Long Only Dow System >85% win rate

[FetteredChinos]

good points Aaron.. i am actually trading a version of this using exotic options.. as you say, it prevents the eye-watering drops in equity that you can get from time to time.

will see how it holds up longer term though.

and thanks for tracking this though

 

[aaroncapps]

My pleasure. Thanks for sharing this idea.

It's already become one of my favorites. Easy to see coming days-weeks ahead. Can be used by straight futures, or tons of options strategies. Even mix the two.

Also something i am playing around with now, is position sizing based on other market tendancies. For example, this is a pre-election year. Historically the US indices are bullish going back as far as 1940's. So maybe the position size should be larger? Or January Barometer as a factor?

 

[TWI]

While this FC's model has a great track record on futures for the ES and the YM. If i were to trade real money on it, I would strongly push and recommend trading options on it. Buying calls on this system allows you to have the unlimited profit of the futures contract, along with your risk being limited to only the premium. In a losing situation, the option is more likely to hold it's value because of the time left in the option, compared to the futures contract that could have much more heavy drawdown.

Even though the $ return is less on the options, it is my belief that because the risk is lower, you will be able to use more aggressive compounding to compensate for the lower returns as well as should have a smoother equity curve.

I'm still a novice to all the greek and complexity of options though, so take what i say with a grain of salt.

aaron,
Better to trade smaller size in the outright believe me, in the long run it will be cheaper.

 

[aaroncapps]

I completely agree with trading smaller size. No reason to rush to our dooms is there.

 

[aaroncapps]

buying another ES option, 1445 feb call, first offer was at 5.75, holding till next monday morning.

 

[aaroncapps]

The last bid before exp on the close of yesterday was 15. So that would make for a net profit of 9.25 points or $462.50 not including commissions.

This makes for a return of 160.9% on the intial option premium.

I will have to admit that i completely forgot about expiration until almost the end of the day, as i do not primarily watch options. So this will be a learning expeirence for me as well.

 

[nkruger]

Well it's nearing the 24th again - so fingers on the buzzers.

I must congratulate you FC on a rather brilliant trading system. I have no charting software, data feeds etc to do back testing ( I day trade a different method ) but I did get hold of 5 years worth of OHLC data and spent a very enjoyable evening trawling through the numbers. I have found that if you're not in profit by at least 50 pips by the end of the month you can usually get there in the first couple of days of the new month by watching the screen intra-day and closing the trade manually. Looked like more of a 90% win rate since Jan '02 by doing that.......

NK

 

[nkruger]

Whoops - forgot to mention - if the 24th falls on a weekend (as it does this month) it seems ok to enter a trade on the 22nd or 23rd if it's a down day, according to my prehistoric back test method......

NK

 

[FetteredChinos]

no worries.. pleasure to be of service..

remember to trade a conservative size though.. capital preservation is paramount before you even start to think about profits

 

[nkruger]

no worries.. pleasure to be of service..

remember to trade a conservative size though.. capital preservation is paramount before you even start to think about profits

Oh yes, just a £1 a pip this month...... I'll post my trade on here to let you see how your baby's getting on. Anything else you're working on at the moment ?

NK

 

[FetteredChinos]

well i was trying to develop something relating to the moves on and after Non Farm Payroll days, but it wasnt all that reliable.. im still trading a combo of spreadbets and exotic options though, using seasonal factors which are not included in standard option pricing models, and therein lies my edge

 

[logit]

Nick, how are you going to trade this? SB, YM? If using SB, will you use the wall street daily rolling or March future?

Thanks

 

[nkruger]

Nick, how are you going to trade this? SB, YM? If using SB, will you use the wall street daily rolling or March future?

Thanks

I will spread bet using the rolling Dow. Bear in mind that as the 24th falls on a weekend this month we can enter a trade today if it's a 'downer' by 9.00pm. I will post my trade (and thoughts/ramblings) here over the next week. Fingers crossed.........

NK

 

[logit]

I will spread bet using the rolling Dow. Bear in mind that as the 24th falls on a weekend this month we can enter a trade today if it's a 'downer' by 9.00pm. I will post my trade (and thoughts/ramblings) here over the next week. Fingers crossed.........

NK

Did you enter the trade nick? I entered at 12647 on a Capital Spreads demo account. We'll see how things go....

 

[logit]

Incidentally, is anyone trading this on the S&P or just on the DOW?

Also, I was wondering why the system trades on the 31-Oct-02,
31-Mar-03 and 31-Mar-04 having already gone long on the 24th of the month?

 

[nkruger]

Did you enter the trade nick? I entered at 12647 on a Capital Spreads demo account. We'll see how things go....

Yes, I actually got one of my sons to do it as 'head office' demanded I was in my best bib and tucker and out the door by 8.00pm last night. Managed a buy @ 12645, so broadly similiar to yours.....

 

[skalman]

trading this using CFDs with CMC

Yes, I actually got one of my sons to do it as 'head office' demanded I was in my best bib and tucker and out the door by 8.00pm last night. Managed a buy @ 12645, so broadly similiar to yours.....

I played with the numbers and found that profits could be significantly increased by tweaking like this

- window opens on the 19th (inclusive)
- take trades every day, original spreadsheet had a two-days rest in between trades
- hold for a maximum of 7 trading days
- hold for a minimum of 2 trading days


So, I have 3 long positions currently

21/02/2007 12741
22/02/2007 12686
23/02/2007 12653

 

[nkruger]

Incidentally, is anyone trading this on the S&P or just on the DOW?

Also, I was wondering why the system trades on the 31-Oct-02,
31-Mar-03 and 31-Mar-04 having already gone long on the 24th of the month?

Haven't had time to study your S&P figures.... is that a better potential trade than the Dow ?

 

[RunTheNumbers]

I played with the numbers and found that profits could be significantly increased by tweaking like this

- window opens on the 19th (inclusive)
- take trades every day, original spreadsheet had a two-days rest in between trades
- hold for a maximum of 7 trading days
- hold for a minimum of 2 trading days


So, I have 3 long positions currently

21/02/2007 12741
22/02/2007 12686
23/02/2007 12653

Would you clarify:

The original system traded on the first down day after the 23rd calendar day of the month. Do you only take trades on a down day?

You say the original spreadsheet had two days rest between trades. This is not quite correct. It only meant to trade once per month. Occasionally the spreadsheet logic and circumstances makes a second trade but I do not think this was by design.

You say hold for a maximum of 7 days. Are you still applying the exit on first profitable day rule?

regards

Ben

 

[nkruger]

Would you clarify:

The original system traded on the first down day after the 23rd calendar day of the month. Do you only take trades on a down day?

You say the original spreadsheet had two days rest between trades. This is not quite correct. It only meant to trade once per month. Occasionally the spreadsheet logic and circumstances makes a second trade but I do not think this was by design.

You say hold for a maximum of 7 days. Are you still applying the exit on first profitable day rule?

regards

Ben

Quick answer to a couple of queries, Ben. The original system trades on the first down day after the 24th of the month, we're doing it early as the 24th falls on a weekend, and yes we only enter a trade on a down day. In my workings I do not exit on the first profitable day, I run to the end of the month and if still no profit I would close intraday on the 1st or 2nd, as soon as I can see a gain on the trade.

Nick