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Hello Mensur Pocinci
Part of the point of my post was that the trades occur in both up and down
markets which yours did over a 15 year period. However any system that has
less than 30 closed trades does not have enough trades to be statistically
significant although it may be a good system. Furthermore any system that
must rely on low commissions to be profitable is not worth trading IMHO.
Futures brokers will do a trade for $25 per contract round turn and if
you're not making a huge amount above that then buy and hold may be a better
solution.
Just my opinion
John Manasco
----- Original Message -----
From: "Mensur Pocinci" <mensur.pocinci@xxxxxxxx>
To: "metastock" <metastock@xxxxxxxxxxxxx>
Sent: Monday, June 11, 2001 8:55 AM
Subject: Re: QQQ system test
John, i think this is wrong. you don't need 100 trades to see if a system
works or is stable. for example some trend-following systems applied to the
treasury future 10yr daily data for the past 15 years have only 15 closed
trades. Is this a weak system? I
don't think so because one key element to profits is commision, so keep them
low.
"John Manasco" <john@xxxxxxxxxxx>@metastock.com on 06/11/2001 01:42:45 PM
Please respond to metastock@xxxxxxxxxxxxx
Sent by: owner-metastock@xxxxxxxxxxxxx
To: <metastock@xxxxxxxxxxxxx>
cc:
Subject: Re: QQQ system test
Your number of tests are statistically insignificant and therefore useless
in determining the worth of your system. Show me a report with at least 100
trades that have occurred in both up and down markets.
John Manasco
----- Original Message -----
From: Taylan Sekerci
To: metastock@xxxxxxxxxxxxx
Sent: Sunday, June 10, 2001 8:22 AM
Subject: QQQ system test
HI, HERE AT BELOW I'D CREATED THREE SLOW ACTING SYSTEM TESTS FOR QQQ. IF
ANY ONE INTERESTS ONE OF THESE TESTS I CAN WRITE THE DETAILS.
YOURS,
TAYLAN SEKERCI,
System Report - 1_QQQ____28.5.2001
Item Value
Item
Value
Total net profit 1431.98
Open position value 576.12
Percent gain/loss 143.2
Annual percent gain/loss 64.69
Initial investment 1000
Interest earned 0
Current position Long
Date position entered
05.04.2001
Buy/Hold profit -42.5
Days in test 808
Buy/Hold pct gain/loss -4.25
Annual B/H pct
-1.92
Total closed trades 8
Commissions paid 50.27
Avg profit per trade 106.98
Avg Win/Avg Loss ratio 178.59
Total long trades 8
Total short trades
0
Winning long trades 5
Winning short trades 0
Total winning trades 5
Total losing trades 3
Amount of winning trades 858.75
Amount of losing
-2.89
Average win 171.75
Average loss -0.96
Largest win 403.65
Largest loss -2.05
Average length of win 21.6
Average length of loss 9.33
Longest winning trade 40
Longest losing trade
21
Most consecutive wins 3
Most consecutive losses 1
Total bars out 404
Average length out 44.89
Longest out period 70
System close drawdown -0.58
Profit/Loss index 99.8
System open drawdown -0.58
Reward/Risk index 99.96
Max open trade drawdown -145.33
Buy/Hold index 4824.66
__________________________________________________________
System Report - 2_QQQ___28.5.2001
Item Value
Item Value
Total net profit 2328.2
Open position value 227.51
Percent gain/loss 232.82
Annual percent gain/loss 105.17
Initial investment 1000
Interest earned 0
Current position Long
Date position entered
11.05.2001
Buy/Hold profit -425
Days in test 808
Buy/Hold pct gain/loss -4.25
Annual B/H pct gain/loss -1.92
Total closed trades 17
Commissions paid 128.45
Avg profit per trade 123.57
Avg Win/Avg Loss ratio 2.2
Total long trades 17
Total short trades 0
Winning long trades 13
Winning short trades 0
Total winning trades 13
Total losing trades 4
Amount of winning trades 2442.12
Amount of losing trades -341.43
Average win 187.86
Average loss -85.36
Largest win 707.87
Largest loss -169.08
Average length of win 12.62
Average length of loss 12.25
Longest winning trade 28
Longest losing trade 17
Most consecutive wins 7
Most consecutive losses 1
Total bars out 370
Average length out 20.56
Longest out period 45
System close drawdown 0
Profit/Loss index 87.21
System open drawdown -55.63
Reward/Risk index 97.67
Max open trade drawdown -164.29
Buy/Hold index 6113.08
System Report - 3_QQQ___4.6.2001
Item
Value Item
Value
Total net profit
1734.27 Open position value
55.49
Percent gain/loss
173.43 Annual percent
gain/loss 78.34
Initial investment 1000
Interest earned 0
Current position Long
Date position entered 17.05.2001
Buy/Hold
-42.5 Days in test
808
Buy/Hold pct
-4.25 Annual
B/H pct gain/loss -1.92
Total closed trades 24
Commissions paid 175.06
Avg profit per trade
69.95 Avg Win/Avg Loss
ratio 4.94
Total long trades 24
Total short trades 0
Winning long trades 11
Winning short trades 0
Total winning trades 11
Total losing trades 13
Amount of winning trades
2207.3 Amount of losing
trades -528.52
Average win
200.66 Average
-40.66
Largest win
665.05 Largest
-171.93
Average length of win
17.36 Average length of
loss 6.38
Longest winning trade 31
Longest losing trade 17
Most consecutive wins 3
Most consecutive losses 3
Total bars out 327
Average length out 13.08
Longest out period 41
System close
-17.11 Profit/Loss
index 76.64
System open
-71.2 Reward/Risk
index 96.06
Max open trade
-267.9 Buy/Hold
index 4310.94
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(See attached file: Mısır Arkaplan.jpg)
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