Thanks for reminding me of the Euro Spot On System.
The performance I saw on the relevant discussion uses 35 0r 60 tics stop loss exits.
Is there any performance report for using the other side of the opening range for exit stops?
I use Excel, but I write VBA to automate the testing and make it easy to alter the variables. I'm currently working on tidying up these spreadsheets so that others will be able to use them as well. When I'm done I'll post some details.
"ts code" is the code for programming Tradestation.
An outstanding article; many thanks! Tim, would it iron out the fluctuations and reduce the risks a bit if one traded a system of the same type on several different indices simultaneously? Or would it just increase the net risk because all the indices too closely related?
Thanks for your comments. Yes it will definately smooth the equity curve if you trade the same system over several different contracts, in fact Russell 2000 (ER2) and S&P midcap 400 (EMD) considerably outperformed the Dow (YM) last year when trading this system.
I have downloaded the spreadsheet on the website and kept track of the recent results...and to plan to continue to follow this. It seems the system is currently in a drawdown period....thus an opportunity to get in?
Here are the results ( i am using IB TWS Chart, and curious to learn whether I have the same numbers)
24-jan-05 10441 10369 10390 Trade today long 10491 10391 (100) -> -100$
25-jan-05 10510 10410 10481 Trade today long 10496 10481 (15) -> -15$
26-jan-05 current trade SHORT 2 10482
I am looking at developing a system in the same vein as this but no diddly squat about programming. I do not really want to go through and test all the permutations by hand so does any one have a formula/code skeleton that i can use to test the same variables addressed in the article but for a different market? Also, where do you get all the historical data as i have esignal and only get like the front month futures contract data. One more quick q - what is a better time period for the sample data as i was looking for about 1 year and then the out of sample data being around 2 years.