Long Only Dow System >85% win rate

[nkruger]

S&P LONG ONLY SYSTEM by FC

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

Not much happening at work today so I've had a quick run through the S&P. Going back to July '04 (31 trading months) there was 30 trades, no losses, 2 break evens and a total of 3271 pips - so an average of 109 pips per month. So if we were trading this for Feb we would now be long at around 1451.

Well done Fettered Chinos..... another nice, easy (free) system.

Nick

 

[aaroncapps]

Had a long signal this morning at the open. Based on the es open of 1439, i'm paper trading two options.

1. the closest out the money option of esh07 1440 call bought at the first offer at 13 pts.
2. a esh07 1455 call at 6 pts. If the market is going to go back up and finish the right part of the shoulder, also a nice fib retracement area and finally somewhat in line with an average winner.

since i am posting rather late in the day, the options current prices have only dropped by a small amount, the 1440 call is down 4 points to 9 and the 1455 is down 1.65 to 4.35. while the futures are down more then 10pts on the es.

 

[logit]

Hmm, i just got stopped out on my trade. Was long @12647 with stop @12147. I thought 500pts would be enough..... thankfully it was only a demo account, but still!

 

[TWI]

LOL (even though today was far from funny for me)

 

[minx]

Usually it should be more than enough. Think today is pretty exceptional though. Watching the Dow and S&P this evening is like riding a roller coaster, loving it!!

 

[nkruger]

A System in return for you Fettered Chinos......

Hmm, i just got stopped out on my trade. Was long @12647 with stop @12147. I thought 500pts would be enough..... thankfully it was only a demo account, but still!

I had my normal 200 pip stop, so damage was limited a bit, but I think this is one of those "not one of the 85% win months" !!!

Would have been better if I had put on a trade on a system that was mentioned here last year that I often overlook and probably only do once or twice a month. Don't think I've had a loss yet in 6 months. If we take yesterday as an example it will be worked as follows:-

Monday 27th close= 12632 x 0.35% = 44.

12632 + 44 = 12676
12632 - 44 = 12588

Basically the system is that if the Dow goes motoring through either 12676 or 12588 after the initial bunfight at 2.30pm GMT it should carry on a bit further. I usually only look for a 20-30 pip profit. I haven't back tested it - perhaps somebody could ?

 

[minx]

I had my normal 200 pip stop, so damage was limited a bit, but I think this is one of those "not one of the 85% win months" !!!

Would have been better if I had put on a trade on a system that was mentioned here last year that I often overlook and probably only do once or twice a month. Don't think I've had a loss yet in 6 months. If we take yesterday as an example it will be worked as follows:-

Monday 27th close= 12632 x 0.35% = 44.

12632 + 44 = 12676
12632 - 44 = 12588

Basically the system is that if the Dow goes motoring through either 12676 or 12588 after the initial bunfight at 2.30pm GMT it should carry on a bit further. I usually only look for a 20-30 pip profit. I haven't back tested it - perhaps somebody could ?

200 point stop does seem sensible for that system imho.

With regard to the other system you mentioned, what happens if it tags both long and short in the same day? Do you take only the first signal? Both? Keep taking all further signals as long as they continue to trigger?

 

[nkruger]

200 point stop does seem sensible for that system imho.

With regard to the other system you mentioned, what happens if it tags both long and short in the same day? Do you take only the first signal? Both? Keep taking all further signals as long as they continue to trigger?

Since I've been playing with it, I don't ever remember having two trades (ie. both triggered) on one day. If it's a really volatile day I suppose no harm would be done......

When the system was originally posted the rules were that a trade should only be entered after 5pm GMT but I've found it safe to do it earlier - but not before 3.15 ish.

 

[TWI]

if only taking 20-30 ticks then think should be out of one position b4 you get to other side. If I get time I will code it and post performance report.

 

[nkruger]

if only taking 20-30 ticks then think should be out of one position b4 you get to other side. If I get time I will code it and post performance report.

That'll be good if you could do that, TWI. Trading it can be a bit of a roller coaster ride but as I mentioned earlier, I cannot remember a losing day..... Wish I could remember who originally posted it so I can thank him. Wish I'd had my wits about me yesterday, that would have been a nice ride down.

NK

 

[skalman]

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

RULES

1. hold for a minimum of 2 days
2. windows opens on 19th
3. go long at close of down day
4. take all trades signalled
5. exit at close of first day position shows a profit
6. if position still shows a loss after 7 days, close at end of 7th day

See attached spreadsheet. Have been very busy at work, sorry I haven't answered sooner. Profits (and drawdowns) multiplied.

Regards

 

[logit]

RULES

1. hold for a minimum of 2 days
2. windows opens on 19th
3. go long at close of down day
4. take all trades signalled
5. exit at close of first day position shows a profit
6. if position still shows a loss after 7 days, close at end of 7th day

See attached spreadsheet. Have been very busy at work, sorry I haven't answered sooner. Profits (and drawdowns) multiplied.

Regards

Agreed, some of those draw downs are pretty eye watering. Definitely not for someone with a smaller account!

 

[hans123]

Agreed, some of those draw downs are pretty eye watering. Definitely not for someone with a smaller account!

Nice strategy, but very risky in a bear market. The results in such market:
July 1998: -1,250 points
August 1998: -2,642 points
September 1998: -447 points
Three months total: -4,339 points
Result 1998: -3,185 points

Results for the Nasdaq (1997-2006): 1,676 points
First eight years: 7 points
Last two years: 1,669 points
Result 1998: -1,674 points

You need a big account, discipline and patience.

Hans

 

[aaroncapps]

Had a long signal this morning at the open. Based on the es open of 1439, i'm paper trading two options.

1. the closest out the money option of esh07 1440 call bought at the first offer at 13 pts.
2. a esh07 1455 call at 6 pts. If the market is going to go back up and finish the right part of the shoulder, also a nice fib retracement area and finally somewhat in line with an average winner.

since i am posting rather late in the day, the options current prices have only dropped by a small amount, the 1440 call is down 4 points to 9 and the 1455 is down 1.65 to 4.35. while the futures are down more then 10pts on the es.

Well both these options were a bust.
the first bid on the 1440 ESH07 call was .50 which would be a loss of 12.50 pts or $625.
the second option 1455 call was at .20 which would be a loss of 5.8 pts or $290.

While the trade itself was a bust, i like that by using options, i can pick an option that has a premium that fits my risk %, as well as being able to hold onto the option through out the whole trade.

 

[aaroncapps]

Got a signal to buy esh07 1415 calls. First offer was 3.30, will hold this till right before expiration.

 

[nkruger]

Everybody - on your marks, get set....... we're getting close to the end of the month

Nick.

 

[lurkerlurker]

How has the long only Dow system done over the last month?

 

[nkruger]

How has the long only Dow system done over the last month?

Must admit, have been on other strategies, so haven't really been concentrating on this one. Might have a look at some charts later.

By the way - where is FC ?

 

[nkruger]

This strat would have been a bit of loser last month..... C'est la vie.

 

[crud-cutter]

Understatement, I think

This strat would have been a bit of loser last month..... C'est la vie.

It would have hit any reasonable stoploss (for the 2nd time this year).

I had been encouraged by missing the February loss (away skiing).
The worst years in my records have 3 losing months - so I'm still optimistic about it. Though perhaps I will reduce my position size.

Ian