Equity curve of FTSE system.

TWI

Senior member
2,536 254
Here is the equity curve for a FTSE system I have been running.
It has performed like this in real-time and there is no curve fitting, system is too simple for that.
It is based on just 1 lot either long/short or flat.

Has anybody got anything that is close or better than this?

It is not for sale either, well, not until I retire.
 

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jimvt

Active member
164 1
Nice flat equity curve. How many trades did that take - ie what is the average trade (W or L)?
What do you allow for slippage/commissions and what is the ratio of average trade / execution costs? Is it a daytrade system?

Questions questions I know.....
 

TWI

Senior member
2,536 254
10-june to today it took 43 trades
Av, winner £210 Av loser £80 largest looser $120 largest win £450
Av overall £80/trade
Slippage is not too much of an issue as all entry and exit order levels are known ahead of time so placed as limit and stop orders. A tick is about as bad as it gets.
Costs are £1.50/round trip which is more than I pay.
It is a day trade system
 

jimvt

Active member
164 1
twalker said:
10-june to today it took 43 trades
Av, winner £210 Av loser £80 largest looser $120 largest win £450
Av overall £80/trade
Slippage is not too much of an issue as all entry and exit order levels are known ahead of time so placed as limit and stop orders. A tick is about as bad as it gets.
Costs are £1.50/round trip which is more than I pay.
It is a day trade system

I'm impressed, especially if it holds up in actual trading!
When I get an equity curve as flat as that it generally means that the the average trade is too small to be trustable.
Fancy sending me some 1min data and I'll have a bash and see if I can match it?!!

Cheers
 

TWI

Senior member
2,536 254
I do not know how I would send this data to you, if you can explain that then I will do this.
 

jimvt

Active member
164 1
twalker said:
I do not know how I would send this data to you, if you can explain that then I will do this.


Thanks -appreciated.

To get a 1 minute ascii ohlcv file from TS:
In TS set compression to 1 min.
Go to View / data window
Right click in data window and then save to file.
Zip file if it is large.

I'll send you my email by PM

Cheers
 
 
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