MTP - Performance Metrics
I thought I would share with all of you the results of using MTP to trade an account with a starting equity of $20,000 (real money!). This account is part of a much larger portfolio and my aim was to see what kind of performance metrics the latest version of MTP would generate under strictly defined conditions enforced over a specific period of time. Here is a description of the conditions:
Equity Size: $ 20,000
Start Date: 06/25/2007
End Date: 07/20/2007
Contracts Traded: Mini Dow, Emini Russell 2000, Emini NASDAQ 100
Time Frames Traded: 3 min and 5min Time Frames
MTP Version: Latest Real-time version of MTP
Platform: Ninja Trader with Market Analyzer for monitoring potential trades in different time frames
Data feed: From TradeStation 8.3
Broker: All trades were executed via Interactive Brokers.
Types of Trades Taken: TS1, TS2, TS3, TS4, Auto DP trades
Risk Management: strictly according to the MTP generated real-time recommendations
Amount Risked per trade: 2% of the total equity
Position Sizing: strictly according to the MTP generated real-time recommendations
Trade Management: according to the June 1st Guidelines (please see Steve’s “Introduction to MTPredictor” document)
Trade Analysis: By Market System Analyzer (MSA - version 2)
Limitation: Between 06/25/2007 and 07/20/2007, due a variety of reasons, I was able to trade on nine trading days only.
Details of the analysis may be found in the pdf file attached to this message.
Even with a limited number of trades executed over a very short period of time, the robustness of MTP as a trading tool and the validity of its trading approach (based on positive expectancy and rigorous risk control and position sizing) are, in my view, well illustrated by its performance metrics. I will be extending this project and continue to collect trading stats for future analysis.
Rama.
Disclaimer: I have no financial association or any other kind of partnership with MTP Ltd. I am a satisfied user of MTP software.
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