Article Developing a Trading Strategy Part 2

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Nov 26, 2003
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#61
Hi sidinuk,

thanks for the great article. Looking at the spreadsheet there are some things that don't seem to make sense to me though. For example in ES, from 11.02.05 till 17.02.05 it doesn't show any trades yet the ATR filter didn't apply if I'm not mistaken (unless I am using completely different data) :D
 

JonnyT

Well-known member
Dec 19, 2001
2,560
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Notts
www.spotontrading.co.uk
#64
That Thursday rule would have cost you again...

I took a nice 42 points today using my modified version. Still nothing like Yesterday :)

JonnyT
 

sidinuk

Active member
Dec 4, 2002
624
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Surrey
www.online-futurestrading.com
#67
Despite missing out on Thursday the system still produced 2 winners out of 2 for the Dow last week providing 152 points profit. In fact across the 5 tested contracts the system produced 10 winners out of 10 trades for a total profit of $3,452.50 before commission.
 
Mar 1, 2004
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#68
Excellent article, Sidinuk, and even more welcome as it outlines a system that actually works - I've made 279 YM points on it (with very slight mods) since mid January.

I owe you a few beers!!!

A suggestion/query:

Have you looked at using the opening range as a filter for the trade? It seems likely that a breakout from a 35 pt opening range is more likely to succeed (or be larger??) than one from a 70 pt range.

As a smaller range reduces the potential loss to the stop would there be any merit in using the opening range as part of a Money Mangement strategy - reducing the number of contracts traded as the range increases?

Thanks again for your help.
 

sidinuk

Active member
Dec 4, 2002
624
4
28
Surrey
www.online-futurestrading.com
#73
Update!

Trading update for this free trading system.

The Russell2000 and S&P Midcap400 continue to be the star performers using this system - even better than the Dow Jones on which the system was originally developed!

Anyway, last week the Russell2000 had 2 winning trades out of 4 for a profit of $150/contract and the S&Pmidcap400 scored 4 winners out of 4 for a profit of $470/contract. Unfortunately, YM, ES and NQ lost $467.50 between them so we had a small profit of $152.50 overall.


Profit/contract before commission so far this year (after publication of the system):

S&Pmidcap400(EMD) - $2,050
Russell2000(ER2) - $1,640
Dow Jones(YM) - $960
S&P500(ES) - $950
Nasdaq100(NQ) - $(820) - Boo!

Total profit per contract $4,780
 

TWI

Well-known member
Jan 22, 2004
2,516
245
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London
#74
Nice.
sidinuk, I have a couple of questions.
I back-tested this on 500days of data in each of the markets using $2.99 bro and $10 slippage. It seems that ES is a dog and is actually losing money over this period. All the others return good equity curves. Have you considered chopping ES out of the group or do you get different results?
Are you trading these all together? If so do you think that this is all eggs in one basket or diversified?
Do you ever have opposing signals in any of the group on the same day?
 

sidinuk

Active member
Dec 4, 2002
624
4
28
Surrey
www.online-futurestrading.com
#75
twalker, your right it would be better to chop ES (and NQ for that matter) out of the test results. However, I include them because they are the two most popular index futures. If volatility ever returns to these markets then they will start to become profitable!

Obviously all 5 contracts are very much related, but we do see quite different results for each of them. If one market just triggers an order and reverses then it is likely that the other markets didn't enter the trade at all. Equally, if the general market makes a strong move then all 5 will get triggered. I suppose it is the same as scaling into a position rather than all or nothing.

For full diversification you need to trade different instruments (such as currencies, bonds) and different timeframes. The is just one system designed to daytrade index futures.
 

TWI

Well-known member
Jan 22, 2004
2,516
245
73
London
#76
Cheers, I like the scaling idea, wonder if this could be expanded upon by using different time frames or possibly starting to look at price spreads between the different indices to make decisions about which to include on a daily basis and in what volume.
Thanks for sharing your knowledge.
 

sidinuk

Active member
Dec 4, 2002
624
4
28
Surrey
www.online-futurestrading.com
#77
Week ending 24 March 2005.

Last week the system had a very poor week! On Tuesday we were long on most of the contracts (except NQ) prior to the Fed announcement so when the market turned south they were all stopped out for losers. The system only allows one trade per day so we were unable to take a short trade when we were stopped and missed what would have been a good profit on the second trade. During our backtest we found that overall taking a second trade is not a beneficial thing to do - however, sometimes we will miss some great moves like this.

NQ made a small profit last week of $90 but that was wiped out by losses of $340 on YM, $237.50 on ES, $530 on EMD and $570 on ER2. Our previous star performers (EMD and ER2) cost us the most last week - are they losing their appeal?

Check the daily results this week to see if we can recover!
 
Jul 25, 2004
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Belgium
#79
Hi to all.This is my first post and i'm pleased to read so much valuable information.
I like this thread in particular because i'm a struggling trader looking for a decent trading system to restart trading after 6 years! I recently downloaded the Excel control sheet and saw it was updated only until 13 /2.
Could someone post the complete Control Sheet with every H/L,triggered trade and profit /Loss until today?Thanks for your cooperation
 
Feb 22, 2004
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europe
#80
Hi, this system looks interesting. Could anyone do backtesting more to history ? At least from year 2000 or so ?
Where can i get code for this system ?
Id like to see backtested results of this system for more markets like ZB, EUR, AUD, CAD, USD, GBP, CHF. Is it possible ?

thank you very much
spajk
 
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