Mechanical System Statistics

[Chorlton]

Hello All,

Just interested if anyone is currently trading a mechanical system on the FTSE 100?

If so, I'd be interested in knowing what the statistics are. I don't want to know what the exact Buy & Sell conditions are (for obvious reasons) but I would be interested in knowing:

1. Whether is a Daily / Weekly or Monthly System?
2. Whether it is a Long System / Short System / Reversal System?
3. How long the system has been running?
4. What % of winners are being achieved
5. What the MaxDD is?
6. % Return on the System to date.
7. With regard to Q1 & Q2, your reasoning as to why this type of system was chosen.

The reason for asking (apart from a general interest) is to gain a better appreciation of what stats are currently achievable.

Any thoughts on this topic much appreciated,

Chorlton

 

[Chorlton]

Hello All,

Just interested if anyone is currently trading a mechanical system on the FTSE 100?

If so, I'd be interested in knowing what the statistics are. I don't want to know what the exact Buy & Sell conditions are (for obvious reasons) but I would be interested in knowing:

1. Whether is a Daily / Weekly or Monthly System?
2. Whether it is a Long System / Short System / Reversal System?
3. How long the system has been running?
4. What % of winners are being achieved
5. What the MaxDD is?
6. % Return on the System to date.
7. With regard to Q1 & Q2, your reasoning as to why this type of system was chosen.

The reason for asking (apart from a general interest) is to gain a better appreciation of what stats are currently achievable.

Any thoughts on this topic much appreciated,

Chorlton

Hello again,

Just bumping this up....

Widening the field I'd be interested in the stats of any mechanical system currently being traded through this current financial climate....

Just to recap, I'm not after any actual specifics about a system, just the results statistics as mentioned above as I think it would be interesting to those currently developing a system to see how others are currently doing......

 

[Chorlton]

I'm assuming from the lack of any responses that either no-one is trading a mechanical system is this way or if they are, then for some reason they're not prepared to comment...

Oh well...........

 

[zentrader22]

@Chorlton,

i link to my posting here, because there are some links to websites, which benchmark mechanical trading systems (futurestruth, striker etc.):
http://www.trade2win.com/boards/showthread.php?t=27373

Perhaps it helps...

bye,
zentrader

 

[andrewbee]

I am forward testing a Dow (YM) -based system. It is purely mechanical - no technical indicators or behavior changes in response to market conditions. It has been developed and tuned from 18 months of historical YM data. It has been in forward testing for 5 weeks now.

Max. drawdown is about $2500 over the tested period (during backtesting, not forward testing). It averages about $2000 a month profit (forward testing shows same results as backtesting), trading 1 or 2 contracts.

Regards,

Andrew