Commodity Forum for Futures Trading

I am a system developer looking to evaluate my competition. If you have used a futures trading system, I'd like to hear about it. i.e., sytem name, where you purchased it, your experience with the system, how much you paid, etc.

If enough people respond, we may end up with a good list of systems that actually work. If nothing else, we should at least end up with a good list of systems not to buy.

I have used 2 differant software systems, Metastock end of day + professional trade advisor 3, I have had only had fair luck so far, now looking into investtools on line web based software.

I suggest you to look this topic of this forum http://www.turkforum.net/forumdisplay.php?f=409

I do some system trading myself and we use a variaition of the Turtle Trader - we have been doign okay this and only been using it for a few months (8 to be exact) so not a long track record

I forgot to add, YTD 120% return

I am currently working on developing a system for trading The Mini's I will keep you guys in the loop on how it is going.

You could always use one of Dan obriens systems right stewart...

If you want to make money for two weeks and then lose everything.

I am using MA's and Pivots to develop a system that has been qorking out well to date. I think there is a lot of tweeking left to do to get it the way that I want.

Does any one have a trail recomendation?

all trades long trades short trades

Total Net Profit $912.50 $887.50 $25.00
Gross Profit $1,737.50 $1,450.00 $287.50
Gross Loss ($825.00) ($562.50) ($262.50)
Profit Factor 2.11 2.58 1.10

Open Position P/L $0.00 $0.00 $0.00

Select Total Net Profit $437.50 $412.50 $25.00
Select Gross Profit $1,187.50 $900.00 $287.50
Select Gross Loss ($750.00) ($487.50) ($262.50)
Select Profit Factor 1.58 1.85 1.10

Adjusted Total Net Profit $471.52 $474.23 ($144.42)
Adjusted Gross Profit $1,430.35 $1,154.02 $185.85
Adjusted Gross Loss ($958.83) ($679.79) ($330.28)
Adjusted Profit Factor 1.49 1.70 0.56

Total Number of Trades 100 65 35
Percent Profitable 32.00% 36.92% 22.86%
Winning Trades 32 24 8
Losing Trades 38 23 15
Even Trades 30 18 12

Avg. Trade Net Profit $9.13 $13.65 $0.71
Avg. Winning Trade $54.30 $60.42 $35.94
Avg. Losing Trade ($21.71) ($24.46) ($17.50)
Ratio Avg. Win:Avg. Loss 2.50 2.47 2.05
Largest Winning Trade $275.00 $275.00 $75.00
Largest Losing Trade ($75.00) ($75.00) ($37.50)
Largest Winner as % of Gross Profit 15.83% 18.97% 26.09%
Largest Loser as % of Gross Loss 9.09% 13.33% 14.29%

Net Profit as % of Largest Loss 1216.67% 1183.33% 66.67%
Select Net Profit as % of Largest Loss 583.33% 550.00% 66.67%
Adjusted Net Profit as % of Largest Loss 628.69% 632.31% (385.13%)

Max. Consecutive Winning Trades 3 3 3
Max. Consecutive Losing Trades 5 4 4
Avg. Bars in Total Trades 5.94 7.20 3.60
Avg. Bars in Winning Trades 10.53 12.04 6.00
Avg. Bars in Losing Trades 4.53 5.30 3.33
Avg. Bars in Even Trades 2.83 3.17 2.33

Max. Shares/Contracts Held 1 1 1
Total Shares/Contracts Held 100 65 35
Account Size Required $162.50 $137.50 $137.50
Total Slippage $0.00 $0.00 $0.00
Total Commission $0.00 $0.00 $0.00

Return on Initial Capital 0.91%
Annual Rate of Return 46.91%
Buy & Hold Return 1.63%
Return on Account 561.54%
Avg. Monthly Return $912.50
Std. Deviation of Monthly Return n/a

Return Retracement Ratio n/a
RINA Index 24.10
Sharpe Ratio n/a
K-Ratio n/a

Trading Period 7 Dys, 1 Hr, 45 Mins
Percent of Time in the Market 83.41%
Time in the Market 5 Dys, 21 Hrs, 35 Mins
Longest Flat Period 2 Hrs, 55 Mins

Max. Equity Run-up $1,075.00
Date of Max. Equity Run-up 09/09/05 12:30
Max. Equity Run-up as % of Initial Capital 1.08%

Max. Drawdown (Intra-day Peak to Valley)
Value ($325.00) ($325.00) ($200.00)
Date 09/02/05 16:05
as % of Initial Capital 0.33% 0.33% 0.20%
Net Profit as % of Drawdown 280.77% 273.08% 12.50%
Select Net Profit as % of Drawdown 134.62% 126.92% 12.50%
Adjusted Net Profit as % of Drawdown 145.08% 145.92% (72.21%)

Max. Drawdown (Trade Close to Trade Close)
Value ($162.50) ($137.50) ($137.50)
Date 09/09/05 10:15
as % of Initial Capital 0.16% 0.14% 0.14%
Net Profit as % of Drawdown 561.54% 645.45% 18.18%
Select Net Profit as % of Drawdown 269.23% 300.00% 18.18%
Adjusted Net Profit as % of Drawdown 290.16% 344.90% (105.04%)

Max. Trade Drawdown ($187.50) ($187.50) ($62.50)



All Trades

Total Net Profit $912.50 Profit Factor 2.11
Gross Profit $1,737.50 Gross Loss ($825.00)

Open Position Profit/Loss $0.00

Select Total Net Profit $437.50 Select Profit Factor 1.58
Select Gross Profit $1,187.50 Select Gross Loss ($750.00)

Adjusted Total Net Profit $471.52 Adjusted Profit Factor 1.49
Adjusted Gross Profit $1,430.35 Adjusted Gross Loss ($958.83)

Total Number of Trades 100 Percent Profitable 32.00%
Winning Trades 32 Losing Trades 38
Even Trades 30

Avg. Trade Net Profit $9.13 Ratio Avg. Win:Avg. Loss 2.50
Avg. Winning Trade $54.30 Avg. Losing Trade ($21.71)
Largest Winning Trade $275.00 Largest Losing Trade ($75.00)
Largest Winner as % of Gross Profit 15.83% Largest Loser as % of Gross Loss 9.09%

Net Profit as % of Largest Loss 1216.67%
Slct. Net Profit as % of Largest Loss 583.33% Adj. Net Profit as % of Largest Loss 628.69%

Max. Consecutive Winning Trades 3 Max. Consecutive Losing Trades 5
Avg. Bars in Winning Trades 10.53 Avg. Bars in Losing Trades 4.53
Avg. Bars in Total Trades 5.94

Max. Shares/Contracts Held 1 Account Size Required $162.50
Total Commission $0.00 Total Slippage $0.00

Return on Initial Capital 0.91% Annual Rate of Return 46.91%
Buy and Hold Return 1.63% Return on Account 561.54%
Avg. Monthly Return $912.50 Std. Deviation of Monthly Return n/a

Return Retracement Ratio n/a RINA Index 24.10
Sharpe Ratio n/a K-Ratio n/a

Trading Period 7 Dys, 1 Hr, 45 Mins Percent of Time in the Market 83.41%
Time in the Market 5 Dys, 21 Hrs, 35 Mins Longest Flat Period 2 Hrs, 55 Mins

Max. Equity Run-up $1,075.00
Date of Max. E. Run-up 09/09/05 12:30 Max. E. Run-up as % of Initial Capital 1.08%

Max. Drawdown (Intra-day Peak to Valley)
Max. Drawdown (Trade Close to Trade Close)

Value ($325.00) Value ($162.50)
Date 09/02/05 16:05 Date 09/09/05 10:15
as % of Initial Capital 0.33% as % of Initial Capital 0.16%
Net Profit as % of Drawdown 280.77% Net Profit as % of Drawdown 561.54%
Slct. Net Profit as % of Drawdown 134.62% Slct. Net Profit as % of Drawdown 269.23%
Adj. Net Prof as % of Drawdown 145.08% Adj. Net Profit as % of Drawdown 290.16%

Max. Trade Drawdown ($187.50)

Long Trades

Total Net Profit $887.50 Profit Factor 2.58
Gross Profit $1,450.00 Gross Loss ($562.50)

Open Position Profit/Loss $0.00

Select Total Net Profit $412.50 Select Profit Factor 1.85
Select Gross Profit $900.00 Select Gross Loss ($487.50)

Adjusted Total Net Profit $474.23 Adjusted Profit Factor 1.70
Adjusted Gross Profit $1,154.02 Adjusted Gross Loss ($679.79)

Total Number of Trades 65 Percent Profitable 36.92%
Winning Trades 24 Losing Trades 23
Even Trades 18

Avg. Trade Net Profit $13.65 Ratio Avg. Win:Avg. Loss 2.47
Avg. Winning Trade $60.42 Avg. Losing Trade ($24.46)
Largest Winning Trade $275.00 Largest Losing Trade ($75.00)
Largest Winner as % of Gross Profit 18.97% Largest Loser as % of Gross Loss 13.33%

Max. Consecutive Winning Trades 3 Max. Consecutive Losing Trades 4
Avg. Bars in Winning Trades 12.04 Avg. Bars in Losing Trades 5.30
Avg. Bars in Total Trades 7.20

Max. Shares/Contracts Held 1 Account Size Required $137.50
Total Commission $0.00 Total Slippage $0.00

Net Profit as % of Largest Loss 1183.33%
Slct. Net Profit as % of Largest Loss 550.00% Adj. Net Profit as % of Largest Loss 632.31%

Max. Drawdown (Intra-day Peak to Valley)
Max. Drawdown (Trade Close to Trade Close)

Value ($325.00) Value ($137.50)
as % of Initial Capital 0.33% as % of Initial Capital 0.14%
Net Profit as % of Drawdown 273.08% Net Profit as % of Drawdown 645.45%
Slct. Net Profit as % of Drawdown 126.92% Slct. Net Profit as % of Drawdown 300.00%
Adj. Net Prof as % of Drawdown 145.92% Adj. Net Profit as % of Drawdown 300.00%

Max. Trade Drawdown ($187.50)

Short Trades

Total Net Profit $25.00 Profit Factor 1.10
Gross Profit $287.50 Gross Loss ($262.50)

Open Position Profit/Loss $0.00

Select Total Net Profit $25.00 Select Profit Factor 1.10
Select Gross Profit $287.50 Select Gross Loss ($262.50)

Adjusted Total Net Profit ($144.42) Adjusted Profit Factor 0.56
Adjusted Gross Profit $185.85 Adjusted Gross Loss ($330.28)

Total Number of Trades 35 Percent Profitable 22.86%
Winning Trades 8 Losing Trades 15
Even Trades 12

Avg. Trade Net Proft $0.71 Ratio Avg. Win:Avg. Loss 2.05
Avg. Winning Trade $35.94 Avg. Losing Trade ($17.50)
Largest Winning Trade $75.00 Largest Losing Trade ($37.50)
Largest Winner as % of Gross Profit 26.09% Largest Loser as % of Gross Loss 13.33%

Max. Consecutive Winning Trades 3 Max. Consecutive Losing Trades 4
Avg. Bars in Winning Trades 6.00 Avg. Bars in Losing Trades 3.33
Avg. Bars in Total Trades 3.60

Max. Shares/Contracts Held 1 Account Size Required $137.50
Total Slippage $0.00 Total Commission $0.00

Net Profit as % of Largest Loss 66.67%
Slct. Net Profit as % of Largest Loss 66.67% Adj. Net Profit as % of Largest Loss (385.13%)

Max. Drawdown (Intra-day Peak to Valley)
Max. Drawdown (Trade Close to Trade Close)

Value ($200.00) Value ($137.50)
as % of Initial Capital 0.20% as % of Initial Capital 0.14%
Net Profit as % of Drawdown 12.50% Net Profit as % of Drawdown 18.18%
Slct. Net Profit as % of Drawdown 12.50% Slct. Net Profit as % of Drawdown 18.18%
Adj. Net Prof as % of Drawdown (72.21%) Adj. Net Prof as % of Drawdown (105.04%)

Max. Trade Drawdown ($62.50)

That is for this week alone trading one lots in the mini S&P

I use Advantage System (http://www.advantage.online.pl). It works quite well. There are sometimes periods without gains (even few months), but generally I am glad. It has quite good expert module. It is logical and you can use it for making your own decisions (ignoring system signals).

Hi BackTester,

Good idea.

I'm working on some systems currently and would love to have a second or third set of eyes take a look at the results.

What's the best way to get started?

Our system has been working quite well as of late - we were able to clear 20% last month - it takes a lot of little losers but when we catch it right, we do quite well. EX: went long OJ at 96, got out at 105, got long again at 106, got out at 116 - we are now long the JAN contract at 122.50