A Simple E-mini Trading System

[SystemTrader]

Hi everybody,

I decided to follow the e-mini Trading System described in the free eBook "Trading Systems - What You Should Know to Start Successfully"

The rules are simple:

• Sell when prices move above the Bollinger Bands (Close, 34, 2.5) and
• Buy when prices move below the Bollinger Bands (Close, 34, 2.5).
• Exit Market on Close on the next day

The idea is that prices will close within the Bollinger Bands after they broke out.

I will follow the system on the following contracts:

• e-mini S&P
• Dax Index (Eurex) and
• e-mini NQ

Each day I will post the signals the system generates in these three contracts and report any open trades incl. profit and losses.

Let's see how the system is doing.


PS: The information provided is for educational and informational purposes only and is not to be construed as trading recommendations.

 

[SystemTrader]

Orders for 02/14/2005

Symbol Tested: e-mini S&P (Active Contract: ES-200503)

ORDERS for: 02/14/2005 (last complete bar: 02/11/2005 O=1196.75 H=1210.00 L=1193.75 C=1207.00)

Current Position: NONE

Place the following order(s)...

To Enter Long: BUY 1 Contract at 1155.75 LIMIT​

To Enter Short: SELL 1 Contract at 1224.50 LIMIT​

***********************************************

Symbol Tested: DAX Index (Active Contract: GX-200503)

ORDERS for: 02/14/2005 (last complete bar: 02/11/2005 O=4365.0 H=4406.0 L=4365.0 C=4402.5)

Current Position: NONE

Place the following order(s)...

To Enter Long: BUY 1 Contract at 4148.5 LIMIT​

To Enter Short: SELL 1 Contract at 4421.0 LIMIT​

***********************************************

Symbol Tested: NQ-067 (Active Contract: NQ-200503)

ORDERS for: 02/14/2005 (last complete bar: 02/11/2005 O=1506.0 H=1539.5 L=1501.0 C=1534.0)

Current Position: NONE

Place the following order(s)...

To Enter Long: BUY 1 Contract at 1448.0 LIMIT​

To Enter Short: SELL 1 Contract at 1651.0 LIMIT​

 

[JonnyT]

I've recently started trading something similar on Forex using Keltners and 1 hour bars.

Back testing looks very decent.

JonnyT

 

[abailey]

I'm interested in seeing how that trading strategy works out. I am currently looking over a few different strategies to see which one best fits my trading tolerance.

 

[Roberto]

I decided to follow the e-mini Trading System described in the free eBook "Trading Systems - What You Should Know to Start Successfully

Good luck with it. Do you have some connection with the publisher, and/or with Rockwell Trading?

 

[1lotwonder]

make sure u take positions on the close of the intraday bar whether or not the close is within the band or not.

a spike past the bands on an intra bar basis means little as vol may soon catch up and the point where u enter which was out side the bands at the time may not be outside the bands on the close.

trade this with paper money only. treat it as a learning experience only. you will never make it with free systems - but i guess u must start somewhere.

 

[SystemTrader]

ORDERS for: 02/15/2005

Symbol Tested: e-mini S&P (Active Contract: ES-200503)

ORDERS for: 02/15/2005 (last complete bar: 02/14/2005 O=1207.75 H=1208.50 L=1204.00 C=1206.25)

Current Position: NONE

Place the following order(s)...

To Enter Long: BUY 1 Contract at 1156.50 LIMIT​

To Enter Short: SELL 1 Contract at 1223.25 LIMIT​

******************************************************************

Symbol Tested: DAX Index (Active Contract: GX-200503)

ORDERS for: 02/15/2005 (last complete bar: 02/14/2005 O=4403.0 H=4407.5 L=4381.0 C=4390.0)

Current Position: NONE

Place the following order(s)...

To Enter Long: BUY 1 Contract at 4145.5 LIMIT​

To Enter Short: SELL 1 Contract at 4431.5 LIMIT​

******************************************************************
Symbol Tested: e-mini NQ (Active Contract: NQ-200503)

ORDERS for: 02/15/2005 (last complete bar: 02/14/2005 O=1536.5 H=1543.0 L=1532.0 C=1537.5)

Current Position: NONE

Place the following order(s)...

To Enter Long: BUY 1 Contract at 1451.5 LIMIT​

To Enter Short: SELL 1 Contract at 1642.0 LIMIT​

PS: Sorry for posting so late... Valentine's Day

 

[Roberto]

Good luck with it. Do you have some connection with the publisher, and/or with Rockwell Trading?

Sorry, System Trader, but would you mind clarifying this point, please?

 

[SystemTrader]

Hi Roberto,

Sorry for not getting back to you earlier, but I had some "duties" yesterday.

What exactly do you mean by "some connection"?
Yes, I do know the guys of Rockwell Trading and
No, I am not employed or somehow financially compensated by this company.

Please write me a PM if you want to know more. I don't think my employment and/or financial situation is of general interest, and I don't want to bore the reader of this thread..

 

[Roberto]

What exactly do you mean by "some connection"?
Yes, I do know the guys of Rockwell Trading

I see. Thank you for your answer.

I am not employed or somehow financially compensated by this company. Please write me a PM if you want to know more.

Thanks for the suggestion, but honestly I see no reason to hide my curiosity in a PM. It's not anything I'm ashamed of.

I don't think my employment and/or financial situation is of general interest

None of this conversation is of "general" interest, I'm sure. It's all too specific for that.

But within this thread, the nature of your connection with "the guys of Rockwell Trading" is inevitably going to be _very_ relevant to the people you're addressing here, i.e. t2w members, of whom I'm one.

For the sake of total clarity, I'll explain why: it's because we very often get someone completely new arriving here with the apparent intention of promoting commercially available products, and they're almost never open and up-front about the nature of their connection with the people selling them. This naturally and understandably makes people rather curious about their motivation in doing this apparent promotional work.

You can appreciate this really, I'm sure?

 

[rossored]

Before this gets out of hand...

Yes, SystemTrader knows the people who wrote this ebook. I have asked himto continue to post the results of the system for interests sake, and lets see where it leads.

Thanks for being as vigilant as ever, Roberto.

 

[FetteredChinos]

Thanks for being as vigilant as ever, Roberto.

Sniping from behind the bushes..


i like your style, bobby..


whats the french for cynic?

 

[rossored]

now now, FC...

 

[Roberto]

whats the french for cynic?

Lol ... Le Cynique Fettré, or something?

 

[SystemTrader]

Orders for 02/16/2005

Symbol Tested: e-mini S&P (Active Contract: ES-200503)

ORDERS for: 02/16/2005 (last complete bar: 02/15/2005 O=1206.25 H=1213.50 L=1205.50 C=1210.75)

Current Position: NONE

Place the following order(s)...

To Enter Long: BUY 1 Contract at 1157.25 LIMIT​

To Enter Short: SELL 1 Contract at 1222.25 LIMIT​

**************************************************************

Symbol Tested: Dax Index (Active Contract: GX-200503)

ORDERS for: 02/16/2005 (last complete bar: 02/15/2005 O=4392.5 H=4417.5 L=4385.0 C=4394.5)

Current Position: NONE

Place the following order(s)...

To Enter Long: BUY 1 Contract at 4142.0 LIMIT​

To Enter Short: SELL 1 Contract at 4441.5 LIMIT​

**************************************************************

Symbol Tested: e-mini NQ (Active Contract: NQ-200503)

ORDERS for: 02/16/2005 (last complete bar: 02/15/2005 O=1538.0 H=1565.0 L=1536.5 C=1548.5)

Current Position: NONE

Place the following order(s)...

To Enter Long: BUY 1 Contract at 1456.5 LIMIT​

To Enter Short: SELL 1 Contract at 1632.0 LIMIT​

 

[Denny]

Trading Systems

Just a question here you mentioned the free book "Trading Systems - What You Should Know to Start Successfully"

Could you let me know where this book can be obtained.

 

[SystemTrader]

eBook

Hi Denny,

Here's the URL:
http://www.rockwelltrading.com/free_ebook.htm

 

[SystemTrader]

Waiting for trades

Obviously one has to be patient when trading this strategy.

All three contracts are not very close to their upper or lower Bollinger Bands (see attached charts)

So I keep waiting for trades....

 

[SystemTrader]

Orders for 02/17/2005

Symbol Tested: e-mini S&P (Active Contract: ES-200503)

ORDERS for: 02/17/2005 (last complete bar: 02/16/2005 O=1210.50 H=1213.50 L=1203.50 C=1210.50)

Current Position: NONE

Place the following order(s)...

To Enter Long: BUY 1 Contract at 1157.50 LIMIT
To Enter Short: SELL 1 Contract at 1221.50 LIMIT
​

*********************************************************

Symbol Tested: Dax Index (Active Contract: GX-200503)

ORDERS for: 02/17/2005 (last complete bar: 02/16/2005 O=4402.0 H=4402.0 L=4355.5 C=4371.5)

Current Position: NONE

Place the following order(s)...

To Enter Long: BUY 1 Contract at 4141.0 LIMIT
To Enter Short: SELL 1 Contract at 4448.0 LIMIT​

*********************************************************

Symbol Tested: e-mini NQ (Active Contract: NQ-200503)

ORDERS for: 02/17/2005 (last complete bar: 02/16/2005 O=1548.0 H=1553.0 L=1537.0 C=1545.5)

Current Position: NONE

Place the following order(s)...

To Enter Long: BUY 1 Contract at 1462.0 LIMIT
To Enter Short: SELL 1 Contract at 1621.5 LIMIT​

 

[SystemTrader]

Orders for 02/18/2005

Symbol Tested: e-mini S&P (Active Contract: ES-200503)

ORDERS for: 02/18/2005 (last complete bar: 02/17/2005 O=1210.75 H=1212.00 L=1200.75 C=1201.00)

Current Position: NONE

Place the following order(s)...

To Enter Long: BUY 1 Contract at 1158.50 LIMIT
To Enter Short: SELL 1 Contract at 1219.75 LIMIT
​

**************************************************************

Symbol Tested: DAX Index (Active Contract: GX-200503)

ORDERS for: 02/18/2005 (last complete bar: 02/17/2005 O=4378.0 H=4395.5 L=4366.5 C=4377.5)

Current Position: NONE

Place the following order(s)...

To Enter Long: BUY 1 Contract at 4140.5 LIMIT
To Enter Short: SELL 1 Contract at 4454.5 LIMIT​

**************************************************************

Symbol Tested: e-mini NQ (Active Contract: NQ-200503)

ORDERS for: 02/18/2005 (last complete bar: 02/17/2005 O=1546.5 H=1550.0 L=1521.0 C=1524.0)

Current Position: NONE

Place the following order(s)...

To Enter Long: BUY 1 Contract at 1468.5 LIMIT
To Enter Short: SELL 1 Contract at 1609.0 LIMIT​

... still no trades.