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Below are the results of a simple system for trading the S&P500
and below that is the code for producing these results...enjoy :)
This uses end of day data, exits each trade at the close if not
stopped out. NO holding positions overnight.
Buys/Sells on a breakout using a formula based on average True range.
NO optimized parameters
$1000 money management stop
$1000 trailing stop
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ATR System S&P 500 Index - CME-Daily 01/02/90 - 11/21/97
Performance Summary: All Trades
Total net profit $ 433902.50 Open position P/L $ 0.00
Gross profit $ 910322.50 Gross loss $-476420.00
Total # of trades 1584 Percent profitable 49%
Number winning trades 777 Number losing trades 807
Largest winning trade $ 8825.00 Largest losing trade $ -1100.00
Average winning trade $ 1171.59 Average losing trade $ -590.36
Ratio avg win/avg loss 1.98 Avg trade(win & loss) $ 273.93
Max consec. winners 10 Max consec. losers 12
Avg # bars in winners 0 Avg # bars in losers 0
Max intraday drawdown $ -14392.50
Profit factor 1.91 Max # contracts held 1
Account size required $ 14392.50 Return on account 3015%
Performance Summary: Long Trades
Total net profit $ 261457.50 Open position P/L $ 0.00
Gross profit $ 474665.00 Gross loss $-213207.50
Total # of trades 783 Percent profitable 54%
Number winning trades 422 Number losing trades 361
Largest winning trade $ 7700.00 Largest losing trade $ -1100.00
Average winning trade $ 1124.80 Average losing trade $ -590.60
Ratio avg win/avg loss 1.90 Avg trade(win & loss) $ 333.92
Max consec. winners 13 Max consec. losers 7
Avg # bars in winners 0 Avg # bars in losers 0
Max intraday drawdown $ -7155.00
Profit factor 2.23 Max # contracts held 1
Account size required $ 7155.00 Return on account 3654%
Performance Summary: Short Trades
Total net profit $ 172445.00 Open position P/L $ 0.00
Gross profit $ 435657.50 Gross loss $-263212.50
Total # of trades 801 Percent profitable 44%
Number winning trades 355 Number losing trades 446
Largest winning trade $ 8825.00 Largest losing trade $ -1100.00
Average winning trade $ 1227.20 Average losing trade $ -590.16
Ratio avg win/avg loss 2.08 Avg trade(win & loss) $ 215.29
Max consec. winners 8 Max consec. losers 10
Avg # bars in winners 0 Avg # bars in losers 0
Max intraday drawdown $ -15222.50
Profit factor 1.66 Max # contracts held 1
Account size required $ 15222.50 Return on account 1133%
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I am new to this type of system writing and new to Tradestation
any feedback to this forum (NOT my email) would be appreciated.
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ATR system for S&P500
BUY at close + ((Average(Truerange[1],10))/2)
Sell at close - ((Average(Truerange[1],10))/2)
$1000 money management stop
$1000 Trailing stop
Exit all trades on close
regards
Alan Sears
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