MoneyTec Traders Community Forum - View Single Post - JB's Freeeeee Neural Net Signals after closings

Batcheler · 27-03-2005, 21:59

Dear Abhay,

Every day I re-tweak-train a back-test is done on new result automatically, results always excellent.

The 120 pip stop_loss setting is not hit very often. Most of the lossing trades are cut-out of a trade and switched direction before even 100 pips is approached. So that safety stop is only for unusual news days that cause a whopping jump or gap, happens on rare occassions.

I go ahead and paste here the latest performance report for last tweak:
------------------------------------------------------
(4 years, starting at 1K on account, 1 mini gradiently increased per what grows in account) For max drawdown and largest losing trades, this report is from strategy section that re-invests full equity after each trade, so naturally tens of minis or multiple lots by time 2-4 years, thus larger amounts in all subjects its looking at.
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Summary all longs shorts
Net Profit 35278.38 21302.85 13975.54
Return On Capital 352.78% 213.03% 139.76%
Gross Profit 47776.03 28651.48 19124.55
Gross Loss -12497.65 -7348.64 -5149.02
Profit/Loss 3.82 3.9 3.71
Commission Paid 1841.62 1100.17 741.45

Total Number Of Trades 268 143 125
Number Of Profitable Trades 172 89 83
Number Of Losing Trades 96 54 42
Percent Of Profitable Trades 64.18% 62.24% 66.40%
Percent Of Losing Trades 35.82% 37.76% 33.60%
Largest Profitable Trade 1650.04 1650.04 986.54
Largest Losing Trade -700.01 -700.01 -488.51
Average Profitable Trade 277.77 321.93 230.42
Average Losing Trade -130.18 -136.09 -122.6
Average Ratio 2.13 2.37 1.88
Average Trade 131.64 148.97 111.8

Max Consecutive Profitable Trades 13 14 8
Max Consecutive Losing Trades 6 4 5
Average Days in Profitable Trades 4.87 5.92 3.73
Average Days in Losing Trades 2.14 2.44 1.74

Initial Capital 10000
Final Capital 45278.38
Return on Initial Capital 352.78%
Cumulative Return 77.30%
Return on Max Drawdown -700.01
Buy & Hold Return 51.71%
Annual Rate Of Return 38.25%
Buy & Hold Annual Rate Of Return 9.35%

Risk
Gain to Pain Ratio 139.13
Sharpe Ratio 27.5
Return Retracement Ratio 0
Max Equity Drawdown% 5.2
Net Profit/Max Drawdown 47.05
Net Profit/Max Loss -50.4

Drawdown and Run-up
Max Drawdown 749.81
Average Drawdown 125.32
Max Run-up 1711.24
Average Run-up 251.46

Outlier trades number of trades profit/loss
Positive Outlier Trades 3 3085.76
Negative Outlier Trades 93 12493.95
Total Outlier Trades 96 15579.71

Time Analysis
Trading Period 1104
Bars In Market 1042
Percent In Market 94%
Largest Flat Period 1

Time Analysis all trades profitable losing
Average Time In Trades 3.89 4.87 2.14
Average Time Between Trades 0.22 1.54 9.39

Settings
Initial Capital 10000
Position 100%
Min Lot Size 1
Point Value 1
Margin 0$
Commission 3% per transaction
Slippage 0$ per transaction
Start date/time 6/30/2001
End date/time 3/28/2005

27-03-2005, 21:59	#5
Batcheler level 3 Join Date: Jun 2004 Posts: 328 Downloads: 0 Uploads: 0 Rep Power: 0	Re: JB's Freeeeee Neural Net Signals after closings Dear Abhay, Every day I re-tweak-train a back-test is done on new result automatically, results always excellent. The 120 pip stop_loss setting is not hit very often. Most of the lossing trades are cut-out of a trade and switched direction before even 100 pips is approached. So that safety stop is only for unusual news days that cause a whopping jump or gap, happens on rare occassions. I go ahead and paste here the latest performance report for last tweak: ------------------------------------------------------ (4 years, starting at 1K on account, 1 mini gradiently increased per what grows in account) For max drawdown and largest losing trades, this report is from strategy section that re-invests full equity after each trade, so naturally tens of minis or multiple lots by time 2-4 years, thus larger amounts in all subjects its looking at. ---------------------------------------------------------------- Summary all longs shorts Net Profit 35278.38 21302.85 13975.54 Return On Capital 352.78% 213.03% 139.76% Gross Profit 47776.03 28651.48 19124.55 Gross Loss -12497.65 -7348.64 -5149.02 Profit/Loss 3.82 3.9 3.71 Commission Paid 1841.62 1100.17 741.45 Total Number Of Trades 268 143 125 Number Of Profitable Trades 172 89 83 Number Of Losing Trades 96 54 42 Percent Of Profitable Trades 64.18% 62.24% 66.40% Percent Of Losing Trades 35.82% 37.76% 33.60% Largest Profitable Trade 1650.04 1650.04 986.54 Largest Losing Trade -700.01 -700.01 -488.51 Average Profitable Trade 277.77 321.93 230.42 Average Losing Trade -130.18 -136.09 -122.6 Average Ratio 2.13 2.37 1.88 Average Trade 131.64 148.97 111.8 Max Consecutive Profitable Trades 13 14 8 Max Consecutive Losing Trades 6 4 5 Average Days in Profitable Trades 4.87 5.92 3.73 Average Days in Losing Trades 2.14 2.44 1.74 Initial Capital 10000 Final Capital 45278.38 Return on Initial Capital 352.78% Cumulative Return 77.30% Return on Max Drawdown -700.01 Buy & Hold Return 51.71% Annual Rate Of Return 38.25% Buy & Hold Annual Rate Of Return 9.35% Risk Gain to Pain Ratio 139.13 Sharpe Ratio 27.5 Return Retracement Ratio 0 Max Equity Drawdown% 5.2 Net Profit/Max Drawdown 47.05 Net Profit/Max Loss -50.4 Drawdown and Run-up Max Drawdown 749.81 Average Drawdown 125.32 Max Run-up 1711.24 Average Run-up 251.46 Outlier trades number of trades profit/loss Positive Outlier Trades 3 3085.76 Negative Outlier Trades 93 12493.95 Total Outlier Trades 96 15579.71 Time Analysis Trading Period 1104 Bars In Market 1042 Percent In Market 94% Largest Flat Period 1 Time Analysis all trades profitable losing Average Time In Trades 3.89 4.87 2.14 Average Time Between Trades 0.22 1.54 9.39 Settings Initial Capital 10000 Position 100% Min Lot Size 1 Point Value 1 Margin 0$ Commission 3% per transaction Slippage 0$ per transaction Start date/time 6/30/2001 End date/time 3/28/2005 __________________ jerry Last edited by Batcheler : 29-03-2005 at 08:55.