The Daily Index Trader

[Alastair10]

Perhaps it would be helpful to get back to the data?

The key issue here is that whether you have paper or live traded over the last few weeks you would have lost money. Nobody is disputing this. However going back to the results in the 'Evaluator' spreadsheet it would appear that this situation of a 'bad patch' has happened before.

As I think Leonarda mentioned in an early post the statistical issue is that the correlation of the CAC and DAX broke down. Now is this permanent or short-term? It has happened before, it is certainly happening now and will in the future. Therefore we need a filter in terms of if there is sufficient correlation then trade the DIT, if not then don't trade.

So if we can come up with a filter signal to identify higher positive probabilities there could still be some mileage in this. I am still scratching my head on this, any ideas?

 

[leonarda]

Perhaps it would be helpful to get back to the data?

The key issue here is that whether you have paper or live traded over the last few weeks you would have lost money. Nobody is disputing this. However going back to the results in the 'Evaluator' spreadsheet it would appear that this situation of a 'bad patch' has happened before.

As I think Leonarda mentioned in an early post the statistical issue is that the correlation of the CAC and DAX broke down. Now is this permanent or short-term? It has happened before, it is certainly happening now and will in the future. Therefore we need a filter in terms of if there is sufficient correlation then trade the DIT, if not then don't trade.

So if we can come up with a filter signal to identify higher positive probabilities there could still be some mileage in this. I am still scratching my head on this, any ideas?

Hi, below is an image that might be of interest to you from my own pair correlating software, it contains 4 graphs for the CAC/DAX pair over the last 150 days, so day 150 on the x axis is last friday, day 0 is 150 trading days earlier. The top 2 are probably of most interest, they actually show the CAC/DAX went through a period of very poor correlation between day 30 and 60, ie.the month and a half period starting 6 months ago (mid-April to end of May). Not surprisingly really over the big sell-off and flash crash, the german DAX held stronger. This corresponds to weeks 28-33 on the DailyIndexTrader website historical "Performance" data:
Profit CAC/DAX 50day correlation
week 28: £1617 97%
week 29: £1809 90%
week 30: £1492 72%
week 31: £-485 55% (Flash crash week)
week 32: £1897 60%
week 33: £3300 82%
Over this poor correlation period it only had 1 losing week (the flash crash). The fact it was the flash crash does give this data some credibility I will give it that! However, it does show that during poor correlation the system seems to work profitably according to this data. On the opposite side though if we look at the 50 day correlation over the last 3 weeks (blue line top right graph days 135-150) the correlation has been fantastic, also the 100day correlation is rising very nicely which indicates good correlation. Yet the system has performed terribly.

So lets summarize:
mid-April to end May system has 5 winning weeks out of 6 for poor CAC/DAX correlation
last 3 weeks system has had 3 bad losing weeks yet CAC/DAX has correlated perfectly
We have a conflict here, which is right? or does correlation really matter that much? take your own view....?

My personal view:
I actually suspect based on how the trades work that CAC/DAX correlation doesn't really matter that much. As someone mentioned earlier in this thread they will differ intra-day on certain days based on the differences in the major german/france sectors, but generally they are going to "wiggle" in a similar way and that's all that matters. Hence why it appears the Evaluator doesn't actually make use of it, but just previous winning/losing day behaviour.
So I don't think a filter would buy you much mileage.

 

[leonarda]

ps. you will have to excuse my over enthusiasm sometimes in tinkering...! I thought I would apply my old pair trading software I wrote a while back to draw a few graphs to show a point...

 

[princetrader]

The Evaluator is just a gemmick. Look at the system closely 2:1 losing v winning ratio, also the system relies on the dax/cac moving in one direction after 9:15 to hit profit target, what's the likelyhood of that happening.

From the manual I understand cac/dax have been chosen because they have a close corolation, so why not just go & do a stradle on one index go long & short.What's the difference. The system just doesn't make sense & I can't believe people can't see that.

I have no personal interest in putting this system down. But when I received maual & read it, I was very disapointed with the strategy, but I thought I give it a go anyway. I'm down 25%

As for SteveBanks, I've got nothing against him, but he always seems to see the positive side of this system. You say anything against DIT & he's the first one to respond with a positive spin, that's not a healthy attitude to take inorder to validate the integrity of a system.

By the time people realise, the ods are against them with this system, thir trading pot will be empty!!!

 

[leonarda]

The Evaluator is just a gemmick. Look at the system closely 2:1 losing v winning ratio, also the system relies on the dax/cac moving in one direction after 9:15 to hit profit target, what's the likelyhood of that happening.

From the manual I understand cac/dax have been chosen because they have a close corolation, so why not just go & do a stradle on one index go long & short.What's the difference. The system just doesn't make sense & I can't believe people can't see that.

I have no personal interest in putting this system down. But when I received maual & read it, I was very disapointed with the strategy, but I thought I give it a go anyway. I'm down 25%

As for SteveBanks, I've got nothing against him, but he always seems to see the positive side of this system. You say anything against DIT & he's the first one to respond with a positive spin, that's not a healthy attitude to take inorder to validate the integrity of a system.

By the time people realise, the ods are against them with this system, thir trading pot will be empty!!!

you are right the evaluator is a "sales gimmick" in my opinion, to add glamour to the sales pitch, as deciding whether to trade or not purely based on whether you last won/lost on that day of the week is ...well...

 

[dougmci]

Hi Steve,
I, for one, would be sorry if you did not continue to post on the forum as the baby would be thrown out with the bathwater and I do not mean that insultingly. If comments are negative then a reasonable reply is all that is required. It doesn't make me wise to comment that I have newly purchased the system ( one of quite a few ) but waited before I trade and I partly keep the faith by following your comments.
Insults help no-one and constructive posts are a real help. Patience and perserverance will bear pips
eventually but the more hands the better.
Sage says: you don't know what you don't know (but keep your powder dry)

 

[SteveBanks]

Hi Steve,
I, for one, would be sorry if you did not continue to post on the forum as the baby would be thrown out with the bathwater and I do not mean that insultingly. If comments are negative then a reasonable reply is all that is required. It doesn't make me wise to comment that I have newly purchased the system ( one of quite a few ) but waited before I trade and I partly keep the faith by following your comments.
Insults help no-one and constructive posts are a real help. Patience and perserverance will bear pips
eventually but the more hands the better.
Sage says: you don't know what you don't know (but keep your powder dry)

Hi jimdog and dougmci,

thank you for your posts. I feel I may have over reacted earlier. I appreciate that you "partly keep the faith" by following my comments. I am in the same position as every one else who has bought the system and I believe in staying positive until such time as the results give me cause for concern. I am hoping that the last three weeks are just a normal poor period for the system

We may all be agreeing with princetrader and others in the not too distance future but until then I don't think there's anything to gain by giving up just yet.

Thanks again for your post leonarda. That sort of information is extremely interesting and it's very useful to those trying to make their mind up about DIT.

I hope that this week's results will start to put things on a more optimistic footing.

Good luck every one

 

[chronicsys]

hi

is anyone else locked out of the DIT site's members page? i get no weekly update, no password update?

please dont post password here of course! just tryin to establish if i am the only one having this problem

thanks

 

[Alastair10]

Thanks Leonarda for all the information. There is certainly plenty to think about. It is the intraday wriggle that is causing the present grief and it might be that this needs to be re-evaluated based on a different kick off time to 9.15am.

Anyway I for one will papertrade this week and see how it works out.

Have a prosperous trading week everyone....

 

[c0py]

firstly, good to see you back Steve, this forum wouldn't been the same without you

Looking at the trade evaluator, there were two loosing weeks in a row from 12/10/2009 so we know this "blip" has happened before around the same time of year...

One thing I have noticed when opening up my backup evaulator (untouched) is that the latest trades entered couldn't possibly have been opened because the max stake size is ~£300 per pair. I would like to know how Martin/Mark on one day managed to stake £1097 per point against the CAC?

 

[c0py]

I am giving the system two more weeks with 1% risk, if either week loses i'm out.

 

[sarnia cherie]

hi

is anyone else locked out of the DIT site's members page? i get no weekly update, no password update?

please dont post password here of course! just tryin to establish if i am the only one having this problem

thanks

Nope - ive just checked and I can log in ok. Theres a secure thread over on Systems for Traders so Ill post the password over there if anyone doesnt have it. To get into the secure thread go to password protected trading rooms and click on Daily Index Trader. Above Title/thread starter you'll see the password question into the secure thread. Once steve has the private forum up and running here it can be posted here every Friday pm or monday morning maybe?

Seems to be a problem every week with ppl not always getting the new password.

Buy DAX sell CAC tomorrow?

 

[c0py]

Gekko users beware - "Free Guaranteed Stops" are not what they seem...

There is a maximum stake level for them, being the CAC & DAX these range from £65 per point to £70 per point. This means when the evaluator tells you to stake anything larger than £65.75 on CAC or £70.13 on DAX your stop loses are NOT guaranteed. Here is a quote from their site:

For example, a GSMS (Guaranteed Stop Maximum Stake) value of 50 means that we will guarantee every auto-stop below (and including) a trade size of 50. Any auto-stops that have a trade size greater than 50 would not be eligible for a guarantee and would be treated as non-guaranteed (subject to slippage).

I would suggest using a different SB company for stakes that are not going to be guaranteed with Gekko because if you are going in a market with over £70 per point you do not want slippage to occur... and it does happen.

 

[Baldeaglebloke]

Gekko users beware - "Free Guaranteed Stops" are not what they seem...

There is a maximum stake level for them, being the CAC & DAX these range from £65 per point to £70 per point. This means when the evaluator tells you to stake anything larger than £65.75 on CAC or £70.13 on DAX your stop loses are NOT guaranteed. Here is a quote from their site:

For example, a GSMS (Guaranteed Stop Maximum Stake) value of 50 means that we will guarantee every auto-stop below (and including) a trade size of 50. Any auto-stops that have a trade size greater than 50 would not be eligible for a guarantee and would be treated as non-guaranteed (subject to slippage).

I would suggest using a different SB company for stakes that are not going to be guaranteed with Gekko because if you are going in a market with over £70 per point you do not want slippage to occur... and it does happen.

Looking forward to the day when I have to worry about the size of the stake and a guaranteed stop. Time will tell whether it will be with DIT:cheesy:

 

[Baldeaglebloke]

SteveB - just read the last two days of bitching - On fridays I log off and don't turn the PC back on. Sorry to see that some of this has become almost personal. To my mind there is absolutely no need - If peeps have a point to make then so be it but it can be done without rudeness.

To answer also many of the senior people asking why newbies/rookies etc bought a system .... well in my case it's because I'm trying to learn different ideas etc. Books are ok but until you've followed something and traded with real money it's not always easy - eg I have a very simple system for Ftse100 that is profitable but not great - without looking at ideas that have been developed and sold to the unsuspecting (ie me) I would not have progressed to the next phase.

The thing about systems is to 1) buy from a reputable vendor 2) trade with very small stakes 3) send back within the guarantee period 4) think how it can be tweaked to make it profitable if it ain't and forums help.

Have a good week - for me this week it's dantes thread

 

[SRC]

Hi Steve B, just logged on this morning. Glad you are back!

It always staggers me why people will buy a system, then spend the rest of their time slagging it off if it doesnt make them a multi squillionaire overnight. It is always everyone else's fault they are sat in dark flat with a pot noodle looking on facebook for new 'friends' whilst attacking those that see their lives as half full instead of half empty. DIT has performed very well over the last 12 months. Fact. DIT hasnt performed very well over the last three weeks. Fact. It is a long term strategy that should be part of our overall trading strategies. There are a lot of people on here that want to make this work and have provided a lot of information and support to others that are looking to learn and i thank everyone for that. That is the point of forums, to provide information for others to make their own judgement. Personal attacks on members of this forum are not wanted on here.

 

[sarnia cherie]

CAC just stopped out.

 

[Astarte3141]

Has everybody else done the same as me? Long DAX, short CAC? With the CAC roaring away and hitting the stop loss but the DAX seeming very sluggish and reluctant to follow?

Obviously remains to be seen what happens later but I'm getting a bad feeling and I think I may well fall off the fence now on the side of the sceptics.

Steve B I'm sorry you are leaving and I appeal for you to return. If somebody annoys you or insults you just ignore them!

 

[SRC]

firstly, good to see you back Steve, this forum wouldn't been the same without you

Looking at the trade evaluator, there were two loosing weeks in a row from 12/10/2009 so we know this "blip" has happened before around the same time of year...

One thing I have noticed when opening up my backup evaulator (untouched) is that the latest trades entered couldn't possibly have been opened because the max stake size is ~£300 per pair. I would like to know how Martin/Mark on one day managed to stake £1097 per point against the CAC?

Hi c0py, you can place larger bets over the telephone. Im not at that stage yet i might add

 

[princetrader]

Hi Steve B, just logged on this morning. Glad you are back!

It always staggers me why people will buy a system, then spend the rest of their time slagging it off if it doesnt make them a multi squillionaire overnight. It is always everyone else's fault they are sat in dark flat with a pot noodle looking on facebook for new 'friends' whilst attacking those that see their lives as half full instead of half empty. DIT has performed very well over the last 12 months. Fact. DIT hasnt performed very well over the last three weeks. Fact. It is a long term strategy that should be part of our overall trading strategies. There are a lot of people on here that want to make this work and have provided a lot of information and support to others that are looking to learn and i thank everyone for that. That is the point of forums, to provide information for others to make their own judgement. Personal attacks on members of this forum are not wanted on here.

"There are a lot of people on here that want to make this work"

You shouldn't have to make it work, it should work for itself, that's the whole point of a system.

"It is always everyone else's fault they are sat in dark flat with a pot noodle looking on facebook for new 'friends' whilst attacking those that see their lives as half full instead of half empty."

Your the one who slagging of other people, I can't see anything constructive in your comment.

"It is a long term strategy that should be part of our overall trading strategies."

That's it, you keep on saying that to yourself,if it makes you feel better