FTSE system

[RunTheNumbers]

You need intraday data because you do not know the entry point otherwise. Take today on the FTSE for example - there is no way you could have got filled for less than 6250 at open - that's 47 points above what YAHOO says the open is rather than the 15 or so points your system tries to target. Even at 9pm last night IG were quoting the FTSE at +25 pnts over the close when I opened my position. Let's say for arguments sake the market later took a tumble to stop out at 6187 - that's a loss of not 30 points as your spreadsheet would say - but 63 points (ignoring spreads).

I have also found that the SB overnight price than peak more than 15 points only to go the other way before market open because of a rise or tumble in the opposite direction on the asian markets. If that happens you will make a loss even though your spreadsheet may say you've profited.

Hoggums

I am not suggesting anyone trades this system, but it is tradeable, and you can backtest without intraday data.

If you re-read my post, and my spreadsheet I make it quite clear that I use FTSE cash data from Sharescope (a paid for data service). I also explained that at open if the opening figure was above or below the long or short trigger, then I assumed one would enter at open.

As an example this morning the Sharescope data I have just downloaded showed that the FTSE opened at 6256.4 (having closed last night at 6204.6). If this was above the long trigger (which I suspect it was) the system I set up in the attached spreadsheet would have immediately gone long.

Now this morning I actually exited a FTSE trade at 6249, just after the open, so I know for a fact that you could have bettered an long entry of 6256.4.

Had one entered at 6256.4 and exited at close, today would have been a nice profit day.

Which part of the above do you disagree with?

Regards

Ben

 

[rtsaur]

You are right. Thanks.

I'm not sure I agree. One can work through the various combinations.

1. The high for the day is higher then the long trigger, and the low for the day is higher than the short trigger = a long trade is entered and closes out at the end of the day.

2. The low for the day is lower than the short trigger, and the high for the day is lower than the long trigger = a short trade is entered and closes out at the end of the day.

3. The high for the day is higher than the long trigger, and the low for the day is lower than the short trigger = two possibilities, the long trigger is hit first and a long trade is entered, but the system stops out when the short trigger is hit, or the short trigger is hit first and a short trade is entered, but the system stops out when the long trigger is hit. Either way the system is stopped out for a loss of the difference between the long and the short triggers.

4. The high for the day is lower than the long trigger and the low for the day is higher than the short trigger = No trade that day.

I therefore do not see why one needs intraday data.

Regards

Ben

 

[JTrader]

Hi

I've posted an incredibly easy FTSE system, the return since 01.01.96 is around 28,000 FTSE points.

The basis of the system is that it sets two levels for the day, one to buy at (above the market) and one to sell at (below the market). You enter the first to be hit with the other acting as a stop, you hold any position till the end of the day and settle it against the closing price.............


Thanks

Stephen McCreedy

Hi please forgive me. I've looked through the whole thread, but cannot find a description of how these two levels are calculated. Has this been stated?

Thanks.

 

[JTrader]

Hoggums

I am not suggesting anyone trades this system, but it is tradeable, and you can backtest without intraday data.

If you re-read my post, and my spreadsheet I make it quite clear that I use FTSE cash data from Sharescope (a paid for data service). I also explained that at open if the opening figure was above or below the long or short trigger, then I assumed one would enter at open.

As an example this morning the Sharescope data I have just downloaded showed that the FTSE opened at 6256.4 (having closed last night at 6204.6). If this was above the long trigger (which I suspect it was) the system I set up in the attached spreadsheet would have immediately gone long.

Now this morning I actually exited a FTSE trade at 6249, just after the open, so I know for a fact that you could have bettered an long entry of 6256.4.

Had one entered at 6256.4 and exited at close, today would have been a nice profit day.

Which part of the above do you disagree with?

Regards

Ben

Hi Ben

what time do/have you define as the Open - 08:00:01 for the FTSE100?

Does the opening FTSE auction last from 07:55 until precisely 08:00:00?

Thanks a lot.

 

[RunTheNumbers]

Hi Ben

what time do/have you define as the Open - 08:00:01 for the FTSE100?

Does the opening FTSE auction last from 07:55 until precisely 08:00:00?

Thanks a lot.

I'm not sure what you mean. I use Capital Spreads spreadbetting platform and simply by coincidence I was exiting a trade yesterday morning so I was watching the price at 8 am and I did not see it hit 6256.4 until sometime after the open.

This suggests to me that Sharescope prices are OK to use in back-testing, but if I was serious about trading this then this would have to be researched properly rather than anecdotally.

Regards

Ben

 

[JTrader]

Hi

With this system, you have a long entry and a short entry for any given day (i am not sure how these are calculated).

Would you then be sat at your PC at 8am ready to either enter the market immediately if the opening price was above the long or short trigger?
Or, if the opening price was below the long or short trigger, you could then place a limit/OCO order to enter long or short if and when the level is hit, with an "if done" order/s to exit at the SL (if your broker allows OneCancelsOther and if done orders)?

Its the logistics of the system that I'm trying to clarify for myself.

Thanks.

 

[RunTheNumbers]

Hi

With this system, you have a long entry and a short entry for any given day (i am not sure how these are calculated).

Would you then be sat at your PC at 8am ready to either enter the market immediately if the opening price was above the long or short trigger?
Or, if the opening price was below the long or short trigger, you could then place a limit/OCO order to enter long or short if and when the level is hit, with an "if done" order/s to exit at the SL (if your broker allows OneCancelsOther and if done orders)?

Its the logistics of the system that I'm trying to clarify for myself.

Thanks.

Yes. This is pretty much how I envisaged it. The whole process would take about 10 minutes at the beginning of each day.

regards

Ben

 

[JTrader]

Thanks RTN

Are your results based on the exact same system as SMC's?

How are the long entry and short entry levels/stoploss levels calculated?

Cheers.

 

[Pat494]

Not so long ago pivot points / support & resistance were the in-method but they sort of vanished into the mists of the past. For anyone still interested they can be calculated for free on stelaronline.com.

 

[Zish]

Thanks RTN

Are your results based on the exact same system as SMC's?

How are the long entry and short entry levels/stoploss levels calculated?

Cheers.

Hi JT, the entry points are calculated as:

+/- 0.25% X previous day close. When one order is triggered the other then acts as a stop, though i'm not sure what type of order you'd use for this. If you use limit orders would you then have to change the other one to a stop order manually?

 

[JTrader]

Hi JT, the entry points are calculated as:

+/- 0.25% X previous day close. When one order is triggered the other then acts as a stop, though i'm not sure what type of order you'd use for this. If you use limit orders would you then have to change the other one to a stop order manually?

Hi Zish

Yes, unless your broker/dealer offers combinations of OCO one cancels other and "if done" orders, which most spreadbetters don't seem to do, as these are advanced orders types.....

Please can we work through an example of "+/- 0.25% X previous day close." as I don't fully understand this.

Example -

0.25% of 6500 = 16.25 points
So if FTSE100 closes at 6500. 6500 + 0.25% = 6516.25 = long entry ????
Short entry = 6500 - 0.25% = 6483.75 ???

Thanks.

 

[Zish]

Example - So if FTSE100 closes at 6500. 6500 + 0.25% = 6516.25 = long entry ????
Short entry = 6500 - 0.25% = 6483.25 ???

Thanks.

Yep. If you look at the spreadsheets posted by smccreedy originally and then updated by runthenumbers with sharescope data, thats's how the entry points were calculated.

The issue i'm concerned about is the ability to get filled at these exact entry prices. It seems like it's impossible to backtest this system accurately. The only way I can see is to actually paper trade it using your chosen SB company's platform to see what prices you would indeed get filled at.

 

[RunTheNumbers]

Yep. If you look at the spreadsheets posted by smccreedy originally and then updated by runthenumbers with sharescope data, thats's how the entry points were calculated.

The issue i'm concerned about is the ability to get filled at these exact entry prices. It seems like it's impossible to backtest this system accurately. The only way I can see is to actually paper trade it using your chosen SB company's platform to see what prices you would indeed get filled at.

Zish

What exactly is your concern with getting fills? If you place an order on a spreadbet platform then there is no reason to suppose it wouldn't get filled if the price passes through it. Very occasionally the index might gap through it and you get some slippage, but this would hardly be a major concern. Still more rare would be days when the futures price triggers/doesn't trigger a trade and the underlying cash market doesn't show the same action, but again this would hardly be a concern.

I actually traded the system one day last week on the DAX and cleared just over £500 on a £10 per point bet on IGIndex platform. I didn't have any fill troubles.

What I think you really should be thinking about is:

1. Making sure you fully understand how to trade it (what instrument do you trade, how is it operated by the SB company, how to set up orders, how to make sure orders are properly cancelled etc)
2. Checking the price action on your SB platform against your opening data; and
3 Finding other, probably non correlated markets to trade it on.

A good way to check out 1. and 2. is to trade it, with very low stakes (no more than £1 per point).

regards

Ben

Just my thoughts.

 

[Zish]

Hi Ben, I suppose what I was refering to was the market opening above or below your long/short entry trigger, or when you try to place your orders for the next day after hours and the SB company won't allow you to place them because they are quoting higher/lower prices based on their expectations. Surely these things would have an effect on the system that can't be accounted for with historical data.

 

[RunTheNumbers]

Hi Ben, I suppose what I was refering to was the market opening above or below your long/short entry trigger, or when you try to place your orders for the next day after hours and the SB company won't allow you to place them because they are quoting higher/lower prices based on their expectations. Surely these things would have an effect on the system that can't be accounted for with historical data.

SB companies don't make their own market in the index. If each SB made their own market they would be vulnerable to arbitrage (ie if prices between two SB companies differed you would sell one, buy the other and hold till then end of the day when they closed out at the cash market price for a guaranteed profit). They track the futures price, which in turn usually shows where the market is likely to open (although this is not guaranteed).

The fact is you will never achieve a perfect entry with any sustainability which is why you look for an average profit per trade which is high enough to ensure that the slippage hurts but is not disasterous.

You have to remember you can't trade the cash index on any platform anywhere. There is simply no such instrument. The daily cash index quotes, even during daytime hours are derived from the futures price.

Regards

Ben

 

[JTrader]

Hi

Having followed this thread, and having had a good think about it, I don't see any major problems in the logic of this system, or in how the results from the spreadsheets have been calculated. I think they should be fairly accurate.

This system uses the previous days close only to calculate the long or short entry price of tommorrow.

Yesterdays FTSE100 close, and todays open is usually different, but only by a few points, and is usually within the long and short entry levels - so there's no problem with that.

The backtest results do not really rely on todays opening price, unless todays open is beyond the long or short trigger point - at which point RunTheNumbers has assumed that the trade was entered into immediately at the open price.
Therefore the fact that the trade was entered above/below the trigger level is also factored into the backtest results also.

RTN has also accounted for a 2 point spread in his backtest.

If I were to trade this system, I'd be either sat in front of my PC ready to place the orders at 0800, once the market had opened, and the SB quotes were in line with the cash quotes, or as close as possible to the open beforehand. I would not place my orders the night before thats for sure, as a SB CO. could fill them overnight when the market is closed.

When does the FTSE100 officially open on a morning? 0800:00?
Does the opening auction take place from 0755 - 0800:00, and at exactly 0800:00 the market is open?
Or, are the times different?

The SB company would need to offer OCO and maybe "if done" orders, for you to be able to go away and forget about it, letting your orders manage the strategy for the day.
The SB Co. would also need to be able to close the position automatically at the market close.

Which SB companies offer these order types for the daily rolling/daily cash FTSE100?

Finally, RunTheNumbers accounted for a 2 point spread in his results. Which SB co's. offering these order types have such a low cash FTSE100 spread?

Many thanks.

 

[JTrader]

Hi RTN

the only other important issue that i think needs examining is -

Over 7 years this system has made nearly 21000 points. Almost 17000 of these points were made between Jan 2000 and Dec 2003. Why has this system only made around 4000 points in the last 3 years? What has changed?

Thanks.

 

[Splitlink]

Hi Zish

Yes, unless your broker/dealer offers combinations of OCO one cancels other and "if done" orders, which most spreadbetters don't seem to do, as these are advanced orders types.....

Please can we work through an example of "+/- 0.25% X previous day close." as I don't fully understand this.

Example -

0.25% of 6500 = 16.25 points
So if FTSE100 closes at 6500. 6500 + 0.25% = 6516.25 = long entry ????
Short entry = 6500 - 0.25% = 6483.75 ???

Thanks.

I think you will find that Fins does.

Split

 

[Zish]

Hi RTN

the only other important issue that i think needs examining is -

Over 7 years this system has made nearly 21000 points. Almost 17000 of these points were made between Jan 2000 and Dec 2003. Why has this system only made around 4000 points in the last 3 years? What has changed?

Thanks.

On the FTSE, the system has only made 2058 points from 02 Jan 2004 to 24 Jan 2007!

 

[RunTheNumbers]

Hi RTN

the only other important issue that i think needs examining is -

Over 7 years this system has made nearly 21000 points. Almost 17000 of these points were made between Jan 2000 and Dec 2003. Why has this system only made around 4000 points in the last 3 years? What has changed?

Thanks.

I use Capital Spreads mainly and they have a 1 point spread as of this week. I also have an account with WorldSpreads and they too have a 1 point spread. I also have accounts with IG Index, CMC Markets and Man Spread Trading and they all have 2 point spreads.

If you go back over the history of this board you will find many a system that was very profitable over the same period and has produced indifferent results since. My guess is that volatility in world stock markets has been at historic lows and this is probably the cause. However some believe volatility is likely to bounce back and so systems like this, and many of the others posted on the board, mainly by Fettered Chinos, will return to profitability. You must make your own mind up about this.

Remember the system may well work on other markets, not just indices and if you accumulate a basket of such markets the fact that any one in particular isn't working won't worry you terribly.

Anyway, best of luck.

Regards

Ben