Strategy(ies) exchange

[chillyk]

Hey dom! Quite glad to see you here. I also develop for NT. Do you mind showing the profit curve for some of your strategies?

 

[dom993]

Quote from chillyk:

Hey dom! Quite glad to see you here. I also develop for NT. Do you mind showing the profit curve for some of your strategies?

Not at all ... this is for the reversal system, performance graph from 2007-1-1 to last Friday (2012-11-16)

 

[dom993]

and the performance report

 

[Spectre2007]

ES intraday

 

[chillyk]

Thanks!
what comm level do you put in?
The ES profit curve- these are trades for which time period?

 

[Spectre2007]

What were you looking for? Could always use a programmer.

 

[dom993]

Spectre2007:

Your ES strategy appears to yield about $8 per trade, on about 6 months backtesting ... factor-in real-life differences (slippage, no-fills, technical issues), and it will be net negative. IMHO.

 

[Spectre2007]

Quote from dom993:

Spectre2007:

Your ES strategy appears to yield about $8 per trade, on about 6 months backtesting ... factor-in real-life differences (slippage, no-fills, technical issues), and it will be net negative. IMHO.

about 50 per trade, using market orders. Very simple approach, the system has its own stoploss inherent in its design.

 

[jelite]

How come then your equity curve shows about 1100 trades making less than 10,000? (how did you get $50 per trade?)

 

[Spectre2007]

Quote from jelite:

How come then your equity curve shows about 1100 trades making less than 10,000? (how did you get $50 per trade?)

Ur correct, even though it uses market orders a slight degree of slippage or bad fills on market orders can erode away at 50 profit target. Strat has 70% win rate.. I just haven't seen the slippage yet.