Looking for simple ideas to test

I am testing simple ideas on index futures (Dow Jones, S&P, Nasdaq), in order to eventually come up with a few simple systems (2 or 3 lines in easylanguage) rather than just one very elaborate system.

If anyone has simple ideas that might work, I am willing to code them and test them on many years of data.

I have already created one such system, based on the short-covering that happens in the last 5 minutes of trading before the close.

Other simple ideas that I have tested are: whether there tend to be reversals at specific times of the day, and whether a gap at the open gets closed and how risky it is to bet on it.

erm.. how about fading the previous day's move..

if prev day was up, then short, and hold to the close...

works about 55% of the time, and with a decent stop you have something..


also, have a look at 6pm and 7pm reversals on the dow...

if market is up at 6pm, sell, with a smallish stop. try the similar at 7pm...

again, it is profitable, if only marginally though..

i agree though, simple is good.

fc

Great advice. I had had similar ideas. I will try your ideas and let you know.

A very simple system would be an opening range breakout system. Just wait "x" minutes and after that time go long or short depending which way the market breaks out of the range. Good luck!

Very Simple Trading system

Hello Travis

I have just replied to someone else abount a really simple trading system based around the first hours open of the Dow emini.

I have only be using it for 2 weeks and so far I have had 10 winning trades out of 11.

I cannot really recommend it with such a small track record, but if you are interested, drop me a line and I will send you the link, which I stumbled across by complete accident.

Cheers

travis said:

I am testing simple ideas on index futures (Dow Jones, S&P, Nasdaq), in order to eventually come up with a few simple systems (2 or 3 lines in easylanguage) rather than just one very elaborate system.

If anyone has simple ideas that might work, I am willing to code them and test them on many years of data.

I have already created one such system, based on the short-covering that happens in the last 5 minutes of trading before the close.

Other simple ideas that I have tested are: whether there tend to be reversals at specific times of the day, and whether a gap at the open gets closed and how risky it is to bet on it.

Click to expand...

Hi Travis

Do you have the ability to accurately test trailing stop systems ?

rog1111

travis said:

I am testing simple ideas on index futures (Dow Jones, S&P, Nasdaq), in order to eventually come up with a few simple systems (2 or 3 lines in easylanguage) rather than just one very elaborate system.

If anyone has simple ideas that might work, I am willing to code them and test them on many years of data.

I have already created one such system, based on the short-covering that happens in the last 5 minutes of trading before the close.

Other simple ideas that I have tested are: whether there tend to be reversals at specific times of the day, and whether a gap at the open gets closed and how risky it is to bet on it.

Click to expand...

Well, actually problem number one is that this thread is from months ago, so right now I am testing different things - excel DDE with Interactive Brokers. In other words a completely automated trading system. I am not using tradestation anymore, and I couldn't test ideas with the tools I am using now because I am not skilled enough.

Concerning your question about "testing a trailing stop accurately" the answer is yes - I have that ability with excel and TWS by IB, but only within my own specific trading system which I am testing live with slippage and everything (everything is equal to reality except I don't use real money). I am testing 13 slightly different versions of my system and some of them have trailing stops (differing among one another). For now, the results of the stop & reverse versions of my system (they do have a very wide trailing stop for safety) are better than those of the tight (or less tight) trailing stops. In the future, if we get in touch privately I would be glad to discuss further about these matters. Best on msn messenger, if you use it.

travis said:

everything is equal to reality except I don't use real money

Click to expand...

Not intended as a criticism just a warning, real money is a pretty significant part of reality in trading and not just in the psychology. If you are not using real money then presumably you are not getting real fills in a real market so your slippage may not be realistic.

Best of Luck anyway

garethb said:

Not intended as a criticism just a warning, real money is a pretty significant part of reality in trading and not just in the psychology. If you are not using real money then presumably you are not getting real fills in a real market so your slippage may not be realistic.

Best of Luck anyway

Click to expand...

Yes, I know, but we are talking about 1 contract of the CBOT mini dow future, so it really doesn't affect it at all. If the contract is there and the system sees it, then it could also buy it if it wanted to. Besides, it's only 5 trades per day, so it doesn't affect it very much (long runs, it holds a trade for 30 minutes).