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My COT signals - Results from 1995-2006


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#11 danzman

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Posted 28 December 2006 - 04:40 PM

Just curious, how many SP points net profit did the system make for each year between 2001 - 2006?





I haven't added up the points since I don't use that particular statistic. It's a lot I'm sure. The max

drawdown using margin is 29.8%, so I wouldn't get carried away with futures margin. It's easy to

turn a good trading system into a losing one with bad money management.



D
I don't make predictions, I just react.

#12 bln

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Posted 28 December 2006 - 07:06 PM

Ok I see, it's easier of objectivly compare different systems using points/handles as it is strategy neutral. I did quick compare to my mechanical system which do trade the ES future in the same time frame as yours, IT position trading, about 1-3 roundtrips per year. Starting at the equity for 2001 it does end up at $11m for 2006, this using a Margin to Equity Ratio (MER) of 20% ($20,000 for each ES contract traded). What risk exposure/MER do you use in your simulation and in live trading?

#13 danzman

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Posted 28 December 2006 - 07:49 PM

Ok I see, it's easier of objectivly compare different systems using points/handles as it is strategy neutral. I did quick compare to my mechanical system which do trade the ES future in the same time frame as yours, IT position trading, about 1-3 roundtrips per year. Starting at the equity for 2001 it does end up at $11m for 2006, this using a Margin to Equity Ratio (MER) of 20% ($20,000 for each ES contract traded). What risk exposure/MER do you use in your simulation and in live trading?





The formula is pretty simple:



(Account Equity * Margin_equity_ratio_I_want_to_use / ES price) / big point value



So if I want to control double my equity, I would use:



($1,000,000 * 2 / 1400) / $50 = 28 contracts



It looks like I use margin that your method, but I can accept a 30% drawdown or

more really (at least on a portion of my portfolio...I don't trade 100% of my worth

using one system).



Have you tested more than just from 2001? What's your starting amount?



D
I don't make predictions, I just react.