I bow to JT's greater experience, but in the 18 months I have been making my living as a full-time trader I have had very little trouble getting a price from SB's which mirror the underlying index, and looking at the previous six months of intraday data, JP's figures are accurate.
So far the thread has generated 202 replies the majority of which have been on topic and relevant.
I value the views of all with respect to the system. The end result will be it is pursued until shown to be useless or it will develop until it is useful. The system needs its critics as well as its champions. The views of both will push the development forward.
What we don't need is the personal sniping and point scoring. There are other boards, threads and mediums which are more appropriate. Disagreement is fine by me but can we try and stay on topic.
I welcome the views of those that rationally and properly construct an arguement which causes myself or others to consider our views on this topic.
There are many examples of many things which could not be done and which would never work (planes, jet engines, travel faster than the speed of sound etc.). We can take any of these and see with hindsight that it is vision and perserverance which got them into mainstream acceptance. Many ideas fail because whatever you do and however hard and long you try they are doomed to fail because they are just not achievable. I do not believe that this as an idea is dead. It needs work and it needs testing and if after some more work and some more testing I am not happy that it is a goer then I will drop it.
So, comment on and criticise the system. Both are equally welcome but lets stay on topic please.
I value the views of all with respect to the system. The end result will be it is pursued until shown to be useless or it will develop until it is useful. The system needs its critics as well as its champions. The views of both will push the development forward.
What we don't need is the personal sniping and point scoring. There are other boards, threads and mediums which are more appropriate. Disagreement is fine by me but can we try and stay on topic.
I welcome the views of those that rationally and properly construct an arguement which causes myself or others to consider our views on this topic.
There are many examples of many things which could not be done and which would never work (planes, jet engines, travel faster than the speed of sound etc.). We can take any of these and see with hindsight that it is vision and perserverance which got them into mainstream acceptance. Many ideas fail because whatever you do and however hard and long you try they are doomed to fail because they are just not achievable. I do not believe that this as an idea is dead. It needs work and it needs testing and if after some more work and some more testing I am not happy that it is a goer then I will drop it.
So, comment on and criticise the system. Both are equally welcome but lets stay on topic please.
Bigbusiness
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JonnyT is spot on as usual and it is a shame more people don't make the effort to understand the basics of system trading.
Perhaps he should hold a poll like he did a few years ago
http://boards.fool.co.uk/Message.asp?mid=6823783
Perhaps he should hold a poll like he did a few years ago
http://boards.fool.co.uk/Message.asp?mid=6823783
Quint,
There is no way any UK Spreadbet Companys quotes mirror the actual index.
For one the actual index has no spread.
Deal4free for example can change the quote by 6 points for zero move on the index simply by thinking the market is going to change direction.
Surely if they mirrored the actual index then there would be no dealing before 08:00 and after 16:30?
I have demonstrated that the last 6 months trading this system with real money would have lost money using futures with a spread of 1. It is 99.9% certain that using spreadbets with a spread of 3+ and bias woould have done worse. If you think otherwise then good luck to you all. I'll gladly take the other side of the trades.
I am trying to help and be constructive. You simply have to use futures data if you hope to produce a viable trading system using spreadbets or futures.
OK Guys post actual trades here using the spreadbets including dates and times so they can be verified if you really think I'm wrong.
The truth is out there, but most of you don't want to see it.
I've been down the same road a couple of years or more ago and a guy called Richard put me on the correct path. I'm trying to do the same for you lot, not trying to pick a fight.
JonnyT
There is no way any UK Spreadbet Companys quotes mirror the actual index.
For one the actual index has no spread.
Deal4free for example can change the quote by 6 points for zero move on the index simply by thinking the market is going to change direction.
Surely if they mirrored the actual index then there would be no dealing before 08:00 and after 16:30?
I have demonstrated that the last 6 months trading this system with real money would have lost money using futures with a spread of 1. It is 99.9% certain that using spreadbets with a spread of 3+ and bias woould have done worse. If you think otherwise then good luck to you all. I'll gladly take the other side of the trades.
I am trying to help and be constructive. You simply have to use futures data if you hope to produce a viable trading system using spreadbets or futures.
OK Guys post actual trades here using the spreadbets including dates and times so they can be verified if you really think I'm wrong.
The truth is out there, but most of you don't want to see it.
I've been down the same road a couple of years or more ago and a guy called Richard put me on the correct path. I'm trying to do the same for you lot, not trying to pick a fight.
JonnyT
JT
Now I get where you're coming from. I had to re-read this twice to understand. I agree, you can't trade SB cash index with this method. Maybe you misunderstood my question...... which was to assert that trading a cash index is non existant with direct access. It only exists in the SB world.
Now I get where you're coming from. I had to re-read this twice to understand. I agree, you can't trade SB cash index with this method. Maybe you misunderstood my question...... which was to assert that trading a cash index is non existant with direct access. It only exists in the SB world.
JT,
Of course the SB spread has to be taken into account. All I know is that I have been trading a system similar to this for a year without any problems and with some success. If the SB price is too far from the underlying index I don't place the bet. Based on my previous experience and using intraday charts I still believe JP has the basis of a system which would work, but I guess only forward testing will prove it one way or the other.
Of course the SB spread has to be taken into account. All I know is that I have been trading a system similar to this for a year without any problems and with some success. If the SB price is too far from the underlying index I don't place the bet. Based on my previous experience and using intraday charts I still believe JP has the basis of a system which would work, but I guess only forward testing will prove it one way or the other.
bansir
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Hi MMillar, good points-
For an intra-day system you need intra-day data - OHLC data makes the system look really good but ignores all the intra-day stops and losses. e.g. (assume you triggers are at +/- 75, stop is at 50) If the market started at 10000, then down to 9025, then upto 10000, then closed at 9000. On paper it looks like you made 25 points, when in reality you would have been stopped at -50 points.
Yes, I agree with your first paragraph, although in my book I would have lost 75pts since I'm only allowed one short and one long per day. Even worse!
So would have gone short at 9025 (9925 in reality unless 975 swings are on the way then been stopped out at the return to 1000 for -75. The subsequent fall to 9900 would have hidden the true events as you point out.
When you are trying to model the SB numbers, why not just use the futures data? It's much more accurate then trying to second guess the SBs.
I thought it would be interesting just to experiment with the price swings to see how it affected the system, yes I should use the futures data. But would it be even better to use the SB company quotes? There must be a way of reading these into a file to build up a database? Perhaps the JAVA crowd have the answer?
re your post above about your system being triggered at 10460 when the market only got to 10466. If I understand correctly shouldn't you base your triggers on the Index and then just take the SB price? That way you know you are getting triggered correctly and just have to assume a certain slippage.
As well as the backtests, I have been forward testing using the SB bid price for setting the trigger levels and then using the SB bid/offer prices to trigger those levels. The idea was to make the
paper test as realistic as possible.
'I can't make the system lose money at all' - sorry to be a damp squib but that's not the issue. It's how it made that money. If a system takes 10 trades, makes $1000 on the first one and then loses $50 each on the other 9, you still have a system that 'makes $550!'. But in reality it's a terrible system that is untradeable. You have to look deeper into the numbers to work out what is going on.
I was just surprised that I couldn't get the SS to give a negative bottom line return.
Thanks very much for your comments, very welcome and much appreciated.
Thanks also to rglenn for his reply.
And...
If your still there JonnyT, thanks for your words; you're passion to save people from themselves is reminiscent of the Plastic Tortoise
Now, where did I put that futures intraday data? :cheesy:
Best Regards,
Neil
For an intra-day system you need intra-day data - OHLC data makes the system look really good but ignores all the intra-day stops and losses. e.g. (assume you triggers are at +/- 75, stop is at 50) If the market started at 10000, then down to 9025, then upto 10000, then closed at 9000. On paper it looks like you made 25 points, when in reality you would have been stopped at -50 points.
Yes, I agree with your first paragraph, although in my book I would have lost 75pts since I'm only allowed one short and one long per day. Even worse!
So would have gone short at 9025 (9925 in reality unless 975 swings are on the way
then been stopped out at the return to 1000 for -75. The subsequent fall to 9900 would have hidden the true events as you point out.When you are trying to model the SB numbers, why not just use the futures data? It's much more accurate then trying to second guess the SBs.
I thought it would be interesting just to experiment with the price swings to see how it affected the system, yes I should use the futures data. But would it be even better to use the SB company quotes? There must be a way of reading these into a file to build up a database? Perhaps the JAVA crowd have the answer?
re your post above about your system being triggered at 10460 when the market only got to 10466. If I understand correctly shouldn't you base your triggers on the Index and then just take the SB price? That way you know you are getting triggered correctly and just have to assume a certain slippage.
As well as the backtests, I have been forward testing using the SB bid price for setting the trigger levels and then using the SB bid/offer prices to trigger those levels. The idea was to make the
paper test as realistic as possible.
'I can't make the system lose money at all' - sorry to be a damp squib but that's not the issue. It's how it made that money. If a system takes 10 trades, makes $1000 on the first one and then loses $50 each on the other 9, you still have a system that 'makes $550!'. But in reality it's a terrible system that is untradeable. You have to look deeper into the numbers to work out what is going on.
I was just surprised that I couldn't get the SS to give a negative bottom line return.
Thanks very much for your comments, very welcome and much appreciated.
Thanks also to rglenn for his reply.
And...
If your still there JonnyT, thanks for your words; you're passion to save people from themselves is reminiscent of the Plastic Tortoise
Now, where did I put that futures intraday data? :cheesy:
Best Regards,
Neil
Last edited:
Bansir
Just trying to help with a comment from someone who is definitely NOT a systems person, but who has been whipped by the bias!
You mentioned that it would be nice to test this against the actual SB data - of course it would but I still don't see how this can help a mechanical systematic approach, due to the discretionary nature of the data you would be using.
You mentioned that you've been trading a similar system but don't take trades if the bias is wrong. I certainly know how you feel as I'm sure do others! My question is this - how can a mechanical system utilise this discretionary influence?
This also raises other questions -
Do all the SB companies use the same software to drive the
prices? I doubt it.
Is there a discretionary element to the way the bias can quickly swing? I wonder?
Anyway, just my 2c worth (probably is only worth that - JUST!!) in an effort to help.
Cheers
Quercus
Just trying to help with a comment from someone who is definitely NOT a systems person, but who has been whipped by the bias!
You mentioned that it would be nice to test this against the actual SB data - of course it would but I still don't see how this can help a mechanical systematic approach, due to the discretionary nature of the data you would be using.
You mentioned that you've been trading a similar system but don't take trades if the bias is wrong. I certainly know how you feel as I'm sure do others! My question is this - how can a mechanical system utilise this discretionary influence?
This also raises other questions -
Do all the SB companies use the same software to drive the
prices? I doubt it.
Is there a discretionary element to the way the bias can quickly swing? I wonder?
Anyway, just my 2c worth (probably is only worth that - JUST!!) in an effort to help.
Cheers
Quercus
bansir
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Hi Quercus,
Thanks for your 2c worth...not sure if I can answer but here goes:
I guess the discretionary part involves getting a decent fill as you rightly point out. For paper trading I tend to take the worst bid or offer price available on the 1min bar which has triggerd my entry or exit.
I suppose pure mechanical system by definition has no room for discretion. The trading then becomes emotion free (yeah right!) as we follow our system. As far as I am aware, I'm just using entry and exit triggers and no discretion at all.
Just for interest heres this weeks paper trading using +/-75 method.
D4F quotes straight off the screen.
date stop Buy lim. Sell lim. Close pts rolling tot.
5/1 10417 10492 10342 10535 +43 43
6/1 10535 10610 10460 10535 0 43
7/1 10535 10610 10460 10518 -58 -15
8/1 10518 10593 10443 10580 0 -15
9/1 10580 10655 10505 10464 41 26
I used 14:45 and 20:45 as my Open and Close times; No reason-just like it that way
All the best,
Neil
Thanks for your 2c worth...not sure if I can answer but here goes:
I guess the discretionary part involves getting a decent fill as you rightly point out. For paper trading I tend to take the worst bid or offer price available on the 1min bar which has triggerd my entry or exit.
I suppose pure mechanical system by definition has no room for discretion. The trading then becomes emotion free (yeah right!) as we follow our system. As far as I am aware, I'm just using entry and exit triggers and no discretion at all.
Just for interest heres this weeks paper trading using +/-75 method.
D4F quotes straight off the screen.
date stop Buy lim. Sell lim. Close pts rolling tot.
5/1 10417 10492 10342 10535 +43 43
6/1 10535 10610 10460 10535 0 43
7/1 10535 10610 10460 10518 -58 -15
8/1 10518 10593 10443 10580 0 -15
9/1 10580 10655 10505 10464 41 26
I used 14:45 and 20:45 as my Open and Close times; No reason-just like it that way
All the best,
Neil
bansir
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Hi JonnyT,
OK, it does look poor on a points per trade basis,but I thought I had accounted for the slippage by taking the worst possible entry quote available within the one minute candle which triggerd the entry/exit. I guess the actual fills may not happen within the minute?
How many points per trade do you reckon we should allow for slippage to be realistic?
All the best,
Neil
OK, it does look poor on a points per trade basis,but I thought I had accounted for the slippage by taking the worst possible entry quote available within the one minute candle which triggerd the entry/exit. I guess the actual fills may not happen within the minute?
How many points per trade do you reckon we should allow for slippage to be realistic?
All the best,
Neil
I would allow a point each side minimum.
The only way to find out exactly is to actually trade the method for at least a few weks.
That would give 3 points per trade which in my veiw is not viable for anything other than a scalping system which this evidently is not.
My backtests also show it doesn't work in the real market...
JonnyT
The only way to find out exactly is to actually trade the method for at least a few weks.
That would give 3 points per trade which in my veiw is not viable for anything other than a scalping system which this evidently is not.
My backtests also show it doesn't work in the real market...
JonnyT
The Wanderer
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Been following system for just over 1 week using 75 point entry and 50 point stop loss.Obviously much too short a time scale to make any clear conclusion but out of interest these are the figures:
20/1/04.Sell at 10525.Closed at 10529.-4 points
21/1/04.Buy at 10611.Closed at 10624.+13 points
23/1/04.Sell at 10546.Closed at 10568.-22 points
26/1/04.Buy at 10641.Closed at 10703.+62 points
27/1/04.Sell at 10631.Closed at 10610.+21 points
28/1/04.Sell at 10535.Closed at 10468.+67 points
Total profit 137 points.
Does anybody have figures for a full month :?: Be interesting to see how it goes in February.
20/1/04.Sell at 10525.Closed at 10529.-4 points
21/1/04.Buy at 10611.Closed at 10624.+13 points
23/1/04.Sell at 10546.Closed at 10568.-22 points
26/1/04.Buy at 10641.Closed at 10703.+62 points
27/1/04.Sell at 10631.Closed at 10610.+21 points
28/1/04.Sell at 10535.Closed at 10468.+67 points
Total profit 137 points.
Does anybody have figures for a full month :?: Be interesting to see how it goes in February.
Wanderer,
I've been forward testing using capitalspreads (5 point daily DOW cash spread) since 3rd Dec and the the pot has increased 6.3% - I'm using jpwone's latest posted version with the 100 day MA triggers and stops set at previous close. The return through Fins (and possibly d4f) might be better - I've not compounded the stakes as well with capital as they don't seem to allow pounds and pence per point as Fins do for eg.
I've been forward testing using capitalspreads (5 point daily DOW cash spread) since 3rd Dec and the the pot has increased 6.3% - I'm using jpwone's latest posted version with the 100 day MA triggers and stops set at previous close. The return through Fins (and possibly d4f) might be better - I've not compounded the stakes as well with capital as they don't seem to allow pounds and pence per point as Fins do for eg.
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