Systematic Performance Stats

Runningbear · Jul 9, 2002

Hi Aaron,

Could you tell us what software you use for constructing and backtesting your systems?

Runningbear

Aaron · Jul 9, 2002

We primarily use Tradestation 2000i. Before 2000i came out we had to use C++ because Tradestation 4 can't handle long periods of intraday data.

I'm sad that Tradestation has gone the way of a brokerage firm rather than stand-alone system testing software. I expect we will eventually migrate to a different platform and are keeping our eyes on E-signal's backtesting capability and on Wealth Lab.

We also use Excel for quick backtests where the data will fit on a single worksheet.

We get our historical data from Tick Data.

alain · Jul 9, 2002

Originally posted by ddefina
And the equity curve:

ddefina.. a question. How many contracts did you backtest the system with? This $100 Avg/Trd is this per contract or for the total contracts? Is there Commission included?

Just wondring..

thnx, alain

alain · Jul 9, 2002

I'm used to the statistics of TradeStation.. don't know how it is in WL......

trader99 · Jul 9, 2002

Originally posted by Aaron
We primarily use Tradestation 2000i. Before 2000i came out we had to use C++ because Tradestation 4 can't handle long periods of intraday data.

I'm sad that Tradestation has gone the way of a brokerage firm rather than stand-alone system testing software. I expect we will eventually migrate to a different platform and are keeping our eyes on E-signal's backtesting capability and on Wealth Lab.

We also use Excel for quick backtests where the data will fit on a single worksheet.

We get our historical data from Tick Data.

I've been using Wealth-Lab for a couple of months now and it's pretty good. I like the fact tha tyou can test over an entire portfolio rather than just a single stocks like TS. And they have futures support as long as you have the data for it. It's also improving everyday.

99

DaveN · Jul 9, 2002

Originally posted by Aaron
We primarily use Tradestation 2000i. ....(snip)

Hi Aaron,

A little off topic, but I thought this fit well in a "Systematic Performance Stats" thread...
Congratulations on your performance! I just finished reading my current issue of Futures, and I saw you at the top of the list. Well done, and continued success!

DT-waw · Jul 9, 2002

ddefina: welcome to the beautiful world of optimization! Impressive results, too good to be true, IMO.

What's the slippage and commissions?
I agree with dottom, who said that systems should be tested with severe slippage. If they survive this test, they're good.

Aaron · Jul 9, 2002

Thanks, DaveN!

If you or anyone else would like to keep up with our performance, private message or email me your email address. I'll send you a monthly email of our return and the S&P500 return for the month. Your email address won't be used for anything else.

DT-waw · Jul 9, 2002

ddefina your system has a max drawdown -0,64%, and total net return +95%... very, very impressive ratio! I just can't believe my eyes.

rtstrading · Jul 9, 2002

Aaron,
What time frame does your NQ trading system trade? ie 5 min bars, 15 min bars?
With only 44 trades over a month period, it must be a 5 min or so?

Your average profit/trade of about 2.1 pt/trade for a 5 min frame would drop if equated to a 1 min frame. But more trades on a 1 min frame would equate to the same profit.

Just trying to get a feel for my mechanical automated system which is doing 1.5 pt/trade on a 1 minute bar chart, but does 2000 trades ave. per year.

Thanks,