Day trading ALGO Stats

High efficiency of SmarTrading trading system is proved with the results of historical emulation of mechanical trading system, working in Day trading ALGO mode for the period from January 3,2000 to November 19, 2002. The number of trading days for this period was 724. Calculation conditions were as follows: 100 traders participated in Day trading ALGO mode every day; each trader invested $25,000 daily, i.e. earlier profits were not reinvested, while losses were compensated. The number of financial assets each trader traded every day was set by the trading system algorithm.

The tables provided below display, for comparison purposes, trading results for the worst and the best traders among 100 traders (the first and the second tables, accordingly). The data in the tables allow estimating both applied trading strategy yield, and its intrinsic risk. Analysis of information presented in the tables allows drawing conclusions, due to what properties our product provides high accrued trading yield being not accompanied with risk of big single losses.

Let's consider the main parameter, describing trading system yield - the total gain. We see a fine result: it is POSITIVE for both the worst, and the best trader, i.e. the SmarTrading unequivocally results in bringing profit to all users. The only difference is in amount of this GAIN (see lines "Total gain percentage"). This difference occurs because traders use stocks by different issuers, so their results cannot be identical. At the same time, the two next lines (maximal gain per trade and average gain per trade), also describing yield, are practically identical for both the worst and the best trader. It is important to draw your attention to one parameter - the maximal loss per trade, describing trading strategy risk offered by us. It happens to be almost undistinguished for the two traders and, which is more important, practically equal to the maximal gain per trade. To evaluate generalized risk for the entire trading period one should pay attention to the maximal decline of capital. Only this parameter displays a little bit greater distinction between the best and the worst traders. Therefore, both SmarTrading's yield parameter analysis, and risk parameter analysis provide evidence that our strategy's both average yield and average loss lie in the same range. The reason for this is that both yield and risk in our strategy are limited to intraday volatility. But if single trade's yield is approximately equal to single trade's loss, what is the reason of our product's success?

Let's consider two more table items - shares of winning and losing trades by the total of all trading operations per year. Due to the high winning to losing trades ratio, all traders have positive results. Such character of ratio between winning and losing trades is maintained during the entire operating time of SmarTrading, including rather uneasy periods selected for emulation. Due to this reason, when using the SmarTrading, the following rule will be observed: the longer you use the trading system, the more money it can make for you. In such a situation separate winning trades (see "Maximal gain per trade" lines) are not a determinative of success, just as separate losing trades cannot wipe you out. Another important system property is that average winning series length is overextending that of losing ones two to four times.

Day trading ALGO

Working with SmarTrading

Subscribe