E ste is one of the most important when attempting to develop a profitable system.
The contract price has to be appropriate in relation to the minimum tick for commissions and slippage costs do not end up with positive expectations of the system.
Especially in commodity markets where fluctuations in% were acute, it is normal that the contract price happens to be favorable to unfavorable for the system in a matter of time
To display a button :
Figure 1: Continuous Future Gold Mini 2002-2007
This is the evolution of the Gold Mini contract since the end of 2002 to the current date.
This future has risen by 110% during this period, but let's look at what has taken this carefully.
The minimum fluctuation of the future was and is 0.1 points, or $ 10 per contract.
In late 2002 the future trading at 300 points, implying that to have a minimum variation of 0.1% points, you should swing a 0.033%.
current date in the future is trading at 650 points, which means that to have a minimum change of 0.1 points %, Should swing a 0.015%.
Ultimately we would need far less than half of the same trip in% necessary in late 2002 to make the same money with the same contract.
In the following case I upload an example of an actual system Back-Test:
Figure 2 shows the evolution of Future top of Ibex from the January 14, 1993 to July 18 2001 and below the evolution of one of my systems on the market for the same date.
The mean for business is 0.1% and expenses between committees and landslides are 5 points. Knowing this, the question is; What is the minimum level at which you must quote the Ibex for the system to cover costs taking into account this average per transaction?
To calculate the Break Even; (5 * 100) / 0.1% = 5,000 points .
According to these data, with an average per trade of 0.1% and spending 5 points would be impossible to generate profits below 5,000 points.
Looking at the graph we see that the system was fully immersed in Drawdown from the beginning of the period until early 1997. From the moment the system started to generate profits in an "acceptably stable."
Figure 2: Back-Test IBEX system
1993-2001
This happened just as the future of India began rise above the 5,000 points, which was and is to this system our minimum level to generate profits.
As a general rule the further you are the price of its minimum required level system will have better prospects, this is because the fraction of the movement in% holding cost is reduced as the price goes up scale.
That's all for now.
Regards and good trading.
Marting.
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