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GFIs1 1 DAX trade per day journal
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GFIs1 1 DAX trade per day journal

  #371 (permalink)
Market Wizard
Switzerland
 
Futures Experience: Intermediate
Platform: Investor/RT
Broker/Data: IB / DTN
Favorite Futures: Futures
 
Posts: 3,993 since Feb 2012
Thanks: 3,696 given, 7,390 received
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Wednesday trade

Dax short from 09:30 to 15:30

entry @ 6996

exit @ 7004

result minus 8 points

risk - medium

outlook - retracement for today

GFIs1

Retracement was here..
but only BEFORE the fake US 2 quarter data... :-----(
Never believe a statistic in election year


Last edited by GFIs1; August 29th, 2012 at 09:41 AM.
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  #372 (permalink)
Market Wizard
Switzerland
 
Futures Experience: Intermediate
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Broker/Data: IB / DTN
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Bigger picture

Looking @ the bigger pic in the daily - it is obvious that the previous
highs in the Dax will soon be history:

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GFIs1

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  #373 (permalink)
Market Wizard
Switzerland
 
Futures Experience: Intermediate
Platform: Investor/RT
Broker/Data: IB / DTN
Favorite Futures: Futures
 
Posts: 3,993 since Feb 2012
Thanks: 3,696 given, 7,390 received
Forum Reputation: Legendary

Thursday trade


Dax short from 11:30 to 13:00

entry @ 6973

exit @ 6953

result plus 20 points

risk - medium

outlook - expecting small vola down today

GFIs1


Last edited by GFIs1; August 30th, 2012 at 07:32 AM.
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  #374 (permalink)
Elite Member
Bangkok, Thailand
 
Futures Experience: Intermediate
Platform: Matlab, Self-Made Platform
Favorite Futures: GC, CL, Forex
 
Posts: 139 since Mar 2011
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Statistical Analysis

Hi GFIs1,

What an impressing journal you have got here! I decided to grab the results posted here and run some statistical analysis on them. I will share the results here:

Number of trades: 119
Mean points per trade: +4.3
Standard deviation of trade: 32.7 points
Average winning trade: 31.6 points
Average losing trade: -21.6 points
Winning percentage: 47.9%
Risk/reward ratio: 1.47:1

I assume about 240 trades per year in average (you had skipped some days due to volatility conditions).

Annual Volatility: 15.7%
Annualized Sharpe Ratio (assuming 4% risk free rate): 1.73

I have also attached the picture of monte carlo analysis here. Monte carlo simulation is ran with 100000 iterations.
Blue line is showing average result, green lines are 95% confidence intervals, red line is the worst result in 100k trials and black line is a random result. The lines represent arithmetic returns (you are not cumulatively increasing lot sizes as your capital increases).

Monte carlo results yielded also chance of positive score: 92.2%

Overall very good results so far and I will be very interested to see how this develops. I'm impressed by the way how you declare before actual trading what you will do during the day (entry time, exit time and direction). I haven't seen anyone doing this before. Keep up the good work!

Edit: Added handwritten data (GFIs1_first_119_trades.txt)

@GFIs1 if you can supply me the data from the beginning of this trading system (I couldn't find your twitter account) I could make the same analysis with bigger sample size that would yield more accurate statistics.

Attached Thumbnails
GFIs1 1 DAX trade per day journal-gfis1_mc.png  
Attached Files
Register to download File Type: txt GFIs1_first_119_trades.txt (1.9 KB, 13 views)

Last edited by rounder8; August 31st, 2012 at 01:50 AM.
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  #375 (permalink)
Market Wizard
Switzerland
 
Futures Experience: Intermediate
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Broker/Data: IB / DTN
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Posts: 3,993 since Feb 2012
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Thanks @rounder8 for the statistic and the nice comments.
Started publicly with the system on december 19 last year.
There is more data (plus 12 months more). The results can not
be taken for a statistic as the rule set was developed in that
period. Will send you all the twittered results though.
You can find the messages on twitter:
https://twitter.com/gfis1
or search for gfis1.

GFIs1

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  #376 (permalink)
Elite Member
Bangkok, Thailand
 
Futures Experience: Intermediate
Platform: Matlab, Self-Made Platform
Favorite Futures: GC, CL, Forex
 
Posts: 139 since Mar 2011
Thanks: 284 given, 159 received


GFIs1 View Post
Thanks @rounder8 for the statistic and the nice comments.
Started publicly with the system on december 19 last year.
There is more data (plus 12 months more). The results can not
be taken for a statistic as the rule set was developed in that
period. Will send you all the twittered results though.
You can find the messages on twitter:
https://twitter.com/gfis1
or search for gfis1.

GFIs1

Since when do you consider your system to be fully developed to the form it is now? Is it automated system or are there some discretionary elements? Earlier in this journal you told that you have your results on a spreadsheet, it would be easier for me to calculate the statistics if I could have that resource so I don't have to manually collect the nuggets of information from twitter feed, in case you are curious to see...

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  #377 (permalink)
Market Wizard
Switzerland
 
Futures Experience: Intermediate
Platform: Investor/RT
Broker/Data: IB / DTN
Favorite Futures: Futures
 
Posts: 3,993 since Feb 2012
Thanks: 3,696 given, 7,390 received
Forum Reputation: Legendary

Friday trade

Today a Dax long from 09:30 to 16:30

entry @ 6905

exit @ 6944

result plus 44 points

risk - medium

outlook - last day of the month - no important US numbers

GFIs1

edit: "Ben's speech" and coming monday holiday are bringing some extra vola...


Last edited by GFIs1; August 31st, 2012 at 10:32 AM.
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  #378 (permalink)
Market Wizard
Switzerland
 
Futures Experience: Intermediate
Platform: Investor/RT
Broker/Data: IB / DTN
Favorite Futures: Futures
 
Posts: 3,993 since Feb 2012
Thanks: 3,696 given, 7,390 received
Forum Reputation: Legendary


rounder8 View Post
Since when do you consider your system to be fully developed to the form it is now? Is it automated system or are there some discretionary elements? ..

The system is final since the beginning of publicly announcing the trades. It is automated - but not programmed
to open a trade. The closing / and stop is fully automated. The ruleset is quite difficult to program as it includes
situations like holidays - important numbers on a day etc.. So these are not "discretionary" elements - but these
elements do influence time of starting and/or closing time of each trade. Unfortunately this is not easily to be
transcripted into a full auto trading system.
Hope this helps :-)

GFIs1

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  #379 (permalink)
Market Wizard
Switzerland
 
Futures Experience: Intermediate
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Broker/Data: IB / DTN
Favorite Futures: Futures
 
Posts: 3,993 since Feb 2012
Thanks: 3,696 given, 7,390 received
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Week 35 result

This week we had five trades

Two trades negative (-7 and -8 points)
Three trades positive (12 + 20 + 44 points)

Total result plus 61 points

Total result since week 1: 862 points

GFIs1

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  #380 (permalink)
Market Wizard
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Futures Experience: Intermediate
Platform: Investor/RT
Broker/Data: IB / DTN
Favorite Futures: Futures
 
Posts: 3,993 since Feb 2012
Thanks: 3,696 given, 7,390 received
Forum Reputation: Legendary

Today...


...lost some chips on the table...:

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GFIs1

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