Chinos' Simple S&R FTSE 100 System

[jmreeve]

FC -
Sounds sensible and also sounds like the basis of a day-trade system.

I have coded your system as follows:

if(H < H[1] and H < H[2]) then buy 1 contract at close;
if(L > L[1] and L > L[2]) then sell 1 contract at close;

Hope this is correct.

Results for 1998 to present are as follows: £5 added for comission to be consistent with the results for your first system. Results are better than the un-tweaked original system but not as good as the tweaked pivot system. Draw-down is nasty at over 10K

TradeStation Strategy Performance Report - FTSE FetteredChinos2 UKX.L-Daily

Performance Summary: All Trades

Total Net Profit $103,917.00 Open position P/L $0.00
Gross Profit $245,976.00 Gross Loss ($142,059.00)

Total # of trades 483 Percent profitable 65.01%
Number winning trades 314 Number losing trades 169

Largest winning trade $4,013.00 Largest losing trade ($5,056.00)
Average winning trade $783.36 Average losing trade ($840.59)
Ratio avg win/avg loss .93 Avg trade (win & loss) $215.15

Max consec. Winners 14 Max consec. losers 6
Avg # bars in winners 2 Avg # bars in losers 5

Max intraday drawdown ($10,470.00)
Profit Factor 1.73 Max # contracts held 1
Account size required $10,470.00 Return on account 992.52%

 

[TWI]

Would be interested to know how this has performed in real-time since the last post. Jim, do you have results for last 2 mnths?

 

[spgslege]

yup, buying/selling at the close...


FC. Thanks for sharing you system. I use IG Index for SB on FTSE, Bit confused on the correct close, re your system. I would use the MAY 04 FTSE as this can roll-on. But IG reset the price after close for the next day. Any advice appreciated.
Thanks
SG

 

[75again]

Hi
Interesting thread; hope I’m not too late…

I’m interested in this system, and especially jmreeve’s improved tweaking and TS reports. A couple of queries:-

1. have you had the opportunity to back test on futures data, as opposed to cash index data?

2.

Entry on a stop helps the system significantly (though slippage then becomes an issue) The results below are for entry next day on a stop that is 0.05 * ATR above the close if you go long or 0.05 * ATR below the close for going short.

when you say entry next day on a stop that is 0.05 * ATR above the close if you go long…is the ATR the 0.5 * 20 (the 20 being FC’s original barrier) ?

So, 5% above the barrier you set a buy order? Why does this improve the results so much? Or am I missing something?

3.

I think way this system works is along the same lines as the concept behind value area. The results below use a volatility barrier with volatility calculated in the same manner as for option pricing. i.e the std deviation of log price changes.
This appears to be a better volatility model than using ATR.

There may be better ways of calculating the day balance point instead of H+L/2 along the same lines.

can you explain what you mean by such a volatility barrier?

If you are able, please can you post the EL script for TS?

Okay, thanks a lot for any clarification.

Regards

75

 

[pb]

Chino,
What is the basis of the triggering number 20? I tested your results with various numbers and yes, 20 gives the best result year by year, although 19 is also good. Any particular thinking behind choosing this?

Also I think the profits can be increased much more if you fix the maximum loss you'd take in a trade.

 

[FetteredChinos]

hi mate.

20 is approximately half an average day's range, so a movement of more than that implies a slight over-reaction. which is why we sell/buy the over-reaction.

i havent looked at this method for a while (time/work constraints) but like all methods, everything can be improved to some degree.

FC