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I have created an automated scalping system in the 30 year bond futures (ZB).
The system is being forward tested for the last 10 month's with 245 trades.
Now i will share the statistics of the results: (results are based on an account balance of 50K and trading size started with 5 contracts, 2 contracts added every 15k profit)
Total lengt: 10 months (09-2016 until 06-2017, testing will continue in the future)
Total trades: 257
Winning trades: 153
Losing trades 104 Win rate: 60%
Total return: 81.17%
Max DD 9.59%
Profit factor: 1.68
Sharpe ratio: 3.36
So if i would have started with a 50k account in september 2016 and traded 5 ZB contracts and added 2 every 15k profit i would have made 40587.25$.
Of course i am very satisfied with these results so far, the draw down could even be lower if i would aim for a lower return.
Now i am wondering, what is the next step.
Unfortunately i do not have the funds to scale this system up to its full potential.
Also i am unable to save up a lot of funds the coming time to start this completely on my own.
Are there any members here who can advise me, perhaps some trades who have been in a similar situation?
Ps: Advice on the system or how to do the correct share ratio calculation is very much appreciated!
Can you help answer these questions from other members on NexusFi?
Thank you for the reply, mostly tested with real money.
No overnight positions, i might try to make an equity curve in excel to add here
I also have to make a correction to the sharpe ratio calculation.
The original number i posted of course was a mistake and is way to high to be realistic long term.
The correct sharpe ratio i think would be 0.34
Given the liquidity of the ZB, there are lots of things you can do with that type of results.
Did you test the model on any other fixed income instruments ?
I am currently also trying a similar system on the ZN with comparable results.
However since i started with this system on ZB i am going to focus on getting it out there on a larger scale and then while this system is running i am going to put some more effort in the ZN system.
I must say that i am confident that the system also will bring a comparable result in ZN, given the results i managed to get so far.
I have checked back i my performance results and the 245 is the actual ticks profit i made in ZB over these 10 months.
This number in my excel sheet is next to the total winning and total losing trades, this probably is why i made the mistake here.
