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; Hi sidinuk, thanks for the great article. Looking at the spreadsheet there are some things that don't seem to make ...

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Old Feb 22, 2005, 5:40pm   #61
 
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Hi sidinuk,

thanks for the great article. Looking at the spreadsheet there are some things that don't seem to make sense to me though. For example in ES, from 11.02.05 till 17.02.05 it doesn't show any trades yet the ATR filter didn't apply if I'm not mistaken (unless I am using completely different data)
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Old Feb 24, 2005, 11:20am   #62
 
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Samurai, thanks for your comments. If there is no trade shown on a particular day it means that a trade was not triggered - i.e. the high or low from the opening 135 minutes were not exceeded.
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Old Feb 24, 2005, 11:22am   #63
 
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I will now update the following page everyday to show the results of the trading system the previous day for the 5 index futures and whether or not the filters apply for the day ahead.

Daily System Results Page
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Old Feb 24, 2005, 9:17pm   #64
 
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That Thursday rule would have cost you again...

I took a nice 42 points today using my modified version. Still nothing like Yesterday

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Old Feb 24, 2005, 10:26pm   #65
 
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Well the system is there to be customised - are you going to share your improvements with us?
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Old Feb 26, 2005, 5:00pm   #66
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Quote:
Originally Posted by sidinuk
Well the system is there to be customised - are you going to share your improvements with us?
Seems like a reasonable request given Sidinuk's output.
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Old Feb 28, 2005, 10:56am   #67
 
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Despite missing out on Thursday the system still produced 2 winners out of 2 for the Dow last week providing 152 points profit. In fact across the 5 tested contracts the system produced 10 winners out of 10 trades for a total profit of $3,452.50 before commission.
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Old Mar 2, 2005, 9:53pm   #68
 
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Excellent article, Sidinuk, and even more welcome as it outlines a system that actually works - I've made 279 YM points on it (with very slight mods) since mid January.

I owe you a few beers!!!

A suggestion/query:

Have you looked at using the opening range as a filter for the trade? It seems likely that a breakout from a 35 pt opening range is more likely to succeed (or be larger??) than one from a 70 pt range.

As a smaller range reduces the potential loss to the stop would there be any merit in using the opening range as part of a Money Mangement strategy - reducing the number of contracts traded as the range increases?

Thanks again for your help.
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Old Mar 3, 2005, 11:43am   #69
 
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MGBRoadster, I'm glad you like the article and have made your own profitable modifications.

The opening range filter certainly seems reasonable - I'll have a look when I get time.
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Old Mar 3, 2005, 11:52am   #70
 
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sidinuk,

where do you get your intra-day Dow data ?
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Old Mar 5, 2005, 4:17pm   #71
 
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trendie - http://www.scmagic.org/
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Old Mar 5, 2005, 10:08pm   #72
 
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Quote:
Originally Posted by sidinuk
thanks sidinuk, much appreciated.
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Old Mar 21, 2005, 11:34am   #73
 
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Update!

Trading update for this free trading system.

The Russell2000 and S&P Midcap400 continue to be the star performers using this system - even better than the Dow Jones on which the system was originally developed!

Anyway, last week the Russell2000 had 2 winning trades out of 4 for a profit of $150/contract and the S&Pmidcap400 scored 4 winners out of 4 for a profit of $470/contract. Unfortunately, YM, ES and NQ lost $467.50 between them so we had a small profit of $152.50 overall.


Profit/contract before commission so far this year (after publication of the system):

S&Pmidcap400(EMD) - $2,050
Russell2000(ER2) - $1,640
Dow Jones(YM) - $960
S&P500(ES) - $950
Nasdaq100(NQ) - $(820) - Boo!

Total profit per contract $4,780
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Old Mar 21, 2005, 2:10pm   #74
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Nice.
sidinuk, I have a couple of questions.
I back-tested this on 500days of data in each of the markets using $2.99 bro and $10 slippage. It seems that ES is a dog and is actually losing money over this period. All the others return good equity curves. Have you considered chopping ES out of the group or do you get different results?
Are you trading these all together? If so do you think that this is all eggs in one basket or diversified?
Do you ever have opposing signals in any of the group on the same day?
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Old Mar 21, 2005, 2:26pm   #75
 
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twalker, your right it would be better to chop ES (and NQ for that matter) out of the test results. However, I include them because they are the two most popular index futures. If volatility ever returns to these markets then they will start to become profitable!

Obviously all 5 contracts are very much related, but we do see quite different results for each of them. If one market just triggers an order and reverses then it is likely that the other markets didn't enter the trade at all. Equally, if the general market makes a strong move then all 5 will get triggered. I suppose it is the same as scaling into a position rather than all or nothing.

For full diversification you need to trade different instruments (such as currencies, bonds) and different timeframes. The is just one system designed to daytrade index futures.
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