For anyone out there who is a daytrader (not me, I have a hard enough time being a swing trader ) here is a system that Woodshedder has posted on his blog. He's been posting pieces of it here and there as he ran his tests. The system is fairly straightforward and his test showed a huge return. But I am not advocating in any way that people try this. I just thought it was an interesting post.
I won't list the particulars of the system here, but if you're curious you can look through Woodshedder's blog for the posts where he is testing out Lazy Man's system.
Lazy Man’s ES System: Optimized In Sample Report
April 27, 2009 – 10:44 pm
Clicking on the Tradestation Performance Summary will enlarge it.
As I have determined that the RSI exits and Stops and Targets seem to perform the best, I optimized those variables using exhaustive optimization. The results of the system run with the optimizations is above.
The system generates roughly four trades a day with the average trade earning around $35.00. The largest weekly drawdown during the time tested was -2.22%.
Although the annual rate of return is huge at 340.57% and the system doubled its starting equity in 50 days time, I’m still not sure how robust it will be going forward.
For the final post, I will run the system (as it is currently optimized) on out-of-sample data, from 2/16/09 to 4/28/09. We will then find out if the system might be over-optimized. We will also get a sense of how robust Lazy Man’s system, with my modifications, might be going forward.
Summary of Parameters
Dates Tested: 12/1/08-2/13/09
Starting Equity: $10,000
Contracts Per Trade: 1
Commissions Included: Yes, $2.50 per trade
Exits: RSI Long Exit, 85; RSI Short Exit, 10
Profit Target: $700.00
Stop: $300
http://www.ibankcoin.com/woodshedderblog/
Lady