ES-mini-Trading System Average 1 point/Trade

[new_trader]

Do you think a Day trading system is good if it averages 1point/trade profit in 109 trades over 1 year?

 

[FetteredChinos]

if you mean 1 big point? ie 10 trading points, then yes, pending a few criteria..

but what was the drawdown over this period? <20% of total profits is a good guideline, and what was the maximum flat period?

FC

 

[new_trader]

People might think this is spam. It isn't, I will be happy to post results and how I achieved them. First you need to go to

http://www.tickdata.com/demo.html

To download the demo and 3 months of historical tick data.

You will need Microsoft Excel. I wrote a simple program using Visual Basic 6 and I need to be sure I haven't made a monumental error.

The example trading system on this site produced an average of 0.65 with filters. Mine produces around 1. It seems better by comparison.

 

[new_trader]

No, 1 point average for every trade.

In one year the system produced 109 trades and made 109.25 points.

 

[FetteredChinos]

in which case, that is ******** i'm afraid..

what is the % win rate on that system? if it is in the high 80's then it might be worth it. as you could use substantial leverage..

otherwise its not tremendously hot..

 

[new_trader]

Here is a comma delimmited file for july 2004

"","SELL","","","","","","BUY"
"DATE","STOP","LEVEL","TIME","CLOSE","TIME","P/L","STOP","LEVEL","TIME","CLOSE","TIME","P/L"
"01/07/2004","","","No Trade","","No Trade","","","","","","No Trade",""
"02/07/2004","","","No Trade","","No Trade","","","","","","No Trade",""
"06/07/2004","","","No Trade","","No Trade","","","","","","No Trade",""
"07/07/2004","","","","","","",1120.25,"R1","13:11:00",1118.25,"15:15:00",-2
"08/07/2004",1113.75,"S1","12:12:00",1108.5,"14:57:00",5.25,"","","","","",""
"09/07/2004","","","No Trade","","No Trade","","","","","","No Trade",""
"12/07/2004",1106.75,"S2","12:39:00",1116.25,"13:38:00",-9.5,"","","","","",""
"13/07/2004","","","No Trade","","No Trade","","","","","","No Trade",""
"14/07/2004",1111.75,"S1","13:39:00",1109,"14:27:00",2.75,"","","","","",""
"15/07/2004","","","No Trade","","No Trade","","","","","","No Trade",""
"16/07/2004","","","No Trade","","No Trade","","","","","","No Trade",""
"19/07/2004","","","No Trade","","No Trade","","","","","","No Trade",""
"20/07/2004","","","","","","",1110,"R2","15:08:00",1112,"15:15:00",2
"21/07/2004",1101.5,"S1","14:01:00",1090.25,"15:12:00",11.25,"","","","","",""
"22/07/2004","","","No Trade","","No Trade","","","","","","No Trade",""
"23/07/2004",1084.5,"S1","13:09:00",1085.25,"15:15:00",-.75,"","","","","",""
"26/07/2004","","","No Trade","","No Trade","","","","","","No Trade",""
"27/07/2004","","","","","","",1089.5,"R1","11:22:00",1092.5,"15:15:00",3
"28/07/2004","","","","","","",1098,"R1","14:40:00",1095.5,"15:15:00",-2.5
"29/07/2004","","","","","","",1103,"R1","11:31:00",1100.25,"15:15:00",-2.75
"30/07/2004","","","No Trade","","No Trade","","","","","","No Trade",""
"","","","","","",9,"","","","","",-2.25
"","","","","","","","","","","","","","Trades=",10
"","","","","","","","","","","","","","Profit/Loss=",6.75
"","","","","","","","","","","","","","Average=",.68

 

[FetteredChinos]

so you are actually trading BIG points then??

7/7 long 1120.25, exit 1118.25 P/L -2?

thats 20 tradeable points..

in which case its 10 pts per trade, which is getting there...

 

[new_trader]

FetteredChinos ,

Can you explain what you mean please? Why is it 20 'tradeable' points? The system averaged 9 points/month for 2005.

Here are the results for 2005

Points/month

Jan 10.5
Feb 4
Mar 19
Apr 41.75
May -15.25
Jun -2
July 4.25
Aug 10.75
Sep 2.75
Oct 28
Nov 2.5
Dec 3
------------
Tot: 109.25 @$50 x 1 ES-mini = $5462/year per contract.

(I need to double check April, the results look abnormal)

 

[FetteredChinos]

because the ES generally trades in multiples of 0.1 points if im not mistaken.

certainly when spreadbetting, if the SP moves from 1200.0 to 1201.0 that is a move of 10 points..

if you had previously mentioned a move of 1 point, i presumed you were referencing a move from 1200.0 to 1200.1 which is frankly untradeable in the long run.

secondly, your results are very variable per month, since there are such few trades.. what do prior years look like? are you basing this on cash values, or proper futures prices? what was the maximum time between equity peaks, as this latter number is, for my part, the biggest factor in the "tradeability" of a system....

 

[new_trader]

The ES-mini moves in 0.25 ticks each worth $12.50. The results are based on actual tick data for the ES Futures contracts. I purchased the data form tickdata.com. In my system 1 point = 4ticks.

I have not applied many filters to my system and I have not backtested more than 1 year and a few months. I need to be sure my backtester doesn't have any bugs. So I am manually checking a few months to validate the results.

I am not completely familiar with all the jargon. Can you explain what you mean by time between equity peaks?


Here are the 2005 results by each quarter:

"","SELL","","","","","","BUY"
"DATE","STOP","LEVEL","TIME","CLOSE","TIME","P/L","STOP","LEVEL","TIME","CLOSE","TIME","P/L"
"03/01/2005",1207.75,"S1","12:25:00",1203.5,"14:31:00",4.25,"","","","","",""
"04/01/2005",1198.25,"S1","11:15:00",1189.25,"13:46:00",9,"","","","","",""
"05/01/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"06/01/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"07/01/2005","","","","","","",1193.5,"R1","11:35:00",1185.75,"15:15:00",-7.75
"10/01/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"11/01/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"12/01/2005","","","","","","",1188.75,"R1","14:38:00",1187.75,"15:15:00",-1
"13/01/2005",1179.25,"S1","14:31:00",1178,"15:15:00",1.25,"","","","","",""
"14/01/2005","","","","","","",1186.25,"R1","11:31:00",1183.5,"15:15:00",-2.75
"18/01/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"19/01/2005",1184.5,"S1","15:01:00",1183.25,"15:15:00",1.25,"","","","","",""
"20/01/2005",1178.5,"S1","11:42:00",1176.5,"15:15:00",2,"","","","","",""
"21/01/2005",1172.25,"S1","12:51:00",1167.25,"15:03:00",5,"","","","","",""
"24/01/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"25/01/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"26/01/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"27/01/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"28/01/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"31/01/2005","","","","","","",1182.25,"R2","11:26:00",1181.5,"15:15:00",-.75
"01/02/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"02/02/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"03/02/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"04/02/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"07/02/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"08/02/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"09/02/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"10/02/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"11/02/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"14/02/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"15/02/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"16/02/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"17/02/2005",1201,"S2","15:00:00",1201,"15:15:00",0,"","","","","",""
"18/02/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"22/02/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"23/02/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"24/02/2005","","","","","","",1196.75,"R1","13:12:00",1201,"14:37:00",4.25
"25/02/2005","","","","","","",1210.75,"R2","10:57:00",1212.25,"15:15:00",1.5
"28/02/2005",1203,"S1","11:15:00",1204.75,"15:15:00",-1.75,"","","","","",""
"01/03/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"02/03/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"03/03/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"04/03/2005","","","","","","",1223.25,"R2","12:04:00",1224.75,"15:15:00",1.5
"07/03/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"08/03/2005",1219.25,"S2","14:40:00",1220.25,"15:15:00",-1,"","","","","",""
"09/03/2005",1213.25,"S2","11:52:00",1207.5,"14:49:00",5.75,"","","","","",""
"10/03/2005","","","","","","",1216.25,"R1","12:52:00",1214.25,"15:15:00",-2
"11/03/2005",1207.25,"S1","12:46:00",1205.25,"15:15:00",2,"","","","","",""
"14/03/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"15/03/2005",1206,"S1","12:34:00",1202.25,"15:15:00",3.75,"","","","","",""
"16/03/2005",1192.25,"S2","13:03:00",1192.25,"15:15:00",0,"","","","","",""
"17/03/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"18/03/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"21/03/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"22/03/2005",1181,"S1","13:47:00",1175.25,"14:46:00",5.75,"","","","","",""
"23/03/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"24/03/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"28/03/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"29/03/2005",1174.5,"S1","12:17:00",1171.25,"13:06:00",3.25,"","","","","",""
"30/03/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"31/03/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"","","","","","",40.5,"","","","","",-7
"","","","","","","","","","","","","","Trades=",23
"","","","","","","","","","","","","","Profit/Loss=",33.5
"","","","","","","","","","","","","","Average=",1.46


"","SELL","","","","","","BUY"
"DATE","STOP","LEVEL","TIME","CLOSE","TIME","P/L","STOP","LEVEL","TIME","CLOSE","TIME","P/L"
"01/04/2005",1178,"S2","11:23:00",1173.5,"12:36:00",4.5,"","","","","",""
"04/04/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"05/04/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"06/04/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"07/04/2005","","","","","","",1194,"R1","11:40:00",1195.5,"15:15:00",1.5
"08/04/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"11/04/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"12/04/2005","","","","","","",1187.5,"R1","13:43:00",1191.5,"14:03:00",4
"13/04/2005",1177,"S1","13:56:00",1175.75,"15:15:00",1.25,"","","","","",""
"14/04/2005",1169,"S1","12:12:00",1162,"15:06:00",7,"","","","","",""
"15/04/2005",1154,"S1","11:51:00",1147,"14:46:00",7,"","","","","",""
"18/04/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"19/04/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"20/04/2005",1150.75,"S1","11:39:00",1145.5,"12:34:00",5.25,"","","","","",""
"21/04/2005","","","","","","",1153.25,"R1","11:03:00",1161.5,"15:15:00",8.25
"22/04/2005",1149.5,"S1","14:17:00",1157,"15:15:00",-7.5,"","","","","",""
"25/04/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"27/04/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"28/04/2005",1147.5,"S1","13:22:00",1142.5,"15:15:00",5,"","","","","",""
"29/04/2005","","","","","","",1153,"R1","13:34:00",1158.5,"15:15:00",5.5
"02/05/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"03/05/2005","","","","","","",1167.75,"R1","13:35:00",1157.75,"14:09:00",-10
"04/05/2005","","","","","","",1176,"R2","14:15:00",1175.25,"15:15:00",-.75
"05/05/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"06/05/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"09/05/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"10/05/2005",1165,"S2","14:01:00",1166,"15:15:00",-1,"","","","","",""
"11/05/2005","","","","","","",1173.25,"R1","13:20:00",1172.25,"15:15:00",-1
"12/05/2005",1161.75,"S1","13:29:00",1159.25,"15:15:00",2.5,"","","","","",""
"13/05/2005",1153,"S1","13:18:00",1156.75,"15:15:00",-3.75,"","","","","",""
"16/05/2005","","","","","","",1166.5,"R1","14:22:00",1167.25,"15:15:00",.75
"17/05/2005","","","","","","",1171.75,"R1","13:44:00",1175.5,"15:15:00",3.75
"18/05/2005","","","","","","",1186.75,"R2","11:11:00",1187,"15:15:00",.25
"19/05/2005","","","","","","",1192,"R1","14:07:00",1191.75,"15:15:00",-.25
"20/05/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"23/05/2005","","","","","","",1196.75,"R2","13:11:00",1196.5,"15:15:00",-.25
"24/05/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"25/05/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"26/05/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"27/05/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"31/05/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"01/06/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"02/06/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"03/06/2005",1195.5,"S2","10:56:00",1198.75,"15:15:00",-3.25,"","","","","",""
"06/06/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"07/06/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"08/06/2005",1194,"S1","13:58:00",1195.75,"15:15:00",-1.75,"","","","","",""
"09/06/2005","","","","","","",1207,"R2","11:27:00",1206.25,"15:15:00",-.75
"10/06/2005",1198.5,"S1","11:17:00",1204,"15:15:00",-5.5,"","","","","",""
"13/06/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"14/06/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"15/06/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"16/06/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"17/06/2005","","","","","","",1222.5,"R2","12:15:00",1220.25,"15:15:00",-2.25
"20/06/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"21/06/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"22/06/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"23/06/2005",1216.25,"S1","12:31:00",1210.5,"12:50:00",5.75,"","","","","",""
"24/06/2005",1197.5,"S1","13:04:00",1195.25,"15:15:00",2.25,"","","","","",""
"27/06/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"28/06/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"29/06/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"30/06/2005",1200,"S1","13:24:00",1196.5,"14:44:00",3.5,"","","","","",""
"","","","","","",21.25,"","","","","",8.75
"","","","","","","","","","","","","","Trades=",30
"","","","","","","","","","","","","","Profit/Loss=",30
"","","","","","","","","","","","","","Average=",1


"","SELL","","","","","","BUY"
"DATE","STOP","LEVEL","TIME","CLOSE","TIME","P/L","STOP","LEVEL","TIME","CLOSE","TIME","P/L"
"01/07/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"05/07/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"06/07/2005",1199,"S1","13:33:00",1198.25,"15:15:00",.75,"","","","","",""
"07/07/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"08/07/2005","","","","","","",1215,"R2","13:33:00",1216.5,"15:15:00",1.5
"11/07/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"12/07/2005","","","","","","",1226.75,"R1","12:53:00",1225.75,"15:15:00",-1
"13/07/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"14/07/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"15/07/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"18/07/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"19/07/2005","","","","","","",1232.25,"R2","14:16:00",1233.5,"15:15:00",1.25
"20/07/2005","","","","","","",1236.25,"R1","12:32:00",1239.75,"14:42:00",3.5
"21/07/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"22/07/2005","","","","","","",1237.25,"R1","14:43:00",1237.5,"15:15:00",.25
"25/07/2005",1230.75,"S1","14:00:00",1234.25,"15:15:00",-3.5,"","","","","",""
"26/07/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"27/07/2005","","","","","","",1238.25,"R1","13:21:00",1239.5,"15:15:00",1.25
"28/07/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"29/07/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"01/08/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"02/08/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"03/08/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"04/08/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"05/08/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"08/08/2005",1225.75,"S1","13:13:00",1227.25,"15:15:00",-1.5,"","","","","",""
"09/08/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"10/08/2005",1229.75,"S1","14:14:00",1233.75,"15:15:00",-4,"","","","","",""
"11/08/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"12/08/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"15/08/2005","","","","","","",1236.25,"R1","11:31:00",1237.75,"15:15:00",1.5
"16/08/2005",1223.5,"S2","14:23:00",1221.25,"15:15:00",2.25,"","","","","",""
"17/08/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"18/08/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"19/08/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"22/08/2005",1220.25,"S1","11:38:00",1223.75,"15:15:00",-3.5,"","","","","",""
"23/08/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"24/08/2005",1215.75,"S1","14:02:00",1209.75,"15:01:00",6,"","","","","",""
"25/08/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"26/08/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"29/08/2005","","","","","","",1211.25,"R1","12:17:00",1214.75,"15:15:00",3.5
"30/08/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"31/08/2005","","","","","","",1216.25,"R2","14:11:00",1222.75,"15:12:00",6.5
"01/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"02/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"06/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"07/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"08/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"09/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"12/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"13/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"14/09/2005",1234.75,"S1","13:19:00",1234.5,"15:15:00",.25,"","","","","",""
"15/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"16/09/2005","","","","","","",1242.5,"R2","14:03:00",1242.5,"15:15:00",0
"19/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"20/09/2005",1232.75,"S1","13:47:00",1227.25,"14:03:00",5.5,"","","","","",""
"21/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"22/09/2005",1211.25,"S1","11:21:00",1219.75,"15:15:00",-8.5,"","","","","",""
"23/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"26/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"27/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"28/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"29/09/2005","","","","","","",1227.75,"R1","12:19:00",1233.25,"14:21:00",5.5
"30/09/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"","","","","","",-6.25,"","","","","",23.75
"","","","","","","","","","","","","","Trades=",21
"","","","","","","","","","","","","","Profit/Loss=",17.5
"","","","","","","","","","","","","","Average=",.83


"","SELL","","","","","","BUY"
"DATE","STOP","LEVEL","TIME","CLOSE","TIME","P/L","STOP","LEVEL","TIME","CLOSE","TIME","P/L"
"03/10/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"04/10/2005",1227.5,"S1","13:29:00",1222.75,"14:15:00",4.75,"","","","","",""
"05/10/2005",1203.5,"S2","14:37:00",1200.5,"15:15:00",3,"","","","","",""
"06/10/2005",1193.75,"S1","13:39:00",1186.75,"14:36:00",7,"","","","","",""
"07/10/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"10/10/2005",1190.5,"S2","13:50:00",1190,"15:15:00",.5,"","","","","",""
"11/10/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"12/10/2005",1179.75,"S2","11:01:00",1178.75,"15:15:00",1,"","","","","",""
"13/10/2005",1171.75,"S1","11:25:00",1178,"15:15:00",-6.25,"","","","","",""
"14/10/2005","","","","","","",1190.75,"R2","14:37:00",1189.25,"15:15:00",-1.5
"17/10/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"18/10/2005",1184.25,"S2","12:40:00",1181.25,"15:15:00",3,"","","","","",""
"19/10/2005","","","","","","",1189.5,"R1","13:30:00",1198.5,"14:55:00",9
"20/10/2005",1181.75,"S1","14:20:00",1179.25,"15:15:00",2.5,"","","","","",""
"21/10/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"24/10/2005","","","","","","",1196.75,"R2","11:24:00",1202.25,"15:15:00",5.5
"25/10/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"26/10/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"27/10/2005",1185,"S2","13:59:00",1182.5,"15:15:00",2.5,"","","","","",""
"28/10/2005","","","","","","",1192.25,"R1","10:50:00",1199.75,"15:15:00",7.5
"31/10/2005","","","","","","",1213.5,"R2","14:21:00",1203,"15:15:00",-10.5
"01/11/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"02/11/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"03/11/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"04/11/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"07/11/2005","","","","","","",1226.5,"R1","13:20:00",1222.75,"15:15:00",-3.75
"08/11/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"09/11/2005","","","","","","",1225.75,"R1","11:21:00",1229.5,"11:52:00",3.75
"10/11/2005","","","","","","",1230,"R1","12:54:00",1233.75,"15:15:00",3.75
"11/11/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"14/11/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"15/11/2005","","","","","","",1240.75,"R1","11:18:00",1233.5,"13:02:00",-7.25
"16/11/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"17/11/2005","","","","","","",1239.5,"R2","11:33:00",1244.5,"14:46:00",5
"18/11/2005","","","","","","",1250,"R1","14:42:00",1250.25,"15:15:00",.25
"21/11/2005","","","","","","",1254.75,"R1","14:12:00",1257,"15:15:00",2.25
"22/11/2005","","","","","","",1261,"R1","13:10:00",1262,"15:15:00",1
"23/11/2005","","","","","","",1271.25,"R2","13:05:00",1268.75,"15:15:00",-2.5
"25/11/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"28/11/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"29/11/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"30/11/2005",1252.25,"S2","14:42:00",1252.25,"15:15:00",0,"","","","","",""
"01/12/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"02/12/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"05/12/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"06/12/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"07/12/2005",1256.5,"S2","12:31:00",1257.5,"15:15:00",-1,"","","","","",""
"08/12/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"09/12/2005","","","","","","",1272.5,"R1","13:34:00",1267,"15:15:00",-5.5
"12/12/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"13/12/2005","","","","","","",1274,"R1","13:21:00",1279.5,"13:25:00",5.5
"14/12/2005","","","","","","",1284,"R1","12:51:00",1282.25,"15:15:00",-1.75
"15/12/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"16/12/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"19/12/2005",1270.25,"S1","13:19:00",1267.5,"15:15:00",2.75,"","","","","",""
"20/12/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"21/12/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"22/12/2005","","","","","","",1275.75,"R1","14:41:00",1276,"15:15:00",.25
"23/12/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"27/12/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"28/12/2005","","","No Trade","","No Trade","","","","","","No Trade",""
"29/12/2005",1262.5,"S1","14:16:00",1259,"15:01:00",3.5,"","","","","",""
"30/12/2005",1252.25,"S2","15:01:00",1253,"15:15:00",-.75,"","","","","",""
"","","","","","",22.5,"","","","","",11
"","","","","","","","","","","","","","Trades=",32
"","","","","","","","","","","","","","Profit/Loss=",33.5
"","","","","","","","","","","","","","Average=",1.05

 

[FetteredChinos]

ok, lets assume your system hits an equity peak of $1,000 at the end of january, and then hits a drawdown.

how long/how many trades does it then take to supersede the previous high..?

ie, if it takes 50 trades, or say 6 months to recover from this peak, then the chances are that you will stop trading this system..

i'll put your results into excel and show you what i mean.


fc

 

[FetteredChinos]

ok, here is the example equity curve based on the results you posted above.. very rough and ready, but you can see that equity did not rise for a lenghty period in the middle of the test..