Article Developing a Trading Strategy Part 2

Nov 25, 2004
6
0
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Dublin
#32
JonnyT said:
You already have one.

Its called Spot On

JonnyT
JonnyT,

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?

Regards,
Mr. H
 
#35
This is a great article. It has inspired me to look again at systems trading which I have tried and failed at over the last 4/5 years.

One question - what software are you using to test your theories?

So far I have done everything on Excel but having attempted to replicate what you did I can't even get started - it is just too compicated.

What are "ts codes"

Thanks
 

sidinuk

Active member
Dec 4, 2002
624
4
28
Surrey
www.online-futurestrading.com
#36
The Optimist,

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.
 

Roberto

Well-known member
Aug 28, 2004
1,069
11
48
uk
#37
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?
 

sidinuk

Active member
Dec 4, 2002
624
4
28
Surrey
www.online-futurestrading.com
#38
Roberto,

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.
 
Aug 25, 2003
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#40
Results 24/01 & 25/01

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


The Poekmeister
 

sidinuk

Active member
Dec 4, 2002
624
4
28
Surrey
www.online-futurestrading.com
#42
poekmeister, I'm not sure your trade for 24 Jan is correct - should be long 10428 and stopped at 10378 for -50.

Good to hear of some positive slippage JonnyT, how'd ya manage that? You must have got a couple of points profit if you held on right to the close!
 

JonnyT

Well-known member
Dec 19, 2001
2,560
22
48
54
Notts
www.spotontrading.co.uk
#43
Actually ended up -2

I've had positive slippage a few times over the years. Essentially a stop order gets triggered by price movement but by the time your order gets executed the market moves back to where it came from.

Nice when you get it. On the flip side I've experienced 15 points slippage before aswell...

JonnyT
 
Nov 4, 2004
72
0
16
London
#44
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.

Any help/hints would be greatly appreciated.

Regards

David Dunne