Quote from dnaj65000:
I'm working on a system for the SPY that shows some promise. It's not ready for real trades yet, but backtest results are as follows:
5 month test period (Mar 2002-today, missing Apr)
intraday time frame. sometimes overnight holding up to 3 days (not including weekends)
72 trades
54 wins
18 losses
win % = 75%
biggest win = $1.31
biggest loss = -$1.43
max drawdown intraday = -$2.66
gross profit = $11.83
my net with my commiss structure = $9.67
I've never bought or seen results of other mechanical systems. Since it sounds like you've searched for some before, how do my preliminary numbers stack up against them?
DNAJ65000
5 months??? Gimme a 10 year result... then I'll be wow-ed...
OK... Gimme till next morning.. and I'll have one that out do that system for a 5 month period in 30 min.... I'll do it on ES...
C'mon... fellow system trader... any system less than 5 years of data is worthless...