Friday, July 23, 2010

The system is working

The trading system I am developing is working pretty decently...I have paper traded through the whole 1st quarter thus far...

The results are rather encouraging given the number of trades already executed. However, my goal is to trade all the way through the 2nd quarter as well. This will give me a period of low volatility and a period of high volatility. Thus far it looks like it works in the low volatility environment but the chop really kills me.

Also the % of winners vs. losers isn't wonderful, but the winners are much larger than the loosers I haven't done the average calculations as I am still figuring that out in excel...but here are the results for the 1st quarter.

Based on 1000 shares of IWM
Trade costs

Monthly total Weekly avg Net Total trades TD IB
Jan $1,320.00 $330.00 $550.00 220  $2,197.80  $770.00
Feb $970.00 $242.50 $200.00 220  $2,197.80  $770.00
Mar $2,080.00 $622.50 $1,107.00 278  $2,777.22  $973.00



Max Profit $980.00
Best Day $1,260.00

Max Loss $560.00
Worse Day $670.00

P/L ratio 175%
Ratio 188%

% Winners 34%
Best Week $1,380.00

% Losers 63%
Worse Week $650.00

Ratio 212%

Max Proft and Max Loss are single trade#s...this system is a day trading system so multiple trades per day are executed.

Now...IWM traded in a range of 59 - about for 1000 shares you need to have around $70k to work with....if you can net $1800 and you used leverage on an account of $35,000 you made 5% in the quarter...annualize that and you got yourself a decent money machine.

And this is without refining a very crude exit strategy...the entries in the system are quite sophisticated (hehe), but the exits are the hard part. In the paper trade posted here, I am not taking profits (although I have a strategy for that). I also have an idea for the exit that should reduce the number of trades as well as make some of the loser trades into winners...

Nonetheless...I think I am onto something here.

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