I wrote another little book you can get on my website www.pantherproject.com about trading systems and system design for the beginning trader. You can decrypt it with the password "War Admiral". Happy reading. Includes some speadsheets and simple system testers.
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Trading Book
- Thread starter EliteThink
- Start date
I'm uploading a new copy now. Sorry about that. Don't know what happened.
Chuck you should be good to go.
MH
MH
The past few months the overnight atr's have been nearly as high as the day session atr's. This may account for the lack of follow through in the market which tends to reduce the profitability of this system.
EliteThink,
I mentioned your system a month ago on the "Keep It Simple" thread. Nobody seemed to notice at that time.
Your system is definitely simpler.
pretzel
I mentioned your system a month ago on the "Keep It Simple" thread. Nobody seemed to notice at that time.
Your system is definitely simpler.
pretzel
Thanks pretzel, that thread is very interesting.
I've been revisited the L/S Model and by slightly tweaking the time filter it is much more profitable on the sp the past year.
For those not aware and using ts, more data is now available on the @es symbol. Trading five contracts somewhat simulates the big sp and adds some 18 months more.
TradeStation Strategy Performance Report - L/S Model @ES-60 min (7/6/1999-5/12/2003)
Performance Summary: All Trades
Total Net Profit $458,437.50 Open position P/L $2,812.50
Gross Profit $1,319,812.50 Gross Loss ($861,375.00)
Total # of trades 668 Percent profitable 43.56%
Number winning trades 291 Number losing trades 377
Largest winning trade $23,812.50 Largest losing trade ($12,187.50)
Average winning trade $4,535.44 Average losing trade ($2,284.81)
Ratio avg win/avg loss 1.99 Avg trade (win & loss) $686.28
Max consec. Winners 7 Max consec. losers 10
Avg # bars in winners 44 Avg # bars in losers 18
Max intraday drawdown ($46,750.00)
Profit Factor 1.53 Max # contracts held 5
Account size required $46,750.00 Return on account 980.61%
Thanks to acrary for sending me his ideas on the ls modified.
TradeStation Strategy Performance Report - L/S Model @ES-60 min (7/6/1999-5/12/2003)
Performance Summary: All Trades
Total Net Profit $458,437.50 Open position P/L $2,812.50
Gross Profit $1,319,812.50 Gross Loss ($861,375.00)
Total # of trades 668 Percent profitable 43.56%
Number winning trades 291 Number losing trades 377
Largest winning trade $23,812.50 Largest losing trade ($12,187.50)
Average winning trade $4,535.44 Average losing trade ($2,284.81)
Ratio avg win/avg loss 1.99 Avg trade (win & loss) $686.28
Max consec. Winners 7 Max consec. losers 10
Avg # bars in winners 44 Avg # bars in losers 18
Max intraday drawdown ($46,750.00)
Profit Factor 1.53 Max # contracts held 5
Account size required $46,750.00 Return on account 980.61%
Thanks to acrary for sending me his ideas on the ls modified.