Automated Strategies Risk/return Profiles Examples

[jurotraderslab 10]

I have always been interested in seeing what other people can come up with when it comes to fully automated trading strategies. By that I do not mean them actually revealing their strategy logic (why would they?) but rather providing a glimpse of what risk/return/drawdown etc. their strategy can achieve.

 

So here is what I would like to see ideally in this thread. Whoever has a strategy that is fully automated (purely mechanical), please share some of your backtested (or better yet traded) results. The only requirement I pose here: only include OUT OF SAMPLE tests of your systems.

 

By the same token, here is what I wouldn't like to see: a bunch of people saying it's impossible to come up with a purely mechanical trading strategy.

 

To be fair I am attaching a snapshot of one of my strategies, I hope to see many others.

StrategySnapshot.xls

[Tams 20]

this is not my system, but a test I did for a friend

 

 

you can see more screen shots here:

http://www.traderslaboratory.com/forums/f106/backtesting-vba-9097.html#post109510

[jurotraderslab 10]

Thanks Tams. Could you also include an equity curve for that system?

[Tams 20]

Thanks Tams. Could you also include an equity curve for that system?

 

sorry, I don't have that anymore.

[crossbones 10]

Hello jurotraderslab. I have included one of my own strategies for the Mini Russell 2000 futures contract. This is a 12 month back test with a 4.5 point ($450) stop loss.

 

Best of luck,

crossbones

[crossbones 10]

Second try on upload.

 

Hello jurotraderslab. I have included one of my own strategies for the Mini Russell 2000 futures contract. This is a 12 month back test with a 4.5 point ($450) stop loss.

 

Best of luck,

crossbones

[j-ventura 10]

Tams, I would be curious to know exactly what you prefer to look at in evaluating a viable system?

 

Thanks,

James

[alfa2430 10]

hi croosbones,no file or attachment is here.u need to try an other time plz.AND

450$$$ stop loss is not too big?what is your profit target?And by the way,which platform u r using for this strategy,,,ninja or trade station or some thing else?

[crossbones 10]

Try this.I am using Trade Station.

crossbones

BackTest.pdf

[kjitender 10]

I have the fully automated results for India Nifty futures and in process of using the same strategy for ES1.

 

Attached is the excel with last 2 years of results and equity curve.

Nifty staretgy.xls

[crossbones 10]

Hello. It seems that I am not able to rely with a strategy performance report. The profit target on the strategy is $4300.

 

best of luck,

crossbones

[Tams 20]

here's A Neat Little System

by dougcs

 

EasyLanguage source code included below.

 

enjoy !

 

 

 

A Neat Little System.txt

[max8ion 10]

That's a pity there are not so many exanples, otherwise it would be very nice

[Tams 20]

That's a pity there are not so many exanples, otherwise it would be very nice

 

every TradeStation and MultiCharts software comes with 150+ autotrade strategies.

have you looked at them?

what comments do you have?

[4EverMaAT 10]

Tams, I would be curious to know exactly what you prefer to look at in evaluating a viable system?

 

Thanks,

James

 

I guess I cannot speak for Tams, but I would like to see that the fundamentals of the system are solid and properly implemented. In short, there should be no mysticism. The reasons for entry/exits should be clear, and reproducible, given the same conditions. The same is true for any other mechanical system in nature. How does your car engine distinguish between the first 100th revolution and the 10000th revolution? It doesn't. Neither should your trading system.