Intraday portfolios examples

How to get the proof?
Back testing vs trade records

We also disagree with the trade record policy used in this industry.
The efficiency of the trading system has to be proven with years of real trades. Why not but there are  a serious side effect:

First you can only rely on trading systems that were developed years ago, and doing so, forbids the use of the most recent technology.

Second: The guarantee is  also doubtful: Suffice to trade several systems under different account, and propose the system that has really well performed in real trading. And what about the other wrong systems traded? You will never know.
Is it a guarantee that the selected system will perform in the future, only because it has been successfully traded in real world over years? No more.

Trade records are used to avoid fraud, because everyone must know that it is easy de optimize ( curve fitting) any system using past historical data.

This is less true if you attempts to do this on a basket of intraday commodities and stocks, virtually impossible to  curve fit over 10,000 to 30,000 trades.

The back testing validation takes its sense with intraday data because of the huge number of trades and huge number of data bars tested on unseen data, making fraud virtually impossible. This is your best guarantee.

Refusing to use back tested data results has no sense in a rocket science world. This industry is the only one where real test is the rule, not because simulated results are wrong, but because they can be obtained with the benefit of insight.
Like if a plane was allowed to commercial use after it has had real flights proving that the number of crashes are acceptable to meet the standards.
Doing so, the most secure transportation mean today  should still have been your grandfather's horses.

This may be understandable, but no perfect solution exist.
After all, because we are committed in your success, your best guarantee is that we must  provide you  with the winning  system that you expect. If you earn money, we will too.  

Plain and simple.

Futures portfolio

• 2 systems running one contract of DAX, CAC, FTSE, BP futures each ( total traded = 8 items)
  Slippage and commission deducted. No pyramiding. All out of sample data.
  1996- 06/14/2000.   9 768 trades.

Portfolio equity curve ( 8 items traded)

Click on the above thumbnail image to get the full size picture.

• 3 systems running one contract of DAX, CAC, FTSE, BP, NASDAQ 100 * futures each ( total traded = 15 items)
  Slippage and commission deducted. No pyramiding. All out of sample data.
  1996- 06/14/2000   13 225 trades.

* 1 contract NASDAQ 100 added since inception.

Portfolio equity curve ( 15 items traded)
Click on the above thumbnail image to get the full size picture.

Stocks intraday trading

• Same system used for the NYSE and NASDAQ stocks  
  The Equity Curve for each system is shown below
  
  Equity Curve results from 11/09/2000 to 04/24 20001 ( green = winning system, red= losing system, dark = sell  position, light =buy  position)
  Such a portfolio of stocks traded with a system like this one  easily shows a 200% return on account for the considered  5.5 months period, without pyramiding, and without leverage.

Baskets of heavily traded NYSE and NASDAQ  stocks ( same system used, both images, all unseen data)
     
Click on the above thumbnail image to get the full size picture.

• An other trading system with the same NASDAQ stocks. Similar results...

Click on the above thumbnail image to get the full size picture.