# My SPI system



## qichxi (5 July 2009)

HI,everybody. I'm a new guy from China.
The following is my backtesting report and my real report from March to 30 June.


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## Aussiest (5 July 2009)

Wow qichxi, congratulations for posting your results! You are more likely to get a lot of respect here if you do that.

If you don't mind me asking, what is your average hold time? Do you scalp / day trade? Or, do you do this after work?

Martine


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## beamstas (5 July 2009)

Looks like you are using far too much leverage.
If that buy & hold turned out to be a losing trade the account would be history


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## qichxi (5 July 2009)

Aussiest said:


> Wow qichxi, congratulations for posting your results! You are more likely to get a lot of respect here if you do that.
> 
> If you don't mind me asking, what is your average hold time? Do you scalp / day trade? Or, do you do this after work?
> 
> Martine




I hold one day.
I don't scalp/day trade. But I wanna after I build my auto-trading.
Trading is my interesting. It's after work.


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## qichxi (5 July 2009)

beamstas said:


> Looks like you are using far too much leverage.
> If that buy & hold turned out to be a losing trade the account would be history




The leverage is 25 due to ASX required.

If that buy & hold turned out to be a losing trade the account would be history? I don't understand,sorry my english.


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## Aussiest (5 July 2009)

qichxi said:


> account would be history?




What Beamstas means is that he thinks your account would be wiped out (become $0.00) if you use too much leverage, if the position goes against you.

What is "25" leverage? Does that mean you're putting in 25% of the contract value? How many contracts do you typically trade overnight? Do you use Interactive Brokers? Sorry for all the questions.

Btw, your average profit is 2x your average loss. Not bad for a part-time job


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## qichxi (5 July 2009)

Aussiest said:


> What Beamstas means is that he thinks your account would be wiped out (become $0.00) if you use too much leverage, if the position goes against you.
> 
> What is "25" leverage? Does that mean you're putting in 25% of the contract value? How many contracts do you typically trade overnight? Do you use Interactive Brokers? Sorry for all the questions.
> 
> Btw, your average profit is 2x your average loss. Not bad for a part-time job




I haven't power to choose leverage,SPI is ASX 200 futures.
I use IB and just one contract.


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## Aussiest (5 July 2009)

Ah, thanks qichxi. One contract seems good.


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## skc (5 July 2009)

Thanks for sharing, qichxi.

When you say you hold 1 day do you buy on the open (9:50am) and sell at the close? Or do you trade the overnight movements due to your work?

It doesn't look like you use any stop loss? Would that have improved the results? Your biggest loss was quite big compared relative to your account size.

Interesting to see your system took no short trades during the real trade period, but the SPI has really just moved in a sideway whipsaw pattern for the last 2 months. Seem to suggest to me that your short signal is not being triggered?

Looks like good result. Well done and good luck.


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## awg (5 July 2009)

The max drawdown of $-736,640 on the buy&hold is a bit concerning

Is this a demo account system?


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## qichxi (5 July 2009)

skc said:


> Thanks for sharing, qichxi.
> 
> When you say you hold 1 day do you buy on the open (9:50am) and sell at the close? Or do you trade the overnight movements due to your work?
> 
> ...




The system can short but not good as buy in real trading. So I use buying in real.
I don't use stop loss though I can do that. If I have enough real history data I can analyse the stop amount.
I trade the overnight movements due to my work.
My account size is just for opening account, in fact, I have lots not in trading.
The MMD is better below 20% of account size (I prefer 5%) if account show for business issue.


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## qichxi (5 July 2009)

awg said:


> The max drawdown of $-736,640 on the buy&hold is a bit concerning
> 
> Is this a demo account system?




The first is backtesting. But you don't need care MDD of buy & hold due to it's compare for this system in the software.

The MDD of buy system need be cared anytime.


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## rub92me (6 July 2009)

Would be interesting to see how this long only system performed in say the period: November 2007 to March 2009. If it looks okay in that period then you may be on to something!


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## qichxi (7 July 2009)

rub92me said:


> Would be interesting to see how this long only system performed in say the period: November 2007 to March 2009. If it looks okay in that period then you may be on to something!




please see the period,feel stable.


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## rub92me (13 July 2009)

So you traded 1 contact overnight on the SPI, holding for 1 night and your average win was > 1500 or > 60 points in that period.  I don't think even in hindsight you could create the results you've shown with the SPI data I have. All the best anyway.


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## qichxi (13 July 2009)

rub92me said:


> So you traded 1 contact overnight on the SPI, holding for 1 night and your average win was > 1500 or > 60 points in that period.  I don't think even in hindsight you could create the results you've shown with the SPI data I have. All the best anyway.




have you that period real histroy data? I can backtest.


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## skc (14 July 2009)

rub92me said:


> So you traded 1 contact overnight on the SPI, holding for 1 night and your average win was > 1500 or > 60 points in that period.  I don't think even in hindsight you could create the results you've shown with the SPI data I have. All the best anyway.




Feels wrong doesn't it. But his buy and hold strategy (which I assume is for reference only) showed a $581K loss. On $25 per tick that equates to 23,000 points. So something wrong there...either it was more than $25 per tick, or it's not the SPI.


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## beamstas (14 July 2009)

skc said:


> Feels wrong doesn't it. But his buy and hold strategy (which I assume is for reference only) showed a $581K loss. On $25 per tick that equates to 23,000 points. So something wrong there...either it was more than $25 per tick, or it's not the SPI.




Or more than 1 contract


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## qichxi (14 July 2009)

skc said:


> Feels wrong doesn't it. But his buy and hold strategy (which I assume is for reference only) showed a $581K loss. On $25 per tick that equates to 23,000 points. So something wrong there...either it was more than $25 per tick, or it's not the SPI.




HI,It's SPI from Yahoo data. 

So I do want have real history data.


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## skc (14 July 2009)

What's the code for yahoo's SPI data? Can't find it.

I do have real data on a chart but can't download it for you.


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## qichxi (14 July 2009)

skc said:


> Feels wrong doesn't it. But his buy and hold strategy (which I assume is for reference only) showed a $581K loss. On $25 per tick that equates to 23,000 points. So something wrong there...either it was more than $25 per tick, or it's not the SPI.




581K is not my system. It's a buy & hold strategy which compare my system.

the buy & hold strategy is a fix strategy in this analysis software.


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## Trembling Hand (14 July 2009)

qichxi said:


> HI,It's SPI from Yahoo data.
> 
> So I do want have real history data.




Do you want daily, daily cash hours only, minute or tick?

What have you been back testing on?


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## skyQuake (14 July 2009)

Was not aware yahoo has SPI quotes. Do you have a link?


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## skc (14 July 2009)

qichxi said:


> 581K is not my system. It's a buy & hold strategy which compare my system.
> 
> the buy & hold strategy is a fix strategy in this analysis software.




Not saying that is your strategy. Just saying based on the results either the data is wrong or something else funny, because a single $25 SPI contract will not produce such result over the testing time frame.

Type the code SPI into yahoo you actually get Merrill Lynch  I hope the system wasn't developed on Merrill Lynch data and applied to the SPI... or perhaps Merrill is the ultimate leading indicator for the SPI.


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## qichxi (14 July 2009)

skyQuake said:


> Was not aware yahoo has SPI quotes. Do you have a link?




It's not SPI but SP200 like ASX.

So it's most similar like real SPI


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## qichxi (14 July 2009)

Trembling Hand said:


> Do you want daily, daily cash hours only, minute or tick?
> 
> What have you been back testing on?




HI,I want daily data only if you haveThanks


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## qichxi (14 July 2009)

skc said:


> Not saying that is your strategy. Just saying based on the results either the data is wrong or something else funny, because a single $25 SPI contract will not produce such result over the testing time frame.
> 
> Type the code SPI into yahoo you actually get Merrill Lynch  I hope the system wasn't developed on Merrill Lynch data and applied to the SPI... or perhaps Merrill is the ultimate leading indicator for the SPI.




Yes,-581K is wrong. I never care this line


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## Trembling Hand (14 July 2009)

qichxi said:


> It's not SPI but SP200 like ASX.
> 
> So it's most similar like real SPI




Your data is most likely rubbish. The ASX has a staggered open over the first 8 minuets. So if you are taking trades on the open ASX200 prices your system is not workable.

As for the data you do know daily data will have the overnight trades in it?


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## qichxi (14 July 2009)

Trembling Hand said:


> Your data is most likely rubbish. The ASX has a staggered open over the first 8 minuets. So if you are taking trades on the open ASX200 prices your system is not workable.
> 
> As for the data you do know daily data will have the overnight trades in it?




Yes,the data is not real data. But it can show something in history.So I attached a real trading record.

I know the daily data have overnight trading,but I just need (9:50~16:30).


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## skyQuake (14 July 2009)

qichxi said:


> Yes,the data is not real data. But it can show something in history.So I attached a real trading record.
> 
> I know the daily data have overnight trading,but I just need (9:50~16:30).




Bad data is one thing, but this is misleading data.

Also, TH are you exporting the data via NT? The new NT seems to have exporting issues..


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## qichxi (14 July 2009)

skyQuake said:


> Bad data is one thing, but this is misleading data.
> 
> Also, TH are you exporting the data via NT? The new NT seems to have exporting issues..




Where can I get a real  history data? I did ask ASX for these datas but fail.


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## Trembling Hand (14 July 2009)

skyQuake said:


> TH are you exporting the data via NT? The new NT seems to have exporting issues..




Haven't noticed, like what?


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## skyQuake (16 July 2009)

Trembling Hand said:


> Haven't noticed, like what?




Data export freezes randomly, will work 1/2 the time.


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## Trembling Hand (16 July 2009)

skyQuake said:


> Data export freezes randomly, will work 1/2 the time.




Nah. I have been using it for years. Pretty much error free. That function anyway. Must be the cheap equipment they give you :


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## beamstas (16 July 2009)

So you disregard the -581k in buy and hold because the data is not accurate, but still believe your profit figure on short term is accurate.

I think you ened to get some real data.


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## qichxi (16 July 2009)

beamstas said:


> So you disregard the -581k in buy and hold because the data is not accurate, but still believe your profit figure on short term is accurate.
> 
> I think you ened to get some real data.




-581k is not my system. It's buy&hold....to compare.


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## beamstas (16 July 2009)

qichxi said:


> -581k is not my system. It's buy&hold....to compare.




And obviously it is wrong, Your system is using the same data, So obviously your system is wrong too.

Has joe gone on recruiting mode and bought over a heap of rocket scientists?


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