Oh... just as I asked.. here are the stats! Interesting that the average winner is smaller than the average loser. What accounts for the difference between win rates here at about 72% and 71% for longs and shorts vs. the previous metric of 90%?
Index futures automation
- Thread starter hilmy83
- Start date
I'm assuming it's per trade basis for MT5. Example
Long 10 contracts
execution, long 3, long 5, long 2 = 3 trades.
If I reverse , it could revere all 10 contracts. so considered to be 1 trade
Sometimes it's all in , sometimes it's broken up, so you'll see more total trades.
QA would read that as single position long 1 trade.
I don't mind sharing stats, I really don't want to get into this chart execution. You can learn a lot on how trades are managed from charts (entries, s/l, reverses, tp management), It's a whole system on display..so I want to keep that to myself.
The stats (QA, MT5) have issues of their own. The only thing I can say is accurate is my spreadsheets. It's daily % return based on prev day balance, using accurate commission from AMP applied to the total rount turn lots displayed on the platform.
The stats (QA, MT5) have issues of their own. The only thing I can say is accurate is my spreadsheets. It's daily % return based on prev day balance, using accurate commission from AMP applied to the total rount turn lots displayed on the platform.
what kind of open drawdowns do you have? if you aren't holding even anything moderately losing or above, then your system is very good and after your 2-3 year period you shouldn't have much issue raising money if that's what you want. but the open trade drawdown is what i'd like to know.
From testing, max DD was about 40%. Very narrow sideways market will kill this strategy.
I wish i can raise money to trade this. Problem is, it's not very scalable because it takes liquidity away and with more contracts, you'll see slippage. Just based on current live slips, i don't see this even go beyond 1 mil in AUM. The edge is that narrow.
what I mean is - the max open drawdown a position has. that's the number I'm asking about. fair point on the raising money, I didn't consider that. if it's doing 30% on even half a mil, unattended, that's still a nice way of going about things while you trade / etc elsewhere.
I dont have any open drawdown cause I'm always flat end of day. I posted earlier the max intraday dd is about 8-9% so far
I'm happy and pissed at the same time that the ndx is up so much this year
NDX has just been crazy this year. Started tracking against it right at the start of this crazy bull move.
If history anything to go by, this year might close really bullish. YTD is already 27% . Avg return after a bear year is 50%!. There's still probably another 25% left into this year! Maybe next year this algo will catch up. At least it's doing better than SPX
NDX has just been crazy this year. Started tracking against it right at the start of this crazy bull move.
If history anything to go by, this year might close really bullish. YTD is already 27% . Avg return after a bear year is 50%!. There's still probably another 25% left into this year! Maybe next year this algo will catch up. At least it's doing better than SPX