NQ futures day trading systems
- Thread starter DT-waw
- Start date
Its true that if you assume a high enough deduction for commission and slippage you can ruin any good system................
The same is true of discretionary trading.
The same is true of discretionary trading.
DT,
Anomoly's system has an average trade of $53, so you can deduct whatever slip/commish you think is appropriate. Anomoly trades with IB, so commish is $5 r/t. I dont know how his system enters the market, but it exits with a limit order, so no slippage there. Missed trades perhaps, where the system exits at the top tick and a live order didn't get filled. But I have been very pleased with limit exits on NQ. If you get your limit exit placed early, you can very frequently get filled at your limit even if the market hits your price for just a short period of time.
Market orders with NQ pay the spread of course, but unless there is a fast move going on, slippage is minimal. So add in a tick of slippage for entries and you get $38 per trade on average. That isn't very large, but then the system gives you about 3 shots per day. And more importantly, the consistency is high, so you can consider adding contracts with a little more confidence. And the equity curve over the period shown is very smooth, again multiple contracts more plausible.
I did notice that the summary page shows "Max # contracts held: 20". That doesn't seem to match the trade listings, but it is a possible red flag. You have to be careful when examining system results that you know how many contracts (i.e. how much risk) were traded. Most systems show their results with 1 contract. Then you can use your own money management method to control the trade size.
-Jeff
Anomoly's system has an average trade of $53, so you can deduct whatever slip/commish you think is appropriate. Anomoly trades with IB, so commish is $5 r/t. I dont know how his system enters the market, but it exits with a limit order, so no slippage there. Missed trades perhaps, where the system exits at the top tick and a live order didn't get filled. But I have been very pleased with limit exits on NQ. If you get your limit exit placed early, you can very frequently get filled at your limit even if the market hits your price for just a short period of time.
Market orders with NQ pay the spread of course, but unless there is a fast move going on, slippage is minimal. So add in a tick of slippage for entries and you get $38 per trade on average. That isn't very large, but then the system gives you about 3 shots per day. And more importantly, the consistency is high, so you can consider adding contracts with a little more confidence. And the equity curve over the period shown is very smooth, again multiple contracts more plausible.
I did notice that the summary page shows "Max # contracts held: 20". That doesn't seem to match the trade listings, but it is a possible red flag. You have to be careful when examining system results that you know how many contracts (i.e. how much risk) were traded. Most systems show their results with 1 contract. Then you can use your own money management method to control the trade size.
-Jeff
Testing on the $ndx.x uses 20 "shares" to equal 1 NQ. WHY the NDX? It is continuous and for the Q`System there has been very little difference between testing on the actual futures contract and the cash index. Maybe 2 trades out of 100 different for +- a few hundred bucks either way with neither the cash or futures consistently outperfoming the other.
Oh, gotcha. You said that earlier, so I immediately started thinking "1 NQ" and forgot about the 20 $NDX.
Its interesting that your results dont differ much between NDX and NQ. Most systems have trouble converting from the cash index to the futures because of either the noisier nature of the futs, or problems caused by the premium.
Its interesting that your results dont differ much between NDX and NQ. Most systems have trouble converting from the cash index to the futures because of either the noisier nature of the futs, or problems caused by the premium.
Anyone else willing to share their NQ performance record?
Here's mine in the hopes of getting more takers...
For year 2001:
Profit factor = 1.4
% Profitable = 57%
win/loss ratio = 1.1
This is actual not hypothetical / optimized and includes commissions.
It would be nice to see how others are performing. I would prefer to see results from someone that actually traded their system.
Here's mine in the hopes of getting more takers...
For year 2001:
Profit factor = 1.4
% Profitable = 57%
win/loss ratio = 1.1
This is actual not hypothetical / optimized and includes commissions.
It would be nice to see how others are performing. I would prefer to see results from someone that actually traded their system.
Hey All,
I've had some good trades trading 1 contract of NQ and am averaging a little less than $300/day profit on 1 contract. It's very tempting to multiply that by 5 and start trading 5 contracts. Please give me some advice, preferably from those who trade futures now, on when it is wise to start uping the # of contracts traded.
Thanks,
Savage
I've had some good trades trading 1 contract of NQ and am averaging a little less than $300/day profit on 1 contract. It's very tempting to multiply that by 5 and start trading 5 contracts. Please give me some advice, preferably from those who trade futures now, on when it is wise to start uping the # of contracts traded.
Thanks,
Savage
Originally posted by Navigator
Anyone else willing to share their NQ performance record?
Here's mine in the hopes of getting more takers...
For year 2001:
Profit factor = 1.4
% Profitable = 57%
win/loss ratio = 1.1
This is actual not hypothetical / optimized and includes commissions.
It would be nice to see how others are performing. I would prefer to see results from someone that actually traded their system.
Navigator,
My trading is discretionary, but FWIW, here are my last period trades (every 100 is a period)...
% Profitable = 43%
Avg Win / Avg. Loss Ratio = 3.3 to 1
Expectancy = .85R (before commission)
Oh and I'm averiging a little over 5 opps per day...
PEACE and good trading,
Commisso
Savage,
I recently moved over to the futures arena in February...
I started with 2 contracts to be safe until I was convinced I had a definate edge (no use in risking money if you don't have positive expectany)...
I add more contracts every 150pts I net...
I will continue to do this until I reach a point where I am risking 1/2 to 3/4 of a percent of my equity per trade...
Not sure if this helps, but my point is to make sure you have a viable edge with a large enough sample size before you get all gung ho about adding more contracts... You may have just hit a period within market that is accomodating your method or style...
Anyway good luck and keep up the great trading (15pts a day is FANTASTIC)...
PEACE
Commisso