Systematic Performance Stats

Here is a more refined system that trades S/R, but not just the H/L of bars. It uses 15 minute bars, but works on other time periods as well. This is on the actual ES emini September contract from June 13th, to July 9th, 2002.

The Performance Summary:
 

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Here is the trade detail. Cost per trade is estimated at $30 per contract, per trade. $12.5 in + $12.5 out + $5 commission. So $90 per trade was used in this test (3 x $30).
 

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Originally posted by jficquette
ddefina,

Are these actual trades, with actual money, with actual results or is it a system ran against the emini?

Thanks

John
More...

Simulated trades against the ES02U. The results are so good because the time period is so good. When the market consolidates tightly, this system sucks. :) Just posting this to somewhat prove that mechanical systems can work. The main problem I find mechanically trading over long periods of time is the changing personality of the market, and knowing when to step aside and when to dive in.
 
defina could you plz test the abovementioned system against a longer time period (say 1 year or test it separately for different months) and post the results. I would like to see how performance varies depending on "market conditions".
 
tah asked me if I could test the system on the ES over a longer time frame inclusive Short Trades... Well I did a quick test on it and here are the results... not a tradable system....

alain
 

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