Dow 96 point entry

[sidinuk]

I totally agree with Jonnyt.

There is a significant difference between backtesting using the cash index and futures. The cash index really does flatter any system. Basically the futures move around a lot more than the cash and the futures data will also take account of the bid/ask spread. Obviously for spreadbetting you need to add a few more points in each direction to account for the increased spread that they offer.

Basically there will be times when you narrowly escape being stopped out on the cash index but which would be stopped on the futures. These will make a big difference to your overall results.

If you do want to use the cash to simulate SB prices then I suggest you allow 10 pts each way for testing. So if your long and your stop is 10400, count it as stopped out at 10400 if the cash price hits 10410. If your still profitable then, then your probably on to a winner!

 

[JonnyT]

The Daily Cash prices with a Spreadbet Company bear no relation to the actual cash index. The Spreadbet quotes move more than the cash index resulting in trades being stopped out or initiated when the y wouldn't have been with the cash Index

The SBs daily cash prices are more closely corralated with the underlying future than the cash index.

For this reason backtesting on non futures data is totally wrong.

I have developed many systems that work fantastically on the Daily Cash but actually lose in reality. You really do have to use futures data to stand any chance of getting results anywhere near the same ballpark in reality.

In case you havent heard:

YOU CANNOT TRADE THE DAILY CASH

I'm trying to be constructive here and give people the benefit of 3 years plus system development risking real money in real markets using both Spreadbets and Direct Access futures.

I have tested this system and it produced large losses for the December 03 contract. I hope all the followers out there can handle events that the backtesting suggests don't happen...

Again using the daily cash data I think the returns in reality will only be 25% of the expected at most. This alters the risk profile considerably.

Given opportunity I'll knock up a spreadsheet with futures data corresponding to this system.

JonnyT

 

[jpwone]

Hi JT

Believe me I do appreciate the cautionary note you are waving and believe the system needs more work even though on the face of it it seems profitable as it stands.

I value your comments and do think that with any system you need others to look, comment and criticise. Hopefully, as we go through a few iterations of this process of development we will accommodate all views. It would be foolish of me to ignore a view which I respect in the development of the system.

I still see the system as an early beta. We have a concept which on the face of it looks to be profitable. If it can be developed further and proves itself to be robust then I will trade it. The instrument used for trading will be part of the development and I don't have a problem with developing based on cash but with a view to moving the work to futures once I am happy that we have a robust base system. I don't think it is an issue at this point of the development.

Looking forward to your continued input to this project.

 

[JonnyT]

Some results

Using +-75 from prior close. Don't trade if market gaps more than +-75 points, stoploss 75 points, close at EOD

Sep 03 Futures contract

16/06/2003 Long 9217.0000 9292.0000 75.0000
18/06/2003 Short 9215.0000 9290.0000 -75.0000
19/06/2003 Short 9189.0000 9149.0000 40.0000
23/06/2003 Short 9088.0000 9051.0000 37.0000
25/06/2003 Short 9008.0000 8993.0000 15.0000
26/06/2003 Long 9068.0000 9058.0000 -10.0000
27/06/2003 Short 8983.0000 8958.0000 25.0000
30/06/2003 Long 9033.0000 8958.0000 -75.0000
07/01/2003 Short 8880.0000 8955.0000 -75.0000
07/02/2003 Long 9095.0000 9122.0000 27.0000
07/03/2003 Short 9047.0000 9037.0000 10.0000
07/09/2003 Short 9123.0000 9140.0000 -17.0000
07/10/2003 Short 9065.0000 9015.0000 50.0000
07/11/2003 Long 9090.0000 9096.0000 6.0000
15/07/2003 Short 9071.0000 9109.0000 -38.0000
16/07/2003 Short 9034.0000 9086.0000 -52.0000
17/07/2003 Short 9011.0000 9039.0000 -28.0000
18/07/2003 Long 9114.0000 9152.0000 38.0000
21/07/2003 Short 9077.0000 9079.0000 -2.0000
22/07/2003 Long 9154.0000 9136.0000 -18.0000
24/07/2003 Long 9252.0000 9177.0000 -75.0000
25/07/2003 Long 9167.0000 9254.0000 87.0000
29/07/2003 Short 9160.0000 9235.0000 -75.0000
08/01/2003 Short 9123.0000 9137.0000 -14.0000
08/04/2003 Short 9062.0000 9137.0000 -75.0000
08/05/2003 Short 9075.0000 8971.0000 104.0000
08/06/2003 Long 9046.0000 9031.0000 -15.0000
08/07/2003 Long 9106.0000 9107.0000 1.0000
08/12/2003 Long 9282.0000 9285.0000 3.0000
18/08/2003 Long 9387.0000 9402.0000 15.0000
21/08/2003 Long 9468.0000 9393.0000 -75.0000
22/08/2003 Long 9492.0000 9417.0000 -75.0000
26/08/2003 Short 9245.0000 9320.0000 -75.0000
28/08/2003 Short 9255.0000 9330.0000 -75.0000
09/02/2003 Long 9486.0000 9517.0000 31.0000
09/05/2003 Short 9510.0000 9491.0000 19.0000
09/08/2003 Long 9566.0000 9579.0000 13.0000
09/09/2003 Short 9504.0000 9512.0000 -8.0000
09/10/2003 Short 9437.0000 9418.0000 19.0000
09/11/2003 Long 9493.0000 9463.0000 -30.0000
09/12/2003 Short 9388.0000 9463.0000 -75.0000

Win 19
Win % 46.34
Avg Win 32.36842105
Lose 22
Lose % 53.66
Avg Lose 48.04545455
Total -442.0000
Equity High 107.0000

Max Draw 549.0000
Max Draw Date 12/09/2003

Profit Factor 0.673704128


Dec 03 Futures contract

16/09/2003 Long 9497.0000 9529.0000 32.0000
18/09/2003 Long 9599.0000 9625.0000 26.0000
22/09/2003 Short 9533.0000 9505.0000 28.0000
24/09/2003 Short 9451.0000 9389.0000 62.0000
25/09/2003 Short 9314.0000 9305.0000 9.0000
29/09/2003 Long 9352.0000 9343.0000 -9.0000
30/09/2003 Short 9268.0000 9252.0000 16.0000
10/01/2003 Long 9327.0000 9428.0000 101.0000
10/09/2003 Long 9698.0000 9623.0000 -75.0000
13/10/2003 Long 9733.0000 9733.0000 0.0000
17/10/2003 Short 9691.0000 9699.0000 -8.0000
22/10/2003 Short 9648.0000 9583.0000 65.0000
24/10/2003 Short 9505.0000 9569.0000 -64.0000
28/10/2003 Long 9650.0000 9725.0000 75.0000
11/03/2003 Long 9846.0000 9841.0000 -5.0000
11/12/2003 Long 9799.0000 9841.0000 42.0000
14/11/2003 Short 9750.0000 9760.0000 -10.0000
17/11/2003 Short 9685.0000 9698.0000 -13.0000
19/11/2003 Short 9623.0000 9698.0000 -75.0000
20/11/2003 Short 9619.0000 9694.0000 -75.0000
24/11/2003 Long 9710.0000 9745.0000 35.0000
12/01/2003 Long 9874.0000 9891.0000 17.0000
12/03/2003 Long 9922.0000 9874.0000 -48.0000
12/05/2003 Short 9852.0000 9860.0000 -8.0000
12/08/2003 Long 9935.0000 9955.0000 20.0000
12/11/2003 Long 9995.0000 10013.0000 18.0000
16/12/2003 Long 10093.0000 10120.0000 27.0000

Win 16
Win % 59.26
Avg Win 35.8125
Lose 11
Lose % 40.74
Avg Lose 35.45454545
Total 183.0000
Equity High 295.0000

Max Draw 177.0000
Max Draw Date 05/12/2003

Profit Factor 1.010096154


Better but still not viable.

No account made for spreads and slippage. i.e. results are perfect entry and exit no costs.

JonnyT

 

[ChowClown]

I've been forward testing using CapitalSpreads demo account since 3/12/03, using £2/pt on the daily contracts (not DEC, MAR etc). Entries have (so far) always been filled at trigger price.

So far - 7 Buy triggers and 3 Sell triggers - P&L -£27.20p.

Intending to follow this system as it develops and keep testing.

 

[Dow Dog]

Worth a green vote JonnyT

 

[mug2k]

This sytem seems quite good but sitting in front of the P.C every trading day seems a bit much, I would much rather trade a EOD style system which can run by itself with minimal effort. Much more appealing, anyway jpwone keep up the good work you'll get there eventually.

Nice thread tho mate, I like to see everyone coming together and talking like civilised adults, or am I dreaming.

Anyway I give you respect Jpwone

Regards

SMK

 

[MCGF]

U mean we dont speak like civilzed adults on ur thread mugsy?

 

[JonnyT]

Mug,

I've just demonstrated that the system hasn't worked for at least 6 months!!!

JonnyT

 

[MCGF]

Oops!

 

[Mr Chill]

JonnyT

Maybe you should try using SB .

 

[sidinuk]

hey JonnyT, it makes you just want to give up trying to be helpful and just post sarcastic comments instead doesn't it!!

 

[JonnyT]

When will people get it.

If it doesn't work with Direct Access then it sure aint going to work with Spreadbets.

Thanks for the support sidinuk, I only wish others would benefit from our market experience when it absolututely obvious they are naive beginners.

You try to be helpful and what do you get?

Maybe I should stop posting here.

JonnyT

 

[MCGF]

Maybe

 

[Mr Chill]

Sorry only making a suggestion ,and no i was'nt being sarcastic
some people myself included make a very good living using SB .
No need to get out of your pram

 

[MCGF]

Yeah calm down jonny boy!

 

[sidinuk]

JonnyT, I for one would miss your contributions if you didn't post. I'm sure there are plenty of people who have taken on board some of your comments over the years and have benefited from them.

The point is guys, experience comes at a cost both in terms of time and money. JonnyT is trying to save you both by imparting his own considerable experience. If you don't want to take it on board then fine, it'll cost you time and money to discover it for yourself.

 

[MCGF]

He was the one who got shirty!

 

[Mr Chill]

Yeah ,maybe he should change his name to Mr Angry ,go with his little red suit ,

 

[MCGF]

Lol!

For once mr chill we seem to be signing from the same hymn book!