Hi,
I have been working on a strategy to trade the actual S&P500
index using spread betting in the UK. The reason is that spread
betting is TAX FREE. Of course you have to pay through the
spread. The spread on the Sp500 is 0.5 points. When I start
trading I plan to trade 250points per GBP. So at 0.5 points
spread I pay £125 comission for every trade. I do plan to start
small at £10 per point initially. My strategy seems to give pretty
good results without generating too many trades.
Could people please give me advice and comment on the results
below (results have commissions deducted). Also included is the
equity curve. Note that the Contracts Held says 250 but it really
means 250 GBP per point. Also note that there is a little dip
near the beginning of the equity curve. Finally note that although
the results are displayed in $ it really means GBP!
Thanks a lot for your help.
Regards,
RC
TradeStation Strategy Performance Report
TradeStation Strategy Performance Report - Strategy $SPX.X-1 min (28/01/2002-20/12/2002) (28/01/2002 14:31:00-20/12/2002 21:15:00)
Performance Summary: All Trades
Total Net Profit $180,807.50 Open position P/L $0.00
Gross Profit $245,697.50 Gross Loss ($64,890.00) Commission Paid $40,750.00
Total # of trades 326 Percent profitable 49.39%
Number winning trades 161 Number losing trades 165
Largest winning trade $4,620.00 Largest losing trade ($880.00)
Average winning trade $1,526.07 Average losing trade ($393.27)
Ratio avg win/avg loss 3.88 Avg trade (win & loss) $554.62
Max consec. Winners 7 Max consec. losers 5
Avg # bars in winners 27 Avg # bars in losers 16
Max intraday drawdown ($3,322.50)
Profit Factor 3.79 Max # contracts held 250
Account size required $3,322.50 Return on account 5441.91%
Performance Summary: Long Trades
Total Net Profit $66,145.00 Open position P/L $0.00
Gross Profit $75,415.00 Gross Loss ($9,270.00)
Total # of trades 65 Percent profitable 61.54%
Number winning trades 40 Number losing trades 25
Largest winning trade $4,252.50 Largest losing trade ($685.00)
Average winning trade $1,885.38 Average losing trade ($370.80)
Ratio avg win/avg loss 5.08 Avg trade (win & loss) $1,017.62
Max consec. Winners 8 Max consec. losers 4
Avg # bars in winners 15 Avg # bars in losers 13
Max intraday drawdown ($1,525.00)
Profit Factor 8.14 Max # contracts held 250
Account size required $1,525.00 Return on account 4337.38%
Performance Summary: Short Trades
Total Net Profit $114,662.50 Open position P/L $0.00
Gross Profit $170,282.50 Gross Loss ($55,620.00)
Total # of trades 261 Percent profitable 46.36%
Number winning trades 121 Number losing trades 140
Largest winning trade $4,620.00 Largest losing trade ($880.00)
Average winning trade $1,407.29 Average losing trade ($397.29)
Ratio avg win/avg loss 3.54 Avg trade (win & loss) $439.32
Max consec. Winners 6 Max consec. losers 6
Avg # bars in winners 31 Avg # bars in losers 16
Max intraday drawdown ($3,157.50)
Profit Factor 3.06 Max # contracts held 250
Account size required $3,157.50 Return on account 3631.43%
TradeStation Strategy Performance Report
Monthly Trading Summary
Monthly Average Analysis (Mark-To-Market):
Period Net Profit % Gain Profit Factor # Trades % Profitable
January $485.00 0.97% 1.32 5.00 20.00%
February $1,987.50 3.94% 1.34 18.00 44.44%
March $215.00 0.41% 1.06 13.00 38.46%
April $5,220.00 9.91% 2.49 16.00 56.25%
May $4,330.00 7.48% 2.14 18.00 38.89%
June $13,505.00 21.70% 3.10 31.00 38.71%
July $48,272.50 63.73% 3.65 82.00 48.78%
August $23,725.00 19.13% 4.88 37.00 54.05%
September $26,122.50 17.68% 6.13 29.00 55.17%
October $40,027.50 23.02% 7.25 43.00 58.14%
November $11,462.50 5.36% 4.53 20.00 50.00%
December $5,455.00 2.42% 5.36 15.00 60.00%
Monthly Period Analysis (Mark-To-Market):
Period Net Profit % Gain Profit Factor # Trades % Profitable
12/02 $5,455.00 2.42% 5.36 15 60.00%
11/02 $11,462.50 5.36% 4.53 20 50.00%
10/02 $40,027.50 23.02% 7.25 43 58.14%
9/02 $26,122.50 17.68% 6.13 29 55.17%
8/02 $23,725.00 19.13% 4.88 37 54.05%
7/02 $48,272.50 63.73% 3.65 82 48.78%
6/02 $13,505.00 21.70% 3.10 31 38.71%
5/02 $4,330.00 7.48% 2.14 18 38.89%
4/02 $5,220.00 9.91% 2.49 16 56.25%
3/02 $215.00 0.41% 1.06 13 38.46%
2/02 $1,987.50 3.94% 1.34 18 44.44%
1/02 $485.00 0.97% 1.32 5 20.00%
Monthly Rolling Period Analysis (Mark-To-Market):
Period Net Profit % Gain Profit Factor # Trades % Profitable
12/02 $5,455.00 2.42% 5.36 15 60.00%
11/02-12/02 $16,917.50 7.91% 4.76 35 54.29%
10/02-12/02 $56,945.00 32.75% 6.22 78 56.41%
9/02-12/02 $83,067.50 56.23% 6.19 107 56.07%
8/02-12/02 $106,792.50 86.11% 5.83 143 55.94%
7/02-12/02 $155,065.00 204.73% 4.84 225 53.33%
6/02-12/02 $168,570.00 270.85% 4.60 256 51.56%
5/02-12/02 $172,900.00 298.58% 4.42 274 50.73%
4/02-12/02 $178,120.00 338.07% 4.29 290 51.03%
3/02-12/02 $178,335.00 339.86% 4.10 303 50.50%
2/02-12/02 $180,322.50 357.18% 3.84 321 50.16%
1/02-12/02 $180,807.50 361.61% 3.79 326 49.69%
I have been working on a strategy to trade the actual S&P500
index using spread betting in the UK. The reason is that spread
betting is TAX FREE. Of course you have to pay through the
spread. The spread on the Sp500 is 0.5 points. When I start
trading I plan to trade 250points per GBP. So at 0.5 points
spread I pay £125 comission for every trade. I do plan to start
small at £10 per point initially. My strategy seems to give pretty
good results without generating too many trades.
Could people please give me advice and comment on the results
below (results have commissions deducted). Also included is the
equity curve. Note that the Contracts Held says 250 but it really
means 250 GBP per point. Also note that there is a little dip
near the beginning of the equity curve. Finally note that although
the results are displayed in $ it really means GBP!
Thanks a lot for your help.
Regards,
RC
TradeStation Strategy Performance Report
TradeStation Strategy Performance Report - Strategy $SPX.X-1 min (28/01/2002-20/12/2002) (28/01/2002 14:31:00-20/12/2002 21:15:00)
Performance Summary: All Trades
Total Net Profit $180,807.50 Open position P/L $0.00
Gross Profit $245,697.50 Gross Loss ($64,890.00) Commission Paid $40,750.00
Total # of trades 326 Percent profitable 49.39%
Number winning trades 161 Number losing trades 165
Largest winning trade $4,620.00 Largest losing trade ($880.00)
Average winning trade $1,526.07 Average losing trade ($393.27)
Ratio avg win/avg loss 3.88 Avg trade (win & loss) $554.62
Max consec. Winners 7 Max consec. losers 5
Avg # bars in winners 27 Avg # bars in losers 16
Max intraday drawdown ($3,322.50)
Profit Factor 3.79 Max # contracts held 250
Account size required $3,322.50 Return on account 5441.91%
Performance Summary: Long Trades
Total Net Profit $66,145.00 Open position P/L $0.00
Gross Profit $75,415.00 Gross Loss ($9,270.00)
Total # of trades 65 Percent profitable 61.54%
Number winning trades 40 Number losing trades 25
Largest winning trade $4,252.50 Largest losing trade ($685.00)
Average winning trade $1,885.38 Average losing trade ($370.80)
Ratio avg win/avg loss 5.08 Avg trade (win & loss) $1,017.62
Max consec. Winners 8 Max consec. losers 4
Avg # bars in winners 15 Avg # bars in losers 13
Max intraday drawdown ($1,525.00)
Profit Factor 8.14 Max # contracts held 250
Account size required $1,525.00 Return on account 4337.38%
Performance Summary: Short Trades
Total Net Profit $114,662.50 Open position P/L $0.00
Gross Profit $170,282.50 Gross Loss ($55,620.00)
Total # of trades 261 Percent profitable 46.36%
Number winning trades 121 Number losing trades 140
Largest winning trade $4,620.00 Largest losing trade ($880.00)
Average winning trade $1,407.29 Average losing trade ($397.29)
Ratio avg win/avg loss 3.54 Avg trade (win & loss) $439.32
Max consec. Winners 6 Max consec. losers 6
Avg # bars in winners 31 Avg # bars in losers 16
Max intraday drawdown ($3,157.50)
Profit Factor 3.06 Max # contracts held 250
Account size required $3,157.50 Return on account 3631.43%
TradeStation Strategy Performance Report
Monthly Trading Summary
Monthly Average Analysis (Mark-To-Market):
Period Net Profit % Gain Profit Factor # Trades % Profitable
January $485.00 0.97% 1.32 5.00 20.00%
February $1,987.50 3.94% 1.34 18.00 44.44%
March $215.00 0.41% 1.06 13.00 38.46%
April $5,220.00 9.91% 2.49 16.00 56.25%
May $4,330.00 7.48% 2.14 18.00 38.89%
June $13,505.00 21.70% 3.10 31.00 38.71%
July $48,272.50 63.73% 3.65 82.00 48.78%
August $23,725.00 19.13% 4.88 37.00 54.05%
September $26,122.50 17.68% 6.13 29.00 55.17%
October $40,027.50 23.02% 7.25 43.00 58.14%
November $11,462.50 5.36% 4.53 20.00 50.00%
December $5,455.00 2.42% 5.36 15.00 60.00%
Monthly Period Analysis (Mark-To-Market):
Period Net Profit % Gain Profit Factor # Trades % Profitable
12/02 $5,455.00 2.42% 5.36 15 60.00%
11/02 $11,462.50 5.36% 4.53 20 50.00%
10/02 $40,027.50 23.02% 7.25 43 58.14%
9/02 $26,122.50 17.68% 6.13 29 55.17%
8/02 $23,725.00 19.13% 4.88 37 54.05%
7/02 $48,272.50 63.73% 3.65 82 48.78%
6/02 $13,505.00 21.70% 3.10 31 38.71%
5/02 $4,330.00 7.48% 2.14 18 38.89%
4/02 $5,220.00 9.91% 2.49 16 56.25%
3/02 $215.00 0.41% 1.06 13 38.46%
2/02 $1,987.50 3.94% 1.34 18 44.44%
1/02 $485.00 0.97% 1.32 5 20.00%
Monthly Rolling Period Analysis (Mark-To-Market):
Period Net Profit % Gain Profit Factor # Trades % Profitable
12/02 $5,455.00 2.42% 5.36 15 60.00%
11/02-12/02 $16,917.50 7.91% 4.76 35 54.29%
10/02-12/02 $56,945.00 32.75% 6.22 78 56.41%
9/02-12/02 $83,067.50 56.23% 6.19 107 56.07%
8/02-12/02 $106,792.50 86.11% 5.83 143 55.94%
7/02-12/02 $155,065.00 204.73% 4.84 225 53.33%
6/02-12/02 $168,570.00 270.85% 4.60 256 51.56%
5/02-12/02 $172,900.00 298.58% 4.42 274 50.73%
4/02-12/02 $178,120.00 338.07% 4.29 290 51.03%
3/02-12/02 $178,335.00 339.86% 4.10 303 50.50%
2/02-12/02 $180,322.50 357.18% 3.84 321 50.16%
1/02-12/02 $180,807.50 361.61% 3.79 326 49.69%
