MoneyTec Traders Community Forum - View Single Post - Try this Method...for 2 years ~75% accurate

Armando · 28-10-2004, 12:15

Here's the code written in TradeStation. It actually starts at Midnight and ends at 11AM. I used a 10 pip profit target and a 13 pip stop. Optimization shows you can get a little better profit, maybe 12 pips. Overall though, it whipsaws a lot. I've included a shot of a EURO chart with the strategy running.
RESULT: Total Number of Trades 687 337 350
Percent Profitable 58.22% 56.08% 60.29%

All Trades
Long Trades
Short Trades

Total Net Profit $4,460.00 $670.00 $3,790.00
Gross Profit $40,280.00 $18,960.00 $21,320.00
Gross Loss ($35,820.00) ($18,290.00) ($17,530.00)
Profit Factor 1.12 1.04 1.22

Open Position P/L $0.00 $0.00 $0.00

Select Total Net Profit $4,870.00 $870.00 $4,000.00
Select Gross Profit $39,820.00 $18,820.00 $21,000.00
Select Gross Loss ($34,950.00) ($17,950.00) ($17,000.00)
Select Profit Factor 1.14 1.05 1.24

Adjusted Total Net Profit $331.61 ($2,212.57) $835.40
Adjusted Gross Profit $38,266.00 $17,580.86 $19,852.27
Adjusted Gross Loss ($37,934.39) ($19,793.43) ($19,016.88)
Adjusted Profit Factor 1.01 0.89 1.04

Total Number of Trades 687 337 350
Percent Profitable 58.22% 56.08% 60.29%
Winning Trades 400 189 211
Losing Trades 287 148 139
Even Trades 0 0 0

Avg. Trade Net Profit $6.49 $1.99 $10.83
Avg. Winning Trade $100.70 $100.32 $101.04
Avg. Losing Trade ($124.81) ($123.58) ($126.12)
Ratio Avg. Winning:Avg. Losing 0.81 0.81 0.80
Largest Winning Trade $320.00 $140.00 $320.00
Largest Losing Trade ($530.00) ($340.00) ($530.00)
Largest Winner as % of Gross Profit 0.79% 0.74% 1.50%
Largest Loser as % of Gross Loss 1.48% 1.86% 3.02%

Net Profit as % of Largest Loss 841.51% 197.06% 715.09%
Select Net Profit as % of Largest Loss 918.87% 255.88% 754.72%
Adjusted Net Profit as % of Largest Loss 62.57% (650.75%) 157.62%

Max. Consecutive Winning Trades 10 7 10
Max. Consecutive Losing Trades 7 5 5
Avg. Bars in Total Trades 2.71 2.70 2.73
Avg. Bars in Winning Trades 2.63 2.64 2.63
Avg. Bars in Losing Trades 2.83 2.78 2.88
Avg. Bars in Even Trades 0.00 0.00 0.00

Max. Shares/Contracts Held 1 1 1
Account Size Required $2,060.00 $2,210.00 $1,160.00
Total Slippage $0.0000 $0.0000 $0.0000
Total Commission $0.0000 $0.0000 $0.0000

Return on Initial Capital 4.46%
Annual Rate of Return 2.16%
Buy & Hold Return 30.58%
Return on Account 216.50%
Avg. Monthly Return $178.40
Std. Deviation of Monthly Return $616.24

Return Retracement Ratio 0.38
RINA Index 1439.41
Sharpe Ratio n/a
K-Ratio n/a

Trading Period 2 Yrs, 6 Dys, 9 Hrs
Percent of Time in the Market 3.63%
Time in the Market 26 Dys, 18 Hrs
Longest Flat Period 9 Dys, 17 Hrs, 30 Mins

Max. Equity Run-up $7,110.00
Date of Max. Equity Run-up 08/24/04 04:30
Max. Equity Run-up as % of Initial Capital 7.11%

Max. Drawdown (Intra-day Peak to Valley)
Value ($2,120.00) ($2,330.00) ($1,240.00)
Date 12/31/02 03:00
as % of Initial Capital 2.12% 1.24% 2.33%
Net Profit as % of Drawdown 210.38% 28.76% 305.65%
Select Net Profit as % of Drawdown 229.72% 37.34% 322.58%
Adjusted Net Profit as % of Drawdown 15.64% (94.96%) 67.37%

Max. Drawdown (Trade Close to Trade Close)
Value ($2,060.00) ($2,210.00) ($1,160.00)
Date 12/30/02 06:30
as % of Initial Capital 2.06% 2.21% 1.16%
Net Profit as % of Drawdown 216.50% 30.32% 326.72%
Select Net Profit as % of Drawdown 236.41% 39.37% 344.83%
Adjusted Net Profit as % of Drawdown 16.10% (100.12%) 72.02%

Max. Trade Drawdown ($530.00) ($340.00) ($530.00)

All Trades

Total Net Profit $4,460.00 Profit Factor 1.12
Gross Profit $40,280.00 Gross Loss ($35,820.00)

Open Position Profit/Loss $0.00

Select Total Net Profit $4,870.00 Select Profit Factor 1.14
Select Gross Profit $39,820.00 Select Gross Loss ($34,950.00)

Adjusted Total Net Profit $331.61 Adjusted Profit Factor 1.01
Adjusted Gross Profit $38,266.00 Adjusted Gross Loss ($37,934.39)

Total Number of Trades 687 Percent Profitable 58.22%
Winning Trades 400 Losing Trades 287
Even Trades 0

Avg. Trade Net Profit $6.49 Ratio Avg. Win:Avg. Loss 0.81
Avg. Winning Trade $100.70 Avg. Losing Trade ($124.81)
Largest Winning Trade $320.00 Largest Losing Trade ($530.00)
Largest Winner as % of Gross Profit 0.79% Largest Loser as % of Gross Loss 1.48%

Net Profit as % of Largest Loss 841.51%
Slct. Net Profit as % of Largest Loss 918.87% Adj. Net Profit as % of Largest Loss 62.57%

Max. Consecutive Winning Trades 10 Max. Consecutive Losing Trades 7
Avg. Bars in Winning Trades 2.63 Avg. Bars in Losing Trades 2.83
Avg. Bars in Total Trades 2.71

Max. Shares/Contracts Held 1 Account Size Required $2,060.00
Total Commission $0.0000 Total Slippage $0.0000

Return on Initial Capital 4.46% Annual Rate of Return 2.16%
Buy and Hold Return 30.58% Return on Account 216.50%
Avg. Monthly Return $178.40 Std. Deviation of Monthly Return $616.24

Return Retracement Ratio 0.38 RINA Index 1439.41
Sharpe Ratio n/a K-Ratio n/a

Trading Period 2 Yrs, 6 Dys, 9 Hrs Percent of Time in the Market 3.63%
Time in the Market 26 Dys, 18 Hrs Longest Flat Period 9 Dys, 17 Hrs, 30 Mins

Max. Equity Run-up $7,110.00
Date of Max. E. Run-up 08/24/04 04:30 Max. E. Run-up as % of Initial Capital 7.11%

Max. Drawdown (Intra-day Peak to Valley)
Max. Drawdown (Trade Close to Trade Close)

Value ($2,120.00) Value ($2,060.00)
Date 12/31/02 03:00 Date 12/30/02 06:30
as % of Initial Capital 2.12% as % of Initial Capital 2.06%
Net Profit as % of Drawdown 210.38% Net Profit as % of Drawdown 216.50%
Slct. Net Profit as % of Drawdown 229.72% Slct. Net Profit as % of Drawdown 236.41%
Adj. Net Prof as % of Drawdown 15.64% Adj. Net Profit as % of Drawdown 16.10%

Max. Trade Drawdown ($530.00)

Long Trades

Total Net Profit $670.00 Profit Factor 1.04
Gross Profit $18,960.00 Gross Loss ($18,290.00)

Open Position Profit/Loss $0.00

Select Total Net Profit $870.00 Select Profit Factor 1.05
Select Gross Profit $18,820.00 Select Gross Loss ($17,950.00)

Adjusted Total Net Profit ($2,212.57) Adjusted Profit Factor 0.89
Adjusted Gross Profit $17,580.86 Adjusted Gross Loss ($19,793.43)

Total Number of Trades 337 Percent Profitable 56.08%
Winning Trades 189 Losing Trades 148
Even Trades 0

Avg. Trade Net Profit $1.99 Ratio Avg. Win:Avg. Loss 0.81
Avg. Winning Trade $100.32 Avg. Losing Trade ($123.58)
Largest Winning Trade $140.00 Largest Losing Trade ($340.00)
Largest Winner as % of Gross Profit 0.74% Largest Loser as % of Gross Loss 1.86%

Max. Consecutive Winning Trades 7 Max. Consecutive Losing Trades 5
Avg. Bars in Winning Trades 2.64 Avg. Bars in Losing Trades 2.78
Avg. Bars in Total Trades 2.70

Max. Shares/Contracts Held 1 Account Size Required $2,210.00
Total Commission $0.0000 Total Slippage $0.0000

Net Profit as % of Largest Loss 197.06%
Slct. Net Profit as % of Largest Loss 255.88% Adj. Net Profit as % of Largest Loss (650.75%)

Max. Drawdown (Intra-day Peak to Valley)
Max. Drawdown (Trade Close to Trade Close)

Value ($2,330.00) Value ($2,210.00)
as % of Initial Capital 1.24% as % of Initial Capital 2.21%
Net Profit as % of Drawdown 28.76% Net Profit as % of Drawdown 30.32%
Slct. Net Profit as % of Drawdown 37.34% Slct. Net Profit as % of Drawdown 39.37%
Adj. Net Prof as % of Drawdown (94.96%) Adj. Net Profit as % of Drawdown 39.37%

Max. Trade Drawdown ($340.00)

Short Trades

Total Net Profit $3,790.00 Profit Factor 1.22
Gross Profit $21,320.00 Gross Loss ($17,530.00)

Open Position Profit/Loss $0.00

Select Total Net Profit $4,000.00 Select Profit Factor 1.24
Select Gross Profit $21,000.00 Select Gross Loss ($17,000.00)

Adjusted Total Net Profit $835.40 Adjusted Profit Factor 1.04
Adjusted Gross Profit $19,852.27 Adjusted Gross Loss ($19,016.88)

Total Number of Trades 350 Percent Profitable 60.29%
Winning Trades 211 Losing Trades 139
Even Trades 0

Avg. Trade Net Proft $10.83 Ratio Avg. Win:Avg. Loss 0.80
Avg. Winning Trade $101.04 Avg. Losing Trade ($126.12)
Largest Winning Trade $320.00 Largest Losing Trade ($530.00)
Largest Winner as % of Gross Profit 1.50% Largest Loser as % of Gross Loss 1.86%

Max. Consecutive Winning Trades 10 Max. Consecutive Losing Trades 5
Avg. Bars in Winning Trades 2.63 Avg. Bars in Losing Trades 2.88
Avg. Bars in Total Trades 2.73

Max. Shares/Contracts Held 1 Account Size Required $1,160.00
Total Slippage $0.0000 Total Commission $0.0000

Net Profit as % of Largest Loss 715.09%
Slct. Net Profit as % of Largest Loss 754.72% Adj. Net Profit as % of Largest Loss 157.62%

Max. Drawdown (Intra-day Peak to Valley)
Max. Drawdown (Trade Close to Trade Close)

Value ($1,240.00) Value ($1,160.00)
as % of Initial Capital 2.33% as % of Initial Capital 1.16%
Net Profit as % of Drawdown 305.65% Net Profit as % of Drawdown 326.72%
Slct. Net Profit as % of Drawdown 322.58% Slct. Net Profit as % of Drawdown 344.83%
Adj. Net Prof as % of Drawdown 67.37% Adj. Net Prof as % of Drawdown 72.02%

Max. Trade Drawdown ($530.00)

Created by TradeStation: 10/28/2004 9:10:10 AM, Copyright (c) 1991-2004 TradeStation Technologies, Inc.
Percent Profitable 58.22% 56.08% 60.29%

28-10-2004, 12:15	#17
Armando level 1 Join Date: Aug 2004 Posts: 56 Downloads: 0 Uploads: 0 Rep Power: 0	Here's the code written in TradeStation. It actually starts at Midnight and ends at 11AM. I used a 10 pip profit target and a 13 pip stop. Optimization shows you can get a little better profit, maybe 12 pips. Overall though, it whipsaws a lot. I've included a shot of a EURO chart with the strategy running. RESULT: Total Number of Trades 687 337 350 Percent Profitable 58.22% 56.08% 60.29% All Trades Long Trades Short Trades Total Net Profit $4,460.00 $670.00 $3,790.00 Gross Profit $40,280.00 $18,960.00 $21,320.00 Gross Loss ($35,820.00) ($18,290.00) ($17,530.00) Profit Factor 1.12 1.04 1.22 Open Position P/L $0.00 $0.00 $0.00 Select Total Net Profit $4,870.00 $870.00 $4,000.00 Select Gross Profit $39,820.00 $18,820.00 $21,000.00 Select Gross Loss ($34,950.00) ($17,950.00) ($17,000.00) Select Profit Factor 1.14 1.05 1.24 Adjusted Total Net Profit $331.61 ($2,212.57) $835.40 Adjusted Gross Profit $38,266.00 $17,580.86 $19,852.27 Adjusted Gross Loss ($37,934.39) ($19,793.43) ($19,016.88) Adjusted Profit Factor 1.01 0.89 1.04 Total Number of Trades 687 337 350 Percent Profitable 58.22% 56.08% 60.29% Winning Trades 400 189 211 Losing Trades 287 148 139 Even Trades 0 0 0 Avg. Trade Net Profit $6.49 $1.99 $10.83 Avg. Winning Trade $100.70 $100.32 $101.04 Avg. Losing Trade ($124.81) ($123.58) ($126.12) Ratio Avg. Winning:Avg. Losing 0.81 0.81 0.80 Largest Winning Trade $320.00 $140.00 $320.00 Largest Losing Trade ($530.00) ($340.00) ($530.00) Largest Winner as % of Gross Profit 0.79% 0.74% 1.50% Largest Loser as % of Gross Loss 1.48% 1.86% 3.02% Net Profit as % of Largest Loss 841.51% 197.06% 715.09% Select Net Profit as % of Largest Loss 918.87% 255.88% 754.72% Adjusted Net Profit as % of Largest Loss 62.57% (650.75%) 157.62% Max. Consecutive Winning Trades 10 7 10 Max. Consecutive Losing Trades 7 5 5 Avg. Bars in Total Trades 2.71 2.70 2.73 Avg. Bars in Winning Trades 2.63 2.64 2.63 Avg. Bars in Losing Trades 2.83 2.78 2.88 Avg. Bars in Even Trades 0.00 0.00 0.00 Max. Shares/Contracts Held 1 1 1 Account Size Required $2,060.00 $2,210.00 $1,160.00 Total Slippage $0.0000 $0.0000 $0.0000 Total Commission $0.0000 $0.0000 $0.0000 Return on Initial Capital 4.46% Annual Rate of Return 2.16% Buy & Hold Return 30.58% Return on Account 216.50% Avg. Monthly Return $178.40 Std. Deviation of Monthly Return $616.24 Return Retracement Ratio 0.38 RINA Index 1439.41 Sharpe Ratio n/a K-Ratio n/a Trading Period 2 Yrs, 6 Dys, 9 Hrs Percent of Time in the Market 3.63% Time in the Market 26 Dys, 18 Hrs Longest Flat Period 9 Dys, 17 Hrs, 30 Mins Max. Equity Run-up $7,110.00 Date of Max. Equity Run-up 08/24/04 04:30 Max. Equity Run-up as % of Initial Capital 7.11% Max. Drawdown (Intra-day Peak to Valley) Value ($2,120.00) ($2,330.00) ($1,240.00) Date 12/31/02 03:00 as % of Initial Capital 2.12% 1.24% 2.33% Net Profit as % of Drawdown 210.38% 28.76% 305.65% Select Net Profit as % of Drawdown 229.72% 37.34% 322.58% Adjusted Net Profit as % of Drawdown 15.64% (94.96%) 67.37% Max. Drawdown (Trade Close to Trade Close) Value ($2,060.00) ($2,210.00) ($1,160.00) Date 12/30/02 06:30 as % of Initial Capital 2.06% 2.21% 1.16% Net Profit as % of Drawdown 216.50% 30.32% 326.72% Select Net Profit as % of Drawdown 236.41% 39.37% 344.83% Adjusted Net Profit as % of Drawdown 16.10% (100.12%) 72.02% Max. Trade Drawdown ($530.00) ($340.00) ($530.00) All Trades Total Net Profit $4,460.00 Profit Factor 1.12 Gross Profit $40,280.00 Gross Loss ($35,820.00) Open Position Profit/Loss $0.00 Select Total Net Profit $4,870.00 Select Profit Factor 1.14 Select Gross Profit $39,820.00 Select Gross Loss ($34,950.00) Adjusted Total Net Profit $331.61 Adjusted Profit Factor 1.01 Adjusted Gross Profit $38,266.00 Adjusted Gross Loss ($37,934.39) Total Number of Trades 687 Percent Profitable 58.22% Winning Trades 400 Losing Trades 287 Even Trades 0 Avg. Trade Net Profit $6.49 Ratio Avg. Win:Avg. Loss 0.81 Avg. Winning Trade $100.70 Avg. Losing Trade ($124.81) Largest Winning Trade $320.00 Largest Losing Trade ($530.00) Largest Winner as % of Gross Profit 0.79% Largest Loser as % of Gross Loss 1.48% Net Profit as % of Largest Loss 841.51% Slct. Net Profit as % of Largest Loss 918.87% Adj. Net Profit as % of Largest Loss 62.57% Max. Consecutive Winning Trades 10 Max. Consecutive Losing Trades 7 Avg. Bars in Winning Trades 2.63 Avg. Bars in Losing Trades 2.83 Avg. Bars in Total Trades 2.71 Max. Shares/Contracts Held 1 Account Size Required $2,060.00 Total Commission $0.0000 Total Slippage $0.0000 Return on Initial Capital 4.46% Annual Rate of Return 2.16% Buy and Hold Return 30.58% Return on Account 216.50% Avg. Monthly Return $178.40 Std. Deviation of Monthly Return $616.24 Return Retracement Ratio 0.38 RINA Index 1439.41 Sharpe Ratio n/a K-Ratio n/a Trading Period 2 Yrs, 6 Dys, 9 Hrs Percent of Time in the Market 3.63% Time in the Market 26 Dys, 18 Hrs Longest Flat Period 9 Dys, 17 Hrs, 30 Mins Max. Equity Run-up $7,110.00 Date of Max. E. Run-up 08/24/04 04:30 Max. E. Run-up as % of Initial Capital 7.11% Max. Drawdown (Intra-day Peak to Valley) Max. Drawdown (Trade Close to Trade Close) Value ($2,120.00) Value ($2,060.00) Date 12/31/02 03:00 Date 12/30/02 06:30 as % of Initial Capital 2.12% as % of Initial Capital 2.06% Net Profit as % of Drawdown 210.38% Net Profit as % of Drawdown 216.50% Slct. Net Profit as % of Drawdown 229.72% Slct. Net Profit as % of Drawdown 236.41% Adj. Net Prof as % of Drawdown 15.64% Adj. Net Profit as % of Drawdown 16.10% Max. Trade Drawdown ($530.00) Long Trades Total Net Profit $670.00 Profit Factor 1.04 Gross Profit $18,960.00 Gross Loss ($18,290.00) Open Position Profit/Loss $0.00 Select Total Net Profit $870.00 Select Profit Factor 1.05 Select Gross Profit $18,820.00 Select Gross Loss ($17,950.00) Adjusted Total Net Profit ($2,212.57) Adjusted Profit Factor 0.89 Adjusted Gross Profit $17,580.86 Adjusted Gross Loss ($19,793.43) Total Number of Trades 337 Percent Profitable 56.08% Winning Trades 189 Losing Trades 148 Even Trades 0 Avg. Trade Net Profit $1.99 Ratio Avg. Win:Avg. Loss 0.81 Avg. Winning Trade $100.32 Avg. Losing Trade ($123.58) Largest Winning Trade $140.00 Largest Losing Trade ($340.00) Largest Winner as % of Gross Profit 0.74% Largest Loser as % of Gross Loss 1.86% Max. Consecutive Winning Trades 7 Max. Consecutive Losing Trades 5 Avg. Bars in Winning Trades 2.64 Avg. Bars in Losing Trades 2.78 Avg. Bars in Total Trades 2.70 Max. Shares/Contracts Held 1 Account Size Required $2,210.00 Total Commission $0.0000 Total Slippage $0.0000 Net Profit as % of Largest Loss 197.06% Slct. Net Profit as % of Largest Loss 255.88% Adj. Net Profit as % of Largest Loss (650.75%) Max. Drawdown (Intra-day Peak to Valley) Max. Drawdown (Trade Close to Trade Close) Value ($2,330.00) Value ($2,210.00) as % of Initial Capital 1.24% as % of Initial Capital 2.21% Net Profit as % of Drawdown 28.76% Net Profit as % of Drawdown 30.32% Slct. Net Profit as % of Drawdown 37.34% Slct. Net Profit as % of Drawdown 39.37% Adj. Net Prof as % of Drawdown (94.96%) Adj. Net Profit as % of Drawdown 39.37% Max. Trade Drawdown ($340.00) Short Trades Total Net Profit $3,790.00 Profit Factor 1.22 Gross Profit $21,320.00 Gross Loss ($17,530.00) Open Position Profit/Loss $0.00 Select Total Net Profit $4,000.00 Select Profit Factor 1.24 Select Gross Profit $21,000.00 Select Gross Loss ($17,000.00) Adjusted Total Net Profit $835.40 Adjusted Profit Factor 1.04 Adjusted Gross Profit $19,852.27 Adjusted Gross Loss ($19,016.88) Total Number of Trades 350 Percent Profitable 60.29% Winning Trades 211 Losing Trades 139 Even Trades 0 Avg. Trade Net Proft $10.83 Ratio Avg. Win:Avg. Loss 0.80 Avg. Winning Trade $101.04 Avg. Losing Trade ($126.12) Largest Winning Trade $320.00 Largest Losing Trade ($530.00) Largest Winner as % of Gross Profit 1.50% Largest Loser as % of Gross Loss 1.86% Max. Consecutive Winning Trades 10 Max. Consecutive Losing Trades 5 Avg. Bars in Winning Trades 2.63 Avg. Bars in Losing Trades 2.88 Avg. Bars in Total Trades 2.73 Max. Shares/Contracts Held 1 Account Size Required $1,160.00 Total Slippage $0.0000 Total Commission $0.0000 Net Profit as % of Largest Loss 715.09% Slct. Net Profit as % of Largest Loss 754.72% Adj. Net Profit as % of Largest Loss 157.62% Max. Drawdown (Intra-day Peak to Valley) Max. Drawdown (Trade Close to Trade Close) Value ($1,240.00) Value ($1,160.00) as % of Initial Capital 2.33% as % of Initial Capital 1.16% Net Profit as % of Drawdown 305.65% Net Profit as % of Drawdown 326.72% Slct. Net Profit as % of Drawdown 322.58% Slct. Net Profit as % of Drawdown 344.83% Adj. Net Prof as % of Drawdown 67.37% Adj. Net Prof as % of Drawdown 72.02% Max. Trade Drawdown ($530.00) Created by TradeStation: 10/28/2004 9:10:10 AM, Copyright (c) 1991-2004 TradeStation Technologies, Inc. Percent Profitable 58.22% 56.08% 60.29% Attached Thumbnails