My Automated Trading Strategy (3Years+ of Historical Data) Please Critique!

J

julian0625

Hello Everyone,

My name is Julian Marchese, I am 14 years old, and I have an extreme interest in the financial markets. If you want to read more about my story, check out my discretionary thread here: http://www.elitetrader.com/vb/showthread.php?s=&threadid=216513.

Anyways, over the past few months I have been developing a few proprietary automated trading systems. Before I put my money on the line, I wanted to share the results of 3 years of backtesting on both the Euro future, and the S&P Emini futures. This is the first strategy I have created, in which I am willing to start putting money on the line. So any of the experienced automated traders, please critique the results so I can further enhance it!

Here is the results on the EURO FUTURES which the strategy trades 24 hours.

Stats:
<a href="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/5736ab3e-424e-43af-b34a-076dda267b04/EuroStrategyStats.png"><img class="embeddedObject" src="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/5736ab3e-424e-43af-b34a-076dda267b04/EuroStrategyStats.png" width="1048" height="705" border="0" /></a>

Cumulative Profit:
<a href="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/70184012-88b9-4afe-b658-90e9c8fba6dc/EuroStrategyCumulativeProfitChart.png"><img class="embeddedObject" src="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/70184012-88b9-4afe-b658-90e9c8fba6dc/EuroStrategyCumulativeProfitChart.png" width="1049" height="653" border="0" /></a>

Monthly Profit:
<a href="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/a73d16cd-bd36-4fd1-97db-f8f87adadb24/EuroStrategyMonthlyProfitChart.png"><img class="embeddedObject" src="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/a73d16cd-bd36-4fd1-97db-f8f87adadb24/EuroStrategyMonthlyProfitChart.png" width="1049" height="653" border="0" /></a>

Now this is all trading one contract of the euro. This is derived from 24 hour data starting from 16/02/2007.
 
Here is the S&P 500 emini Strategy results which ONLY TRADE RTH (9:30-4:15).

Stats:
<a href="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/028d6f62-0140-4141-a007-d213e5f2f47e/SP500StrategyStats.png"><img class="embeddedObject" src="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/028d6f62-0140-4141-a007-d213e5f2f47e/SP500StrategyStats.png" width="1048" height="705" border="0" /></a>

Cumulative Profit:
<a href="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/e6d85f62-5df1-4ccc-9093-01f35e0a7ef1/SP500StrategyCumulativeProfitChart.png"><img class="embeddedObject" src="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/e6d85f62-5df1-4ccc-9093-01f35e0a7ef1/SP500StrategyCumulativeProfitChart.png" width="1049" height="653" border="0" /></a>

Monthly Profit:
<a href="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/0d7a8a35-193e-4874-80ff-c8c136208c1f/SP500StrategyMonthlyProfitChart.png"><img class="embeddedObject" src="http://content.screencast.com/users/UATrading/folders/Automated%20Strategies/media/0d7a8a35-193e-4874-80ff-c8c136208c1f/SP500StrategyMonthlyProfitChart.png" width="1049" height="653" border="0" /></a>

This again is only trading 1 CONTRACT.

Please critique everyone it is really appreciated!!!
 
So basically on an account of what I recommend of about 10k, these two strategies would have made $250k in 4 years or so.

Thats a wopping 2500% on my account... should I be expecting these types of gains?

Thats what worries me the most. I have built something that appears to make astronomical amounts on the capital invested. Is this expected??

Thanks for your help!

Julian
 
Quote from nonlinear5:

Why are there zeros in the "commission" row?
More...

Because it depends on your broker. My commission on the s&p emini is about $4.50 a RT so it will cut into a little less than half of the profits as the strategy makes about $10 a trade.

$10-$4.50= $5.50

SO with commision the emini strategy made $55k or so.

The euro strategy would be $100k or so net as well.

So this obviously slipped my mind, but this strategy would have returned 1500% not 2500%.

Still pretty impressive IMO. Is this what I should expect though?
 
Quote from PocketChange:

You survived August 2008 - December 2008 trading 1 car. Nice job.
Promising system... Maybe collective2 might be a good fit?
More...

Yea when I saw that it basically went sideways during that time, I was reeeeeeeally surprised XD :eek:

If I may ask, what is collective2?
 
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