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发表于 2011-8-23 12:47
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http://www.tradeonauto.com/support/blog
22 August 2011
No Trade.
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19 August 2011
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18 August 2011
No trade.
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17 August 2011
No trade. The volume has now switched into the December contract, so we will move across tomorrow.
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16 August 2011
No trade.
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15 August 2011
No trade.
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A Strategy for the Soybean Market
Last week, we reviewed the blog strategy and compared it to an alternative S&P 500 E-mini strategy. This week we will look at a strategy in the soybeans market which has got very attractive statistics, particularly with current margin levels being lower for beans than wheat.
 
The average win is 1.64 times the average loss over the period tested and we win half the time. The equity curve rises steadily over time, unlike the equity curve for the blog which had a saucer shaped recession during the 1st half of the curve.
As with the equity curves we looked at last week, the fact that the curve rises more steeply towards the right-hand side does not mean that the markets have suddenly become more favourable. What it illustrates is the beneficial effect of reinvesting your winnings with a sound money management strategy. As your winnings compound, your capital increases more rapidly.
Two further points worthy of note with this strategy are that (a) the strategy trades relatively infrequently—just a little more than half the trades taken by the blog strategy—so there are a lot of “no trade" days, and (b) the maximum drawdown over the period tested was 22% as opposed to 32% for the blog strategy.
Details of this attractive strategy have been e-mailed to current TradeOnAuto Pro clients.
(The results posted are simulated in back-testing and do not necessarily represent real world trading outcomes. Nor do they take into account differing margin levels during the test period which would have a material effect on profits – current margin levels were used in the test.)
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12 August 2011
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11 August 2011
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10 August 2011
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9 August 2011
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8 August 2011
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A Strategy for the S&P 500 e-mini
I mentioned last week I would feature some of the strategies which my son Simon has been working on, and this weekend we’ll start with a S&P 500 strategy.
The figures provided for the blog strategy last week were (slightly) incorrect, as they missed one of the settings used. The following table and equity curve chart show the key features:
 
The average win is 1.4 times the average loss and we win half the time. The fact that the chart gets steeper towards the right-hand side of the equity curve does not necessarily mean that the markets were better then, but reflects the benefit of reinvesting winnings and using money management techniques to increase earnings
It is easy to see from the equity curve that the 1st year was not profitable. This was true of many strategies in the wheat market at that time, because price was low, volatility was low, and the market was moving sideways.
One reason we preferred this strategy was that it did not suffer a critical loss during this long period of adverse market conditions, and then it made hay when the market came back to life. Nevertheless, as can be seen in the statistics, it did suffer a maximum 32% drawdown.
Compare this with the back-testing results for Simon’s first S&P strategy:
 
(Notice that this test is over a slightly shorter period.)
A 1st glance, most beginners would look at the net profit and conclude that the wheat strategy is obviously the way to go, as it generates considerably more cash. More experienced traders might look favourably at the smoother equity curve for the S&P strategy. They might also be impressed with the lower drawdown (15%).
The average wins and average losses are approximately equal, so the strategy relies on a favourable win rate (58%) to generate its profits.
Bearing in mind the (considerable) limitations of back-testing, and that what happened in the past will not necessarily happen in the future, it looks as though this strategy is less volatile than the wheat strategy.
Traders who find it difficult to tolerate large equity swings might feel much more relaxed trading this this approach rather than the wheat strategy (which is quite frequently 15 to 20% underwater).
(The results posted are simulated in back-testing and do not necessarily represent real world trading outcomes. Nor do they take into account differing margin levels during the test period which would have a material effect on profits – current margin levels were used in the test.)
The settings for this strategy have been e-mailed to current TradeOnAuto Pro clients.
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5 August 2011
A tough week.
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4 August 2010
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3 August 2011
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2 August 2011
No Trade
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1 August 2011
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Trading statement for July 2011
Considering the bad run during the last week, this was a solid result for the month. The performance was based on 7 winning trades, 6 losing trades and 6 no trading days.
We have had a number of requests for back tested information about the strategy we are using.
I am generally suspicious of sites publishing back tested results promoting a strategy because "curve fitting" often makes the results seem better than they really are. With that caveat in mind, the results since the end of April 2009 are presented here.
Allowance has been made for slippage and brokerage costs, but bear in mind that it is still very difficult to achieve back testing results in a real life! (That’s why I prefer to publish REAL results.)
The results indicate that a $10K account would have grown to approximately $36K during the test period (27 months), with 340 trades providing 174 wins and 166 losses. The average win to loss ratio is 1.44
The table assumes a starting capital of $10,000 with all winnings reinvested and the use of our standard money management strategy based on 3% risk per trade.
The strategy is no silver bullet. In particular, note that it is underwater for the majority of the first 12 months! Even though the drawdowns are reasonably mild, the strategy requires commitment over a long period of time.
If I may be permitted a measure of parental pride, I should note that my son Simon is the person who came up with these settings, together with a number of other interesting strategies in different markets. I intend to post details of some of his results, including some which we consider superior to this wheat strategy, during the coming weeks.
While we will continue to keep the blog strategy confidential, we will share the settings for these other strategies with TradeOnAuto Pro clients.
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29 July 2011
No trade.
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28 July 2011
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27 July 2011
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26 July 2011
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25 July 2011
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22 July 2011
No trade. (I was fortunate to have a connection issue which kept me out of the losing trade.)
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The markets are unfolding as we foresaw in our last letter. Occasionally we keep our mouths shut in order not to spoil the illusion of infallibility, also, when there is nothing more to say, why say it. The Beta wave was turned back as we expected and the C wave is now in operation. (Illustrated in our last letter.) Meanwhile traders piled into gold and silver. Here a long term gold chart showing the danger of what is going on — gold poking its head up above the long term channel and quite possibly going parabolic, which will quite possibly end with traders getting parboiled.
Assuming that the purpose of the market (the market always has a purpose) was to nauseate everyone and make them want to throw up, the purpose has been achieved. Bungee jumpers like ourselves who just want to see if the cord will snap back had a ball. Investors threw up all over the Street. But if you know what’s going on you can enjoy watching the herd rushing back and forth — and you can even make money off it. The hidden agenda of the last week was: “Shhh–buy now before the herd catches on… Bargains galore.” This is what the market always says as it is putting in a B wave. What the market says as it is putting in the C wave is: “Gotcha!”
When markets panic there are always “smart” traders who seize on the “oversold” situation to scrounge for bargains. This is how B waves are formed. C waves are formed when traders realize that they have bought a bull trap. A B wave is being formed right now, very similar to those which formed in November of 2008. We do not choose to stand in front of onrushing trains, so we liquidated our shorts and are now long — a trading position. Readers who are not young, agile and aggressive should be watching this with amused interest from the sidelines. So should we. Nonetheless…
Something very strange is going on here (aside from a market implosion, which is strange enough).
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