Futuresystem started 1 year ago. The purpose was to create a real time expirement for a CAC40 trading system, by posting all transactions (with their stop loss and targets) in real time. What are the results ?
The fund started with a 316,400 Euro capital on the 6th Seprember 2002 (cac40 was then @ 3246). Based on a standard position of 10 lots for medium term position and 10 lots for short term position , the maximum leverage was twice the size of the fund if we are at the same time long (short) on both positions.
We excluded any interests revenues from this capital , which should add around 2% in return. Commissions have cost 4.32% of the capital with a commission of 3.23 per lot.
The fund is up 63.46%, with an annualized volatility of 22.42% and a Sharpe ratio of 5.04.
With respect to our short term transactions, 67% are positive for a 24.33 points average profit . The average loss for 33% of all trades is 23.74 points. 208 transactions for the whole year which makes less than 1 trade per open day.
This experiment is a real success and I intend to continue it for 1 more year before building something more serious.
The fund started with a 316,400 Euro capital on the 6th Seprember 2002 (cac40 was then @ 3246). Based on a standard position of 10 lots for medium term position and 10 lots for short term position , the maximum leverage was twice the size of the fund if we are at the same time long (short) on both positions.
We excluded any interests revenues from this capital , which should add around 2% in return. Commissions have cost 4.32% of the capital with a commission of 3.23 per lot.
The fund is up 63.46%, with an annualized volatility of 22.42% and a Sharpe ratio of 5.04.
With respect to our short term transactions, 67% are positive for a 24.33 points average profit . The average loss for 33% of all trades is 23.74 points. 208 transactions for the whole year which makes less than 1 trade per open day.
This experiment is a real success and I intend to continue it for 1 more year before building something more serious.
