intraday strategy %`s

indahook · Apr 1, 2003

Yes, they were both included in the test.
Chris.

Corso482 · May 26, 2003

Quote from indahook:

Went live today.
4/1/03
3 trades today
$196.50 after comm.
Its a start!

Did you continue trading the system???? What ever happened????

TraderD · May 27, 2003

Quote from indahook:

..... When I calculated my entries and exits I took the average of the high and low of the candle I was entering on to account for slippage....

I would be very cautious here. In a way, you have a system within the system - you magically know the middle of the candle. I would recommend using open or close and then deduct slippage.... Feeling good about retesting (manually)? But that is what you have to do, otherwise you _might_ be deluding yourself.

indahook · May 27, 2003

Quote from Corso482:

Did you continue trading the system???? What ever happened????

Yes...I have been trading the system using the SPY intraday only.
It has worked out nicely for me so far. So far the test results have been true to life. 53.7% accuracy, avg winner = .51 avg loser = .25. As close as it gets I suppose. Probably because I manually backtested and visually chose the trades that fit my mechanical/discretionary system.Best so far has been $720 and biggest loser $300. I wont even bother printing my Net P+L because there will be naysayers and the like. Suffice it to say that it has been successful so far.

I am also building an EOD system, the same rules for long and short only flipped.

2506 trades
%48.38 winners % 51.62 losers
%17.82 ROI (tested through every mkt condition, raging bull, hairy bear and flat lining.)
avg profit %2.01 avg loss %1.78
avg drawdown %.0.84
max profit %18.345 max loss %%14.765
1.25 - 1 ratio

I will be be going live real soon

indahook · May 27, 2003

Quote from TraderD:

I would be very cautious here. In a way, you have a system within the system - you magically know the middle of the candle. I would recommend using open or close and then deduct slippage.... Feeling good about retesting (manually)? But that is what you have to do, otherwise you _might_ be deluding yourself.

My P+L is not deluding me(correct usage?)

spreadem · May 28, 2003

2506 trades
%48.38 winners % 51.62 losers
%17.82 ROI (tested through every mkt condition, raging bull, hairy bear and flat lining.)
avg profit %2.01 avg loss %1.78
avg drawdown %.0.84
max profit %18.345 max loss %%14.765
1.25 - 1 ratio

I will be be going live real soon

How much data (months, years) is being covered?

How many trades per day on average?

Does the system trade every trading day?

indahook · May 28, 2003

Quote from spreadem:

How much data (months, years) is being covered?

How many trades per day on average?

Does the system trade every trading day?

4 years of data. I tested the strategy in every market condition separately. Broken down into 3 time frames. Just under 3 trades daily on average. But one of my rules is no more than 5 open positions. The hypothetical returns posted take that into account.