I'm in Lumber

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Old Sep 24, 2005, 6:32pm   #1
Joined Sep 2003
I'm in Lumber

This system is one I use for Lumber.The rules are dead easy but be careful of over-leverage as this market is extremely volatile....
1.If Monday close is higher than previous Friday,buy at the close and sell at Thursday close.
2.If Monday is lower than Friday,sell at the close and buy back at Thursday close.
3.No trade if market on either Monday or Friday is closed.
Please enjoy
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Old Sep 25, 2005, 4:53pm   #2
 
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Quote:
Originally Posted by milt
This system is one I use for Lumber.The rules are dead easy but be careful of over-leverage as this market is extremely volatile....
1.If Monday close is higher than previous Friday,buy at the close and sell at Thursday close.
2.If Monday is lower than Friday,sell at the close and buy back at Thursday close.
3.No trade if market on either Monday or Friday is closed.
Please enjoy
Where could I trade this, Milt?

I can't find lumber futures on IB, and on the CME website it looks like it's floor traded???

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Old Sep 25, 2005, 7:12pm   #3
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milt started this thread I think this can be traded on quite a few platforms-this is an eod system so you could SB it too.I know for sure Finspreads do Lumber.
I've backtested this over 5 years (up to Dec 04)together with another system,which I'll call System 2:These results are calculated without slippage and are cumulative.

Year Sys 1 Sys 2 Sys 1 & 2
2004 122.2 6.6 128.8 5 yr Average 310
2003 31.8 150.4 182.2 5 yr Median 298
2002 130.1 236.7 366.8
2001 170.7 262.3 433
2000 225.6 321.2 546.8

Now,using 1 & 2 it can be seen that the return for 2004 was 128.8 and as the 5 yr average price of this market is 310 that is a good return.
Rules for System 2:
Again,a simple eod one:
If the Friday close is lower than the previous Friday,buy the next Monday at close and sell at Thursday close.
And vice-versa.No stops or limits are used so beware of the volatility.
Hope this helps.....
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Old Sep 25, 2005, 7:34pm   #4
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Quote:
Originally Posted by milt
This system is one I use for Lumber.The rules are dead easy but be careful of over-leverage as this market is extremely volatile....
1.If Monday close is higher than previous Friday,buy at the close and sell at Thursday close.
2.If Monday is lower than Friday,sell at the close and buy back at Thursday close.
3.No trade if market on either Monday or Friday is closed.
Please enjoy

mit

trading the Dow over 1 year on the above method, You would be down-240 points.
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Old Sep 25, 2005, 9:16pm   #5
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milt started this thread Ahem....this system is for lumber which is a commodity,not a stock market.
If you want one for the Dow,check this out (eod again)-but not as profitable as lumber.
1.If Monday closes higher than Friday,sell at close and buy back on Tuesday.
2.And vice-versa.
The record this calendar year is not bad,however a bit inconsistent going further back.
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Old Sep 26, 2005, 8:31am   #6
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Be careful out there.
Here is back-test result for your system over 5years and 25years using tradestation. I included no slippage or brokerage costs in this result. Based on 1 lot trades.
Attached Thumbnails
lumber5y.jpg   lumber25y.jpg  
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Old Sep 26, 2005, 8:42am   #7
 
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Curve fitted, not fit to trade IMHO

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Old Sep 26, 2005, 10:15am   #8
Joined Oct 2001
lumber / indicator

Quote:
Originally Posted by milt
I think this can be traded on quite a few platforms-this is an eod system so you could SB it too.I know for sure Finspreads do Lumber.
I've backtested this over 5 years (up to Dec 04)together with another system,which I'll call System 2:These results are calculated without slippage and are cumulative.

Year Sys 1 Sys 2 Sys 1 & 2
2004 122.2 6.6 128.8 5 yr Average 310
2003 31.8 150.4 182.2 5 yr Median 298
2002 130.1 236.7 366.8
2001 170.7 262.3 433
2000 225.6 321.2 546.8

Now,using 1 & 2 it can be seen that the return for 2004 was 128.8 and as the 5 yr average price of this market is 310 that is a good return.
Rules for System 2:
Again,a simple eod one:
If the Friday close is lower than the previous Friday,buy the next Monday at close and sell at Thursday close.
And vice-versa.No stops or limits are used so beware of the volatility.
Hope this helps.....


Hi Milt,
I have a strong Buy Signal on Lumber after last Fridays close this is the NOVEMBER contract for Fins S/B
It looks to be moving in a 5 day cycle and today is the 5th day , this moves very fast as you know so it can Burn you . My Indicator is private, but thank you for the interesting info you have posted as all info good or bad keeps us thinking .
I do not trade Lumber as I am a Dow trader but I do look at the big picture and Comms are an important part of it
this is not trading advice to anybody just my view
thanks again Milt
Best Regards
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Old Sep 26, 2005, 1:15pm   #9
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I like these simple strats and for the past 5 years it has a net return. I would say that maybe there is a way to improve the return and avoid such massive draws. for example you could take account of the actual direction on the day as well as the closes and maybe institute some sort of risk management.
I think it would be hard not to be a little bullish Lumber right now twiggytwo, with 2 limit ups you can bet most of the market is with you on that one.
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Old Sep 26, 2005, 2:55pm   #10
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milt started this thread Yes I agree it could probably be improved but I was looking for a no hassle eod system.Thanks for testing it out on Tradestation...I assume the results refer to Sys 1 & 2 together?Interesting to see that in the longer term it was not so good.
Twiggytwo: basically 1 is with trend,2 is counter trend(longer term).When they both give the same signal is when the big money is made-depends on your money management/"staking plan" I guess.
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Old Sep 26, 2005, 6:03pm   #11
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Indicator / private

Quote:
Originally Posted by milt
Yes I agree it could probably be improved but I was looking for a no hassle eod system.Thanks for testing it out on Tradestation...I assume the results refer to Sys 1 & 2 together?Interesting to see that in the longer term it was not so good.
Twiggytwo: basically 1 is with trend,2 is counter trend(longer term).When they both give the same signal is when the big money is made-depends on your money management/"staking plan" I guess.
Hi Milt I was trying to say that my own Indicator was private and it is just as well because I see that Lumber has taken a dive down today so the indicator has failed for today. regards
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Old Sep 27, 2005, 9:20am   #12
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Quote:
Originally Posted by milt
Yes I agree it could probably be improved but I was looking for a no hassle eod system.Thanks for testing it out on Tradestation...I assume the results refer to Sys 1 & 2 together?Interesting to see that in the longer term it was not so good.
Twiggytwo: basically 1 is with trend,2 is counter trend(longer term).When they both give the same signal is when the big money is made-depends on your money management/"staking plan" I guess.
No, this was only system 1 I did not include 2, will do that when I get chance.
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Old Oct 24, 2005, 12:37pm   #13
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Congratulations this method has been having a great time since beginning of September. I count 6 profitable weeks, 1 loss week. Nice!
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