Recent content by Suthers

Hi Blades, I've spent a lot of time testing ATR, high low ranges etc. Using any of these instead of % drop reduces drawdown by a large margin but at the cost of less profit. The reason for this is the % drop guarantees an entry into a volatile share while an ATR drop may not trigger an entry. I...

Momentum trading does have its merits. You are probably using 14 days in your caculation of the RSI, I use 2 days and look for very short term over extensions. Counter trend trading is not the easiest, but when you can handle going contrary to the trend there are advantages, the main being very...

Hi Blades, Still around, battling these crazy markets, Lehman Bro etc. First thing I do once I've dowloaded all my end of day data is to scan the stocks I trade for setup candidates i.e. stocks with rsi values below 2 and greater than 200ma. If there are a number of setups I would print the...

Hi Blades, My tests confirm yours. In fact I studied the results from 1991 onwards and the perfomance is dismal up until literally the beginning of 2003 where the performance changes from down to up. From 2003-2007 we were in a fabulous bull market, but the market has been far from bull...

Fixed % risk model and I use 1%, the parameters are 2 period RSi of the close less than 2, trend filter is the simple 200 ma of clsoe, and to exit the simple 5ma of close.

Hi Chorlton, I had another look through your code and have found an error. Cond1 can be RSi(2)<2 and c>ma(c,200), due to the fact that your Buy refrences the signal yesterday. Also, I'm not sure whether you remember but I included an entry filter. The entry filter is: if the open today (entry...

Hi Blades, You may want to read my reply to Chorlton. The UK markets don't test well with this strategy and I provide a number of reasons why. For now, though, I'll play around with the parameters and see if I can come up with anything. I'm sure betwenn the 3 of us we'll get something workable...

Hi Chorlton, I agree the system isn't 100% EOD and would require some effort during the trading day. The testing, however, only uses EOD data. To make sure you're not being too optimistic you can include some negative slippage. I didn't use any slippage purely because I am able to achieve...

Hi Blades, I traded a variation of this system full time for 2 years with great success. The systems I trade now are based on similar ideas. I'm a full time trader and complete about 6 trades a day, 90% of my months are profitable. So play around with the system and see whether you can find any...

Hi Blades, I'm interested in your conclusion and have a number of questions; My system was designed for the undelying equities and not ETF, for all I know ETF's have a vastly different personality and may require a different strategy all together. I think most importantly, though, is your...

Hi Chorlton, You may decide to exit on the following days open but I prefer to exit in the last 5 minute of trade during the auction. You can get a pritty clear indication whether the close will exceed the ma; simply sum the last 4 periods closing prices and add to it the last traded price in...

Unfortunatley my software doesn't allow for optimisation. I have however manully optimised over a number of parameters and it would seem the current parameters are fairly optimal. I may be wrong so will be interested in your findings.

Thanks for the post. Premium data do sell data that includes all delisted stocks for the US markets. If anyone knows where to obtain a list of previously included SP500 constituents then I would easily be able to create a filter to extract those stocks that are now not apart of the SP500 from...

Metastock uses the original wilder method. I created the indicator myself and compared it to the bulit in RSI indicator to double check and they aline perfectly. The up and down days are smooothed with wilders smooothing and the normal RSI calculation is then performed. I have included the...