Subject: monthly system report
 
FOR THE MONTH OF AUG 16 - SEPT 16
SYSTEM STATISTICS (performance) UP TO THIS DATE:  
.12AVE PTS PER TRADE   EXPECTANCY*: .034             RISK BURN RATE:  .06  POINTS PER DAY   DAYS TO BURN 1 R RISK:  16DAYS (1/.13) (breakeven in 16 days)
TRADES PER DAY: ..52     PROJECTED ANNUALIZED INCOME    :                    2%EQUITY RISK : 41% PER ANNUM
                                                                                                                                            COUMPOUNDING MONTHLY:  149% PER ANNUM
 
 
EQUIV INTEREST RATE:    .034% PER MONTH            STOP OUTS IN ONE MONTH: 3
 
WIN RATE:  72% OF OUR TRADES ARE WINNERS.
 
 
PROFIT FOR YEAR USING NON-COMPOUNED $50,000 ACCOUNT:  $4118.00
 
 
total pts gain so far:  1.351  we have exceeded our risk so we may now take a longer timeframe
 
 
 
SYSTEM MAINTENANCE AND DESIGN:
 
You will notice that we got 72% winners, and 3 stops in the month.  To achieve our goal of 100% per year we need to do better.
The main factors this month are our stop out rate and our "trades per day".  The following actions have been taken to improve
these areas:
 
1) STOP OUTS must be reduced.  A new "indicator cheat sheet" has been developed that  is much more stringent.     A review of the stop outs showed that we were always getting stopped out when the stochastic had its lines going form flat to down.  The settings of the indicators needed to be shortened
to acheive better results.  The new settings are:   10 ema daily, 50 ema daily, STOCHASTIC 4 DAY(4,2,2)  AND MACD (8,22,5, CLOSING).  "LINES DOWN",
decision was included in cheat sheet.
 
ALSO.. The buy limits and sell limits were adjusted to take a standard "bite size" of .47R.  This keeps us out of all trades unless they have a potential to produce a gain at least 
large enough to offset a rate of 3 stops per month.
 
ALSO..We now have an set of rules for managing gaps, and exiting gracefully from trades that go against us , so that we can minimize the numbers of full 1R losses.  IF we reduce the amount we lose, even a small amount per trade, it makes a huge difference statistically.
 
 
2) TRADES PER DAY can be increased by playing 3 times as much.  (i.e. GENZ and MSFT) , We will be trying to bring these on-line this month.
Our goal is 1 trade per day rate.  80% win rate.
                
 
* EXPECTANCY is on average, per trade, the amount we make divided by the amount we risked in points.  1 R is 2% of our equity for our risk model.







Subject: RESULTS -- SIMULATIONS
 
I ran simulations with the data we have so far (you are supposed to do this).
Really what you are supposed to do is run them with several different risk factors ( like .5% 1% 1.5% 2%) etc and
    get the optimum risk to bet for the system.
 
But anyway I only had time to do 1 test run of 5 different outcomes using a 2% model.
 
Here it is:
 
for a $50,000 account risking 2% per trade, for 2 weeks  (this will show us our worst case and best case for 2% risk)
 
 
max gain $2350   (5 %)   we were lucky this 2 weeks
worst  lose$920   (3.5%)
 
chance for 2% drawdown  less than 16%
 
84%  chance for breakeven or better  (i.e. not losing in 2 weeks)
 
on average we can expect to get 1.6% each 2 weeks using 2 % risk.   (38 % per year)
 
 
 
This was done by taking our data so far and using a random number generator producing all possible outcomes for each of the
trades we have done, and doing this over and over 5 different times.  We had one stop during this time, so if you ran enough simulations
we eventually we get a period where this happens 3 times within the 2 wek period .
 
 
 
Our actual data of our real trades says 52% per year, using random numbers for our future trades probably is more in line with the real world
but anyway between 38% to 52% per year using only single lots on one timeframe betting 2% each bet.
 
(you will need to subtract another $1000 a year or so for commissions.




Subject: data & maintenance
 
we are going to start having some meaningful data after about 5 more trades. (enough to keep us out of trouble)
 
By 20 trades we should have a fairly good idea of "real" numbers.
 
So far we have backtested 1 uptrend , traded one trading range, and are part way through a downtrend.
 
 
Maintenance:  I will have to go back in a week or so and check the alignment of the ema's to the charts, also look at our deltas and
correct them for max profit vs maximum hit rate.
 
 
 
This "system" is not fully documented.  Especially risk control algorithms.
Also it will never be automatic.  I designed it to require constant attention. 
I think this is safer, and it will work better because it requires human intervention.
You have to look at "regular" stuff each day like indicators, ema s, and charts.  It
mainly goads us into making "scary" trades, and provides for extreme discipline to
keep to our schedule of making our final goal.
 
Our goals are what we want to do.  For the system that means "Bucks per year".