LSJ Legend  Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL  User Profile | The results make me feel like I am on something! Because of the % of equity discussed previously this profile has been restricted to a maximum of three contracts so that no matter if the % equity is based on the price or the actual margin as appears in the database there is sufficient capital in the account either way. I could not determine how OT was calculating this. An export of the trades to Excel allowed a determination that the P&L is actually the running total of the original balance plus wins and and losses and the trade wins and losses are accurate and based on the point value in the futures database. There are 32 futures across the spectrum of agriculture, metals, energy, interest rates and equity indexes. On the first run there were very large losses in the softs (coffee, cotton, etc.). The strategies used are Breakout, GMMA and Trending. These were modified using a trade plan and a fixed loss stop to keep the huge leverage from making very large losses before reaching a pivot. These changes did not improve the loss situation much with the softs so they were removed (leaving 32 distinct futures). So, $25000 to almost $10 Million in five years including commissions with an avg annual DD of 3.1%. Not that I would expect this to take place but I will trade it in paper and see what happens. The difficulty is that testing is done on a continuous contract which can't be traded but and signals need to be manually translated to a current contract and the order placed. I'm interested to see any and all comments that other users may have. [Edited by LSJ on 8/28/2018 12:50 PM]  Attached file : Futures Equity Curve.jpg (455KB - 629 downloads) |
