Mechanical trading system calculations in Day trading I mode, starting January 3, 2000 to November 19, 2002, are provided below. Calculation conditions: 100 traders participate in Day trading I mode every day; each trader invests $25,000 daily, i.e. earlier gains are not reinvested, while earlier losses are compensated.
| Duration of trading |
3-Jan-2000 - 19-Nov-2002 |
| Number of trading days |
724 |
| Daily investment amount, $ |
25000 |
| Number of financial assets involved |
1 |
| Number of traders |
100 |
|
| Worst user |
| Total earnings per cent, [%] |
173.0 |
| Maximal earnings per trade, [%] |
7.2 |
| Average earnings per trade, [%] |
0.24 |
| Maximal consecutive wins |
11 |
| Share of winning trades, [%] |
67.6 |
| Maximal drawdown, [%] |
50.1 |
| Maximal loss per trade, [%] |
19.9 |
| Maximal consecutive losses |
7 |
| Share of trades lost, [%] |
32.4 |
| Maximal consecutive draws |
1 |
| Reward / risk |
3.5 |
| Reward / risk per trade |
0.4 |
|
| Best user |
| Total earnings per cent, [%] |
326.5 |
| Maximal earnings per trade, [%] |
51.1 |
| Average earnings per trade, [%] |
0.46 |
| Maximal consecutive wins |
9 |
| Share of winning trades, [%] |
62.6 |
| Maximal drawdown, [%] |
36.4 |
| Maximal loss per trade, [%] |
13.9 |
| Maximal consecutive losses |
7 |
| Share of trades lost, [%] |
37.4 |
| Maximal consecutive draws |
2 |
| Reward / risk |
9.0 |
| Reward / risk per trade |
3.7 |
|
What do the two above tables tell about? |
Let's consider those tables' main parameter - the system’s yield. We see a perfect result: both the worse, and the best user wind up with POSITIVE yield in their trading operations, i.e. SmarTrading unequivocally provides results, which make money for all users. The difference is only in amount of this PROFIT (see "Total earnings"). It happens because users invest different stocks, so their results cannot be identical.
"Maximal drawdown" and "Maximal loss per trade" will help you in estimating your risks. To evaluate intraday risk you can view maximal daily loss parameters, while for estimation of general risk for the entire trading period refer to the maximal drawdown.
The average per trade profit, apparently, is low: 0.30% in the worst option, and 0.38% in the best one, but let's consider the two following items - shares of winning and losing trades by totals of all trading operations per year... Due to the high winning to losing trades ratio, all investors have positive result. The longer you use the SmarTrading, the more this property will appear, and the mechanical trading system shows increasing yield. Separate successful trades (see "Maximal earnings per trade") in such situation are not determinative of success.
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