Developing a Trading Strategy Part 2

This is a discussion on Developing a Trading Strategy Part 2 within the Trading Systems forums, part of the Methods category; I will look at doing a similar exercise with currency futures when time permits. Although, as Jonnyt says, he has ...

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Old Jan 21, 2005, 5:34pm   #31
 
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I will look at doing a similar exercise with currency futures when time permits. Although, as Jonnyt says, he has already posted some systems for them recently.
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Old Jan 21, 2005, 5:36pm   #32
 
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Quote:
Originally Posted by JonnyT
You already have one.

Its called Spot On

JonnyT
JonnyT,

Thanks for reminding me of the Euro Spot On System.
The performance I saw on the relevant discussion uses 35 0r 60 tics stop loss exits.
Is there any performance report for using the other side of the opening range for exit stops?

Regards,
Mr. H
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Old Jan 22, 2005, 6:21pm   #33
 
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The system had 3 winning trades out of 3 last week. Could have been 4 out of 4 if it wasn't for the Thursday filter! 2005 system results.


If anyone is interested an excel spreadsheet containing all the results from January 2003 onwards can be downloaded from the site, here.
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Old Jan 23, 2005, 9:35pm   #34
 
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twalker, could you post the ts codes, it would be greatly appreciated,
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Old Jan 26, 2005, 5:47pm   #35
 
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This is a great article. It has inspired me to look again at systems trading which I have tried and failed at over the last 4/5 years.

One question - what software are you using to test your theories?

So far I have done everything on Excel but having attempted to replicate what you did I can't even get started - it is just too compicated.

What are "ts codes"

Thanks
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Old Jan 26, 2005, 6:21pm   #36
 
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The Optimist,

I use Excel, but I write VBA to automate the testing and make it easy to alter the variables. I'm currently working on tidying up these spreadsheets so that others will be able to use them as well. When I'm done I'll post some details.

"ts code" is the code for programming Tradestation.
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Old Jan 26, 2005, 6:31pm   #37
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An outstanding article; many thanks! Tim, would it iron out the fluctuations and reduce the risks a bit if one traded a system of the same type on several different indices simultaneously? Or would it just increase the net risk because all the indices too closely related?
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Old Jan 26, 2005, 6:47pm   #38
 
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Roberto,

Thanks for your comments. Yes it will definately smooth the equity curve if you trade the same system over several different contracts, in fact Russell 2000 (ER2) and S&P midcap 400 (EMD) considerably outperformed the Dow (YM) last year when trading this system.
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Old Jan 26, 2005, 7:42pm   #39
 
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Thanks sidinuk

I will be very interested to see those spreadsheets, to see how you have used VBA.
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Old Jan 26, 2005, 8:41pm   #40
 
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Results 24/01 & 25/01

I have downloaded the spreadsheet on the website and kept track of the recent results...and to plan to continue to follow this. It seems the system is currently in a drawdown period....thus an opportunity to get in?

Here are the results ( i am using IB TWS Chart, and curious to learn whether I have the same numbers)

24-jan-05 10441 10369 10390 Trade today long 10491 10391 (100) -> -100$
25-jan-05 10510 10410 10481 Trade today long 10496 10481 (15) -> -15$
26-jan-05 current trade SHORT 2 10482


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Old Jan 26, 2005, 10:06pm   #41
 
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I actually got positive slippage on this today!!!

Still losing as I speak.

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Old Jan 27, 2005, 3:33pm   #42
 
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poekmeister, I'm not sure your trade for 24 Jan is correct - should be long 10428 and stopped at 10378 for -50.

Good to hear of some positive slippage JonnyT, how'd ya manage that? You must have got a couple of points profit if you held on right to the close!
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Old Jan 28, 2005, 8:21am   #43
 
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Actually ended up -2

I've had positive slippage a few times over the years. Essentially a stop order gets triggered by price movement but by the time your order gets executed the market moves back to where it came from.

Nice when you get it. On the flip side I've experienced 15 points slippage before aswell...

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Old Jan 28, 2005, 2:06pm   #44
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I am looking at developing a system in the same vein as this but no diddly squat about programming. I do not really want to go through and test all the permutations by hand so does any one have a formula/code skeleton that i can use to test the same variables addressed in the article but for a different market? Also, where do you get all the historical data as i have esignal and only get like the front month futures contract data. One more quick q - what is a better time period for the sample data as i was looking for about 1 year and then the out of sample data being around 2 years.

Any help/hints would be greatly appreciated.

Regards

David Dunne
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Old Jan 29, 2005, 8:24am   #45
 
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I bought futures historical data from http://www.anfutures.com
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