Wednesday, June 9, 2010

ES 1 minute HLA back for nearly a year...

Its not usual for me to post just an equity curve...but I thought that given that this shows the robustness of the HLA through different and crazy markets I would post it. This is the ES (SP500 futures model that I will be implementing in production as soon as multicharts has release the newest update). The PL incorporates no reinvestment of profits and an average allocation of 30,000$ per trade. Account requirement is roughly 125,000 to 150,000$ to trade this monster. When using trade reticulation for risk, size and slippage management the results are significantly better (double actually) but this represents the pure trading decisions for about 10 months of 1 minute data. The data is 1 minute data from the GLOBEX session going back to the summer of 2009 on ES. Ironically, the crash months were the best for this model and May this year was just exceptional. The system represents a huge and extremely deep market with in which to operate large size trades...and with trade reticulation our operation is one even knows we are there. I will post more about the reticulation trading methods soon.

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