Dow 96 point entry

jpwone

Well-known member
254 3
<b> Update </b>

Not done anything with this since the last post.

For clarification the 75 point entry is based on the overall average minus half the 100 day average ie. 96 - 40/2. This allowed more recent data to have some effect on the levels.

If the 100 day average had been higher then we would add half the difference between the overall and 100 day average.

I rounded the figures and should say that this is a finger in the air method of providing more relevance to the more immediate data whilst not losing the core underlying average.

Recent trading would have worked very well with this trigger level with each triggered trade generating a profit. It is fair to say that this should not in any way be assumed to be representative of the longer term system performance as it is far too small a sample period.

I have not been actively looking for a broker to facilitate these trades. It suspect that it will be difficult to strictly trade automatically as we are using actual Dow values for the entry triggers and stops but would be opening and stopping out at the SB companies prices. The entries I have checked recently could all have been hit on the SB price as well as the actual by watching for opportune moments once the actual is in range of the entry.
 

JonnyT

Senior member
2,560 22
Steve,

Any futures broker offer limit orders, stop orders, stop limiot orders etc etc.

Spreadbets are for mug punters.

JonnyT
 

GeckoTime

Member
70 0
Thanks for sharing this very interesting idea with us john... I will be taking a closer look over the coming days and weeks!
 

stevecartwright

Junior member
49 0
I could agree with you given the last few trades I have made. Whats the best way to trade the FTSE and DOW and who would you recommend I look at. I have read most of the reviews but can't find anyone better than ODL and IGIndex . The former only trade FTSE futures online and not the DOW. I prefer online trading
 

JonnyT

Senior member
2,560 22
It's $12.5 per pip.

This week hasn't been so good. I altered my software to implement an enhancement and after two days a bug surfaced that cost be $387 per contract. The bug has now been fixed.

A bad execution then cost me over $450 per contract. The system is in development so I have been using Market Orders, now going to enter/exit on Stop Limits which should reduce slippage even in fast moving markets.

JonnyT
 

75again

Newbie
6 0
Hi JonnyT

Any futures broker offer limit orders, stop orders, stop limiot orders etc etc.

Spreadbets are for mug punters.
and

recommend www.interactivebrokers.com

Cheap, decent trading platform, financially judged to be the USA's most stable broker.
Okay, how does using IB compare to using a spread bet company where (say) entry spread is 5 points and closed out at the end of the day at the mid point ?

Do IB offer daily trades that expire at the end of the day?
What are the level of spreads?
If a limit buy is set and triggered, is there an option to get an alert of trade opened emailed to you?

I suppose this is a long winded way of asking why a futures broker is better than a spread bet company?

Whilst I’m here – I’ve read at lot of your posts and I’m interested in learning to trade the currency markets; any pointers/threads you’d suggest? I’d heard the EUR/USD was a good place to start…would applying (with tweaks as appropriate) JPWone’s system to the forex markets work, for example?

Thanks for your help

75
 

JonnyT

Senior member
2,560 22
Hi 75,

With a futures broker the spread is generally 1 and there are no games played like the SBs do. So you do get the market price at the time not some false price that may not be to your advantage.

Different brokers offer different types of orders, go to www.interactivebrokers.com and have a look at what they offer.

JPWones system with minor tweaks does work on Forex.

I trade the EUR/USD using two systems. One has a 30 point stop, one has a 5 point stop. Both trail the market with 30 points.

Average for both systems is around 11 points per trade net.

JonnyT
 

75again

Newbie
6 0
Thanks, JonnyT, for your reply.

I like what you say about the spread and lack of bias.

I have popped over to IB and will consider opening an account with them, instead of switching from D4F to e.g. capital spreads; but can I trade the daily DOW cash with them? Or is it trading the DOW futures (apologies for my ignorance). I have heard there is something called the mini DOW…?

I have downloaded the spreadsheets earlier in this thread, but there didn't seem to be any difference in the cash index OHLC (from JPWone) and the futures OHLC (after Mombassa, JonnyT)...am I missing something here? Hence I have been playing around with the JPWone data...please tell me if this is wrong if about to switch to use IB.

This is slightly off topic (hope you don’t mind, JPWone – great thread, btw) but where can I get OHLC data for the forex markets from?

I hear that these markets ‘trend’ better, and hence my interest in seeing if a break out system would be better suited to them.

I trade the EUR/USD using two systems. One has a 30 point stop, one has a 5 point stop. Both trail the market with 30 points.
Okay, you lost me here. How do both trail the market with 30 points if one of them has a 5 point stop??

Apologies for the rambling and cheers Jonny.

Kind regards

75
 

JonnyT

Senior member
2,560 22
Hi jp,

My Forex method is staying confidential but I have given you the money management bit.

Have a look at the times of day when trends tend to start (There are two) and work around those.

75,

The daily cash is a figment of the spreadbet companies imagination. You cannot trade it in real life. You really do have to test systems using futures data as the SBs quotes are based on the underlying futures market.

JonnyT
 

mmillar

Guest
330 5
There are two ways to skin a cat...

I know a number of you are still working on this, so I thought I would try a different approach to see what happens. :)

As well as using long term backtesting to try and find a formula that will give you the best trades going forward you can also backtest on very short term data and then over-optimize the results to tell you what to do next (the idea is that what happened several years ago isn't relevant but what happened last week/month is). So, for instance, you optimize on January's data to find the best entry price in January, then you use that entry price for February. Then at the end of February you optimize on February and use that entry price for March etc etc. Effectively, you are trying to see if the best entry price for one month has any relationship with the best entry price for the following month.

I've attached a spreadsheet that shows the results of optimizing for each month. The most important worksheet is the Summary sheet. I have split the results into Longs and Shorts. The stop is 50 points from entry. In Column A is the Entry Level (so 70 means 70 points above yesterday's Close). You can see that, for example, the best Long Entry Level for December 2002 was 70 (giving you $107 profit), but if you had used 70 as your Entry Level in January 2003 you would only have made $381, whereas the best entry level in January was at 10 (giving $619 profit). If you then used 10 as your Entry Level for February you would have lost $356. I hope this makes sense. :|

Unfortunately, I couldn't find a relationship between one month and the next. :cry: You can see that months like February and August on the long side produce losses whatever Entry Level you have. The best results come from using 60 on the Long side and -60 on the Short side right throughout the year. But you have no guarantee that these levels will work going forward.
 

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rglenn

Well-known member
379 4
Thanks for that Mmillar

That has been extremely helpful for further studies.

The Dow has definitely been cracked but we need to fine tune things.

I will post my full system when I have refined it enough.

All the best