.

My back testing and automation software is custom developed by me, i am a programmer.

Whats your draw down?

The Largest drawdown was mentioned in the opening post, you clearly missed it.

 

[Millionaire]

I'm wondering if you've tried trading off daily bars successfully, or if your approach would require intraday short time frames and thoughts on that?

I have never tested with daily bars or overnight holding. Always been a day trader.

Also, do your system have some kind of stop-loss, and could such lead to high risk of ruin (DD -30%+),

In the worst case of having a nasty drawdown much larger than the back test i would start cutting down my position size, even faster than the system dictates, but i would continue to take every signal.

The mean of 45% and stddev of 20% suggests negative years are quite possible in future trading.

and also wether you've tested the system in different market conditions, eg. Y2K bust, 2007-2009?

Yes i have, the system tends to do better in high volatility markets. Although sometimes it surprises in low volatility markets as well.

 

[Van_der_Voort_4]

. I use Multicharts.

That's one hell of a curve fit
How come you only run it for 5 months?,LOL
If this was ES it would equal to average < 39 points per profit trade, average 11 points per day!

 

[Bill.C.]

Alright well thanks for that though I dont know how I am supposed to try it.

 

[cruisecontrol]

What instruments are you trading with this system?

Curious about this as well. Is telling us the instruments giving away too much info?