Anyone remember Index King?

[FetteredChinos]

Some fun with numbers, based on weekly data going back to 1982.

quite promising equity curve..77% win rate..

i'll leave you lot to work out how it works... :cheesy:

FC

 

[Bluewave]

Seems you've been busy FC I remember Index King...vaguely. He liked pairs trading? How did you work out his methods? A cursory glance at your sheet would suggest something to do with checking current difference compared to 1 week moving average.

BTW, why are you a pink toothbrush... don't you like the colour blue?!

 

[FetteredChinos]

i didnt work out his methods personally, i think Big Business stumbled accross it by chance many moons ago, so he can take the credit for it.

as for this method i posted here, basically it takes the difference on each weekly close. if the difference is greater than all of the previous X weeks, then add a short Dow/long FTSE position. if it is less that all of the previous X weeks, then add a long Dow/short FTSE position.

exit all Long Dow/Short FTSE positions after the difference has increased for 2 consecutive weeks

exit all Short Dow/Long FTSE positions after the difference has decreased for 2 consec weeks.

multiple positions, and relatively market neutral..

am currently investigating european indices pairs as well, to try to minimise the "slippage" on these results..

FC

 

[UBend]

Hi there FC,

Thanx for posting your spreadsheet. I spent ages last night gazing at it trying to figure out the entries & exits of the trades. There are several points that immediately spring to mind with regards trying to trade this system.

1) As this is weekly data presumably the pairs trade is taken out at market close on friday (presumably cash close)

2) Do you take a position at the end of every week no matter what?

3) I think you partly answered this next point, but do you close a trade when the difference between closes changes to above/below the entry difference whether you're in profit or not or is there a profit level to stop at. Also do you update the OHLC prices daily during the week & close the position when/if the appropriate levels are reached mid week?

4) As you say there will probably be multiple positions which will probably mean trading this system using spreadbetting will be difficult

I do have one or two other queries that I thought about last night, but can't remember what they are now & as I'm at work, haven't got my notes. Have you tried to trade this or is this more of academic interest to you? I remember the Index King threads from last year (or was it the year before) but as I didn't really understand what was going on I'm afraid most of it went in one ear & out the other. However seeing it in a spreadsheet format like you have shown has sort of opened my eyes to having another look at it. I seem to remember there was a lot of HooHaa about stops & drawdowns etc - I see that you have not incorporated this in your results.

Thank you again for this interesting work, it has certainly sparked my interest again.

Ubend

 

[FetteredChinos]

1) yes.. market close on friday for the Dow.. and if your SB company does 24hr dealing then the FTSE as well. if not, then the monday open/pre-market will have to do.

2) no. not every week. depends if the difference is great enough to warrant an entry.

3) no, im afraid i havent looked at this just yet.. profit targets would probably improve things (being countertrend in nature) but also requires pretty fiddly code

4) no, not really. similar to what im doing on my "live by the sword thread" you can trade using both futures contracts, and both rolling cash products..

unnumbered 5) no i havent tried trading this, and it is more of an intellectual exercise. i dont see why it shouldnt work in practice. because it is on weekly bars, i may well get bored of it, but i wanted to see if a daily based system was fractal enough to be applied onto weekly candles.. i may even go completely mad and try it on monthly/yearly bars lol.

as for stops and drawdowns.. they are almost universally detrimental to profits on a counter-trend system. which is why you need relatively large pockets to trade them, leverage depending.

am pleased it got you thinking.. was the main idea behind my post - to spark interest and give you all some ideas to tinker with.

FC

 

[UBend]

Blimey, that was a quick reply FC!

I thought Index King's system was more of a daily system, are the results as good using daily prices & trades?

The trouble with taking out a FTSE trade AMC of DJI is that the spreadbetters will have moved the price up or down depending on DJI's movements & then it will often gap up or down the next day. These movements will mean that your entries will not be as good as those shown on the spreadsheet, but then the points movement is much less for FTSE even on a good day!

 

[FetteredChinos]

yes i know U-bend.. and therin lay the problem with the original IK strategy.

which is why i tried it on weekly bars, to try to eliminate the slippage..

this strat returned about 70pts per trade (from memory) and there are ways of increasing that further (different entries/exits etc). and this should be more than enough to cope with spread and slippage.

at the mo, it is rare to see the FTSE gap more than 20 points. and also rarer for it not to close the gap within the week.

you could of course just take the Dow side of things.....