Having thought about it, I've decided that trading this system, on the days when todays open is beyond the long or short trigger level, i would not want to enter immediately at the open price.
I would place my orders at around 0810 in the morning, once the open had begun to settle down.
I would do this because I would want to minimise losses and hopefully maximise profits on at least a few days.
This is based on the assumption that between 0810 and the close, price may cross back and forth over the calculated entry levels on a few occasions.
Lets say the FTSE closed at 6000. using 0.10% to calculate the long and short entries, the long entry for the next day is at 6006, the short entry is at 5994.
If the FTSE opens at 6030, and i entered at this open price, then starts falling back to the 5994 stop-loss, I have lost 36 points.
If I place an order to enter at 6006, and price comes back to enter me into the market, then hits the 5994 stop-loss, i have only lost 12 points.
I may not get entered at all, sticking to the calculated levels.
However, if I do enter at 6006, and the market then heads back up to 6030 at the close, I have made 22 to 24 points. If I had entered at the 6030 open, i have made -2 to 0 points.
As a result these few possible outcomes are -
i) The open was beyond one of the entry triggers, I do not get a chance to enter at the calculated price, and I either miss out on A) making a profit, or B) making a loss. I do not trade on that day.
ii) After opening beyond one of the calculated entry levels, the market comes back to that level, I am entered into the market. The outcome of this is that I either C) make a bigger profit or D) make a smaller loss, than I would have if I had entered immediately at the open.
I would use Use the 2nd-3rd most historically profitable calculated levels on the spreadsheet 0.10% or 0.15%, rather than 0.25% 0.125% etc.
However, in using 0.1% - 0.15% it is more likely that I will not get entered into trades than it would be if I used the 0.25% calculation.
Doing it this way, it may be possible to produce better results in forward testing than were on the spreadsheet.
However, there will be some days (I don’t know how frequent) when your orders do not get filled when the market opens beyond your calculated levels, and continues in that direction, without coming back to your entry level to fill your order/s – but at least you haven’t lost anything on such days!
The only way to find out how this plan would work out, would be to forward test it with real money. If things go well then fine.
The only problem I can see is not getting filled on some days if the market does not return to the trade entry level, having opened beyond it, or having moved beyond it between 0800-0810.
If the SB price and the live cash price were in line before 0810, I could place my orders before 0810..
Because the results are as good on the FTSE100 & Dax, I would plan to run this strategy on both, starting with the FTSE and introducing the Dax if things went well on the FTSE for a month or so. Adding more capital to get the Dax half of my trading plan off the ground. Thus hopefully, achieving my profit objectives in less time, trading 2 markets instead of 1.
Dax orders probably need to be entered an hour earlier than FTSE though, as DAX cash market opens at 07:00 UK time.
Ideally, i would like to trade with WS because they enable you to enter based on the actual market price rather than their quote. Unfortunately the WS order system is not sophisticated enough to allow you to place your orders in the morning and forget about it for the rest of the day. If they introduce If Done and OCO orders, this will be possible.
I see that capital spreads offer OCO and If Done orders, but they discontinued their daily bet. Therefore if you want to exit a trade at 1630 UK time, you have to do so manually.
CMC offer OCO orders, but don't seem to offer If done functionality. Therefore you can enter a trade when the long or short entry is hit, and the other order is cancelled, but you can't attach a stop-loss to that order (if done) all in one go. You'd have to do this seperately after being filled, meaning that you could not forget about it for the day, as you'd have to observe it and update orders intraday.
Thanks.
