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Wednesday, July 01, 2009

Performance stats for Euro Futures trading System

1st month of testing my new Euro Futures Trading System has completed.

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As previously mentioned, I have been developing a semi-automated Euro Futures Trading System, and have been testing it in the month of June. Initial results look promising:

Total # of trades: 30
%winners: 22/30
%losers: 8/30

Avg. win: 61pips
Avg. loss: 90pips

Worst losing streak: 2

expectancy: 20.7pips

There's been a few times where I thought about following the system with real money. However, I always have this nagging feeling that as soon as I start using real money, the system will go on a real losing streak. Despite the real positive performance stats, I guess I still don't have complete confidence in this system. Pretty ironic, eh? I've developed a system and I'm fearful of going live with it. I will work on the psychological hurdle for the month of July. Probably the biggest hurdle to overcome is being completely accepting and at peace with the possibility of losing 90pips on a trade. The other possibility is to program a simple C# app to fire off the signals to bracketTrader. That helps psychologically to separate out the system to stand on its own and have its own identity.

There's also a few tweaks I can make to the system to decrease the # of losing trades. More to come.....

2 comments:

Tyro said...

Sounds like a pretty sweet system, congrats on getting something automated. What did you write it in and why are you thinking of hacking BracketTrader instead of doing it more directly (NinjaTrader, OpenQuant, or just the IB API itself)?

Phileo said...

I haven't programmed anything yet, i've been entering the trades manually into BracketTrader in sim mode. I haven been considering using the IB API directly to program the trading system. BracketTrader provides something close to what i want in terms of trade mgmt, so i thought it might be more simple to write a front end that fires of the signals to bracketTrader instead of writing a full blown ATS.