Article Developing a Trading Strategy Part 2

rdstagg

Active member
Feb 4, 2004
207
3
28
I use 1015 breakoout.
I tested just being mechanical but I do find that the character of the trend can change mid stream (as it were) when big news/figs come out of the states.
So in my own trading I apply a little discretion!!

Edit - so that means most times its 1900 close but I will trail a stop if say non farm payrolls are coming out and I have a healthy profit.
 
Nov 26, 2003
2
0
11
Hi there,

I like the idea of keeping the system simple but then spreading it out over different markets. This year it hasn't performed too well for indexes since volatility is low - has anyone tried and tested it on higher volatility markets such as currencies? I'd so it myself, I just don't have the technical possibilities right now. Thanks!
 

sidinuk

Active member
Dec 4, 2002
624
4
28
Surrey
www.online-futurestrading.com
Samurai,

It's difficult to transfer this system directly to the currency markets because the currency markets are 24 hour markets. Of course, the emini index futures trade 24 hours but they are really only liquid during the stock market opening hours.

It is,however, possible to devise profitable day trading breakout systems for currencies based on the open of the London markets at around 8am GMT or US markets at 1.30pm.

The currency markets have lost quite a bit of volatility this year as well, certainly compare to this time last year when there were loads of forex breakout systems being touted!
 
The example day trading system made a profit of $312.50 over the 5 contracts, before commissions last week. Although we saw mixed performance, a gain of $1,090.00 on Tuesday was wiped out by a loss of $1,115.00 on Wednesday.

EMD (lost $300) and ER2 (lost $90) were, again, the worst performing contracts over the week, whereas ES managed to make £312.50 to be top performer.
 

donaldduke

Well-known member
Jan 1, 2004
1,664
251
93
bodemloze_put said:
Did you skip 1 week because it was such a desastrous week (minus $3700)?
Eeek, thats a big loser. Has this system made money overall since forward testing began
in january?
 

sidinuk

Active member
Dec 4, 2002
624
4
28
Surrey
www.online-futurestrading.com
bodemloze_put, yep your right, I had the flu last week and didn't post any comments - Of course I might have had more energy if it had made $3700 rather than lose it!!

Basically, Wed 24 Aug, gave us a big reversal which caught the system long on all the indexes with a large opening range. It wasn't the worst week in backtesting history - that dubious honour goes to w/e 14 May 2004 where a loss of $5,542.50 was recorded. So it was well within historic testing parameters. Remember, these losses are across 5 contracts.
 
Oct 23, 2004
3
0
11
Hamburg
Easy Language Code

Hello,

I know that the system code for TradeStation 8 has already been posted. Since the Author is no longer availabe via e-mail, I wonder if someone else could modify the code for TS2000i with the following changes: Volatility and thursday check should be skipped: I would like to have a strategy which is active on all trading days.

Thanks in Advance!
 

rdstagg

Active member
Feb 4, 2004
207
3
28
Ts8 code and author

Bounty one

The author is definitely still here!
Here's the code for 2000i.

Its very basic like this.
Rgds

{ **** Mini Dow Jones Range Breakout system v4 Sept 2005 ***************************
Original design by Sidinuk - www.online-futurestrading.com
Code - Russell Stagg [rs@profex-international.com]

DATA1 Symbol YM(H)05.D 1 or 5 min chart - NB not full Globex session
DATA2 Symbol YM(h)05.D Daily chart AT LEAST 4 MONTHS WORTH OF DATA REQUIRED{No Longer required for this version}
Change Log:
Feb 05 Added filter switch to Input variable.
Set maxbarsback to 50.
}
Input:{All times are UK(GMT)} OR_Time(1645),Endtime(2100),ShowLines(true),Show_nos(true),Txt_displace(100),Break_points(1);

Var: n(1),Trade_Flag(true),PLot_hi(0),Plot_lo(0),maxbarsback(50);
Var:{Text variables} Low_line(-1),OR_Bar(-1),Hi_Line(-1),Hi_no(-1),Lo_no(-1), Decimals(1);

{Position Sizing Algorithm}
N = 1;

{Open Range Plot Variables}
{ if Session(0) <> Session(0)[1] and barstatus(1) = 2 and Session(1) <> -1 then begin }
if barstatus(1) = 2 and date <> date[1] then begin
Plot_hi = 0;
Plot_lo = 0;
Trade_Flag = true;

end;

if time = Or_time then begin
Plot_hi = Highd(0);
Plot_lo = lowd(0);

{Draw Lines}

if ShowLines then begin
Hi_line = TL_new(date,time,Plot_hi,date,endtime,Plot_hi);
Tl_setstyle(Hi_line,tool_dashed2);
Low_line = TL_new(date,time,Plot_lo,Date,endtime,Plot_lo);
Tl_setstyle(Low_line,tool_dashed2);

end;
{Text}
if Show_nos then begin
Hi_no = Text_new(Date,time-txt_displace ,Plot_hi ,numtostr(Plot_hi,decimals));
Lo_no = Text_new(Date,time-txt_displace,Plot_lo ,numtostr(Plot_lo,decimals));
end;
end;


{Exits & Stops}
if marketposition <> 0 then begin
Trade_flag = false;
end;
{Entries}
If Trade_Flag and time >= or_time and time < endtime then begin
if marketposition = 0 then begin
Buy("++") n contracts next bar at (Plot_hi + 1 point) stop;
Sell("XX") n contracts next bar at (Plot_lo - 1 point) stop;
end;
end;

{Short Exits}
if marketposition = -1 then begin
if time = Endtime then exitshort("Time") n contracts next bar at open;
exitshort ("Stop") n contracts next bar at Plot_hi + 1 point stop;
end;
{Long Exits}
If marketposition = 1 then begin
exitlong (" Stop") n contracts next bar at Plot_lo - 1 point stop;
if time = Endtime then exitlong(" Time") n contracts next bar at open;
end;

{E & OE}
 
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