TWI

Senior member
2,516 246
rdstagg - I have also spent time on this system and in the same way you have, I found the money management aspect rewarding, as I have on every system I have that has positive expectancy. I also found that by using a short term chart ~10-15min and awaiting a close outside of the range improved results and eliminated getting caught on counter move spikes after figures. Also I defined what was a reasonable range to consider a break-out had occurred, if the range was less than this I did not trade on that day.
I would need to go back and look at what I ended up with but it did overall improve the performance and like you taught me more EL workarounds which is always valuable. I have found it very rewarding generally to take a basic idea like this and experiment.
I am not currently running this live as too involved with other things and margin is utilised elsewhere.
I will send in a portfolio result when I get chance to run it.
 

sidinuk

Established member
624 4
The system came back to winning ways last week.

All contracts showed a profit for the week with ER2 ($1,240) and EMD ($1.010) being the best. Overall up $3,175 for the week.

Note, I have altered the Thursday rule in accordance with a much more extensive back test which can be found here: Trading System - Day Of The Week Test.
 

rdstagg

Active member
207 3
Thursdays

Glad to see you revisited the Thurs filter.
Might I suggest abandoning NQ altogether as well?
 

sidinuk

Established member
624 4
Yep, your absolutely right, NQ and ES do not perform so well. I think that is due to the small number of ticks in the average daily range compared to the other contracts. Average trading ranges have really tightened on those indexes over the last couple of years. Perhaps a .1 tick size on ES and .25 on NQ would help? Oh to be back in 2002 and 50 point daily ranges on ES!
 

sidinuk

Established member
624 4
The system seems to be alternating between winning weeks and losing weeks. Last week we went down $880.00 after a profit of $3,175.00 in the previous week.

Having double checked my figures for last week I misquoted, on the daily results page, ER2 on Monday, it actually triggered a long trade first for a loss of 6 pts rather than a short trade for a loss of 3.5 pts. Also Friday was actually a $250 loss not a $270 loss. apologies - I shall be more careful in future!
 

sidinuk

Established member
624 4
True to recent form, a losing week was followed by a winning week last week. Turning in a combined profit of $1,320 before commissions and slippage.
 

skg83239

Newbie
1 0
Sid,
Fantastic article & thread. The article inspired me to revisit some of my previous backtest work with a more structured approach. I am now using a pseudo symmetrical triangle breakout strategy. From what I have read previously and on this thread you can reduce risk by mixing uncorrelated strategies. So my next project is to backtest the index opening breakout strategy. Starting from your example strategy, I will add some of the comments included in this thread, such as an open range filter, European indexes and excluding days when economic indicators are released.
In an earlier post Samurai asked about currencies. This was going to be my next next project but in the mean time I believe City Index have some daily contracts.
 

sidinuk

Established member
624 4
Thanks for the comments skg83239, I'm glad it's given you some inspiration that is exactly what I wanted to achieve with the article.

Good luck, let us all know how things go.
 

Kiebert

Newbie
3 0
Hi, very nice system. However, I have download your file and I do not really understand the total result for the YM-contract this year. Can you please tell me how much is the result until now (05.12.2005) Thank you in advance for your cooperation.
 

sidinuk

Established member
624 4
Hi Kiebert, Thank you for your comments. Unfortunately I haven't had time to update the results file for a while. I will try to get this up to date very soon.
 

Bounty_One

Newbie
3 0
Hello,

I'll finally try to contribute something to this great thread: In order to achieve better diversification and a smoother equity curve, it's necessary to trade different markets. The problem with US indices is that they're highly correlated. Besides, since they all trade at the same times, you'd have to split your buying power between them.

I found a promising market which is less correlated with US indices and trades at totally different market hours. Besides, it seems to have high volatility. It's the Korean Kospi 200 Index. Index futures have a rather low leverage, so some recommend using the index options (do a search for "KOSPI" on ET for the corresponding thread) . It would be best to chose the nearest option which trades below KWON 3.00 (spread is 0.01 below KWON 3.00 and 0.05 above). Beware: Options expire monthly!

Options trade from 0:00 - 6:15 GMT (only till 6:00 on expiration days). Based on my limited observations, I recommend setting the opening range from 0:00 - 2:00 GMT, and time exit to 6:00 GMT.
 

new_trader

Legendary member
6,181 1,258
Has anyone traded this system using calculated pivot points for stops/close? There seems to be a correlation between R2/R3 levels of the S&P500 cash index and market reversals. Take a look at Friday 3rd March. The market went through R2 (1295.89) around 1.30-2pm then retraced. I am curious how often this can happen but I don't have tickdata for the S&P500 cash index. I don't think using ES values to calculate pivot points will be valid.
 

blackcab

Established member
523 51
new_trader said:
There seems to be a correlation between R2/R3 levels of the S&P500 cash index and market reversals ... I don't think using ES values to calculate pivot points will be valid.
Why do think pivots might work on the cash index but not the futures?
 

new_trader

Legendary member
6,181 1,258
The cash index has defined open and close times whereas the futures 15:00 'close' may be subject to slippage. Just curious if the pivot tables work better with the cash index.
 

donaldduke

Experienced member
1,665 251
Anyone still trading this system?

Sidinuk's site is down i wanted an update on how his system was doing.

Well if sidinuk has given up on this system perhaps it might be the time when it turns
profitable again?!?