How can i bring this system to the next level

[Dekor]

First things first, i know this is my first post here so probably there are going to be a few members who are not going to take this serious, anyway ...

I have created an automated scalping system in the 30 year bond futures (ZB).
The system is being forward tested for the last 10 month's with 245 trades.
Now i will share the statistics of the results: (results are based on an account balance of 50K and trading size started with 5 contracts, 2 contracts added every 15k profit)

Total lengt: 10 months (09-2016 until 06-2017, testing will continue in the future)
Total trades: 245
Winning trades: 153
Losing trades 104
Win rate: 60%
Total return: 81.17%
Max DD 9.59%
Profit factor: 1.68
Sharpe ratio: 18.9 (However i do think i made a mistake with this calculation )

So if i would have started with a 50k account in september 2016 and traded 5 ZB contracts and added 2 every 15k profit i would have made 40587.25$.

Of course i am very satisfied with these results so far, the draw down could even be lower if i would aim for a lower return.

Now i am wondering, what is the next step.
Unfortunately i do not have the funds to scale this system up to its full potential.
Also i am unable to save up a lot of funds the coming time to start this completely on my own.
Are there any members here who can advise me, perhaps some trades who have been in a similar situation?

Ps: Advice on the system or how to do the correct share ratio calculation is very much appreciated!

 

[wintergasp]

First things first, i know this is my first post here so probably there are going to be a few members who are not going to take this serious, anyway ...

I have created an automated scalping system in the 30 year bond futures (ZB).
The system is being forward tested for the last 10 month's with 245 trades.
Now i will share the statistics of the results: (results are based on an account balance of 50K and trading size started with 5 contracts, 2 contracts added every 15k profit)

Total lengt: 10 months (09-2016 until 06-2017, testing will continue in the future)
Total trades: 245
Winning trades: 153
Losing trades 104
Win rate: 60%
Total return: 81.17%
Max DD 9.59%
Profit factor: 1.68
Sharpe ratio: 18.9 (However i do think i made a mistake with this calculation )

So if i would have started with a 50k account in september 2016 and traded 5 ZB contracts and added 2 every 15k profit i would have made 40587.25$.

Of course i am very satisfied with these results so far, the draw down could even be lower if i would aim for a lower return.

Now i am wondering, what is the next step.
Unfortunately i do not have the funds to scale this system up to its full potential.
Also i am unable to save up a lot of funds the coming time to start this completely on my own.
Are there any members here who can advise me, perhaps some trades who have been in a similar situation?

Ps: Advice on the system or how to do the correct share ratio calculation is very much appreciated!

When you say forward tested, do you mean you actually traded it with real money for 6 months ?

Otherwise your result are worthless, you don't know the market impact and total transaction cost (incl. slippage) that you would have had, especially with such frequency.

In terms of P&L you need to plot a distribution of your return to see where the skew is, from your Win rate, I would say that you are likely to have a large loss that didn't occur in the short period of 6 month.

Also you'd need to show us what's the average trade profit for your trades.

Your annualized sharpe should be (average_daily_return)*251/(stdev(daily_returns)*sqrt(251))

Anything above 1 is not realistic on the long term.

 

[viruscore1]

Next step is fund your trade account with real money. If you are confident borrow the money anyway you can, 50k should be easy enough. Sell your car, max out your credit cards, borrow from family members. No not really but fund your account and join reality.

 

[wintergasp]

Next step is fund your trade account with real money. If you are confident borrow the money anyway you can, 50k should be easy enough. Sell your car, max out your credit cards, borrow from family members. No not really but fund your account and join reality.

Well if 50k is 5 contracts you could start with 10k and 1 contract

 

[Dekor]

When you say forward tested, do you mean you actually traded it with real money for 6 months ?

Otherwise your result are worthless, you don't know the market impact and total transaction cost (incl. slippage) that you would have had, especially with such frequency.

In terms of P&L you need to plot a distribution of your return to see where the skew is, from your Win rate, I would say that you are likely to have a large loss that didn't occur in the short period of 6 month.

Also you'd need to show us what's the average trade profit for your trades.

Your annualized sharpe should be (average_daily_return)*251/(stdev(daily_returns)*sqrt(251))

Anything above 1 is not realistic on the long term.

No large losses since the system uses a 1:1 risk reward.
Large part of it is live testing, so i do have a decent overview about the slippage (which also is minimal since i enter all positions with limit orders in the current market bid/ask, stops and profits are limit orders, market impact is extremely minimal in such a liquid future, definitely with this small size.

 

[Dekor]

Next step is fund your trade account with real money. If you are confident borrow the money anyway you can, 50k should be easy enough. Sell your car, max out your credit cards, borrow from family members. No not really but fund your account and join reality.

I am confident enough to borrow the money, the reason i am sharing the results here first is so that i can do some corrections to my calculations if necessary, check some of the reactions, etc

 

[Dekor]

When you say forward tested, do you mean you actually traded it with real money for 6 months ?

Otherwise your result are worthless, you don't know the market impact and total transaction cost (incl. slippage) that you would have had, especially with such frequency.

In terms of P&L you need to plot a distribution of your return to see where the skew is, from your Win rate, I would say that you are likely to have a large loss that didn't occur in the short period of 6 month.

Also you'd need to show us what's the average trade profit for your trades.

Your annualized sharpe should be (average_daily_return)*251/(stdev(daily_returns)*sqrt(251))

Anything above 1 is not realistic on the long term.

I have done some new calculations with your formula and now the result is 0.34.
Is this a more realistic number?

 

[Xela]

I have created an automated scalping system in the 30 year bond futures (ZB).
The system is being forward tested for the last 10 month's with 245 trades.

It sounds promising, in so far as it goes (yes, the Sharpe ratio is clearly wrong but that doesn't matter), if you've really made all the appropriate allowances for slippage and so on, and if it translates to a funded account without any accidents.

It's certainly possible, if adequately funded, to make a living from a system with a 1:1 R:R and a 60% win-rate, if that win-rate can be maintained indefinitely, if you allow for it appropriately with your position-sizing, and if it trades often enough.

I'm slightly surprised to see something described as a "scalping system" having a 1:1 R:R and slightly surprised to see that it barely trades more than once a day (did I understand that correctly: 24.5 trades per month on average?).

 

[wintergasp]

I have done some new calculations with your formula and now the result is 0.34.
Is this a more realistic number?

Sounds too low for your profit factor. Did you do this on daily return or on trades by trades ?

Yes but 1:1 ratio means nothing you can lose 10 times in a row = large loss...

 

[Xela]

With a 60% win-rate (if maintained!), there's less than a 1% chance of having 12 consecutive losing trades over more than 2-years-worth of trades, at 25 trades per month. But there's a more than 4% chance of having a non-consecutive losing patch financially equivalent to 12 consecutive losers.