Thursday, May 28, 2009

RE: [Option_BWBs_and_Collars] RE: [TheOptionClub.com] Automated Trading Systems



The T has been traded for about two months and is showing results similar to the backtesting.  The rest have not been traded yet.
 

To: Option_BWBs_and_Collars@yahoogroups.com
From: mcatolico@mindspring.com
Date: Thu, 28 May 2009 17:35:38 -0500
Subject: RE: [Option_BWBs_and_Collars] RE: [TheOptionClub.com] Automated Trading Systems



So these are  all just theoretical?

 

From: Option_BWBs_and_Collars@yahoogroups.com [mailto:Option_BWBs_and_Collars@yahoogroups.com] On Behalf Of Tom Batchelor
Sent: Thursday, May 28, 2009 5:10 PM
To: option club; option bwb; advanced options
Subject: [Option_BWBs_and_Collars] RE: [TheOptionClub.com] Automated Trading Systems

 



Both commisions and slippage are included for each trade (entry and exit).  The trading period for backtesting for all of the systems is about 9 months.
 
Hope that I got all of the info that was asked for.  If I missed something or if something is not clear please ask.
 

Annual

Maximum

Maximum

Net Profit

Total #

Percent

Percent

Risk Reward

Maximum

Consecutive

Consecutive

Avg. Time

Expectancy

$

of Trades

Profitable

Return

Index

Drawdown

Winners

Losers

In Trade

T (1min)

1030

72

86

872

271

95

10

1

137 min

15.2486

IWM (1 min)

795

37

67.6

247

256

323

7

3

66 min

21.48552

SMH (1 min)

1915

112

58

870

57

299

6

4

497 min

16.952

GS (1 min)

6331

874

54

649

366

995

8

8

12.36 min

6.6696

GOOG (1 min)

37989

2767

55

1330

1146

3264

17

10

8.07 min

10.316

AAPL (1 min)

5254

220

59

931

1635

619

8

6

17.44 min

24.561

EURUSD (1 min)

70000

71

81

1409

79.8

7124

11

2

3198 min

973.9384

USDJPY (1 min)

43011

221

68

573

51.5

6412

10

4

1030 min

195.9624

EURJPY (1 min)

129788

111

77.5

1557

82.8

12589

15

3

2191 min

1172.88425

 

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