Frugi's "Vince" system

frugi

1
1,827 126
Just for a laugh I backtested the rather poor system posted on my website and it actually turned out a half reasonable result, although in the months following (Feb 2004 - now) it has taken a hiding.

Very simple rules:

60 minute ES chart 2.30-9.15 GMT

Buy (and cover if necessary) if 7 EMA crosses up through 25 EMA and is still above at close of bar
Sell (and short if necessary) if 7 EMA crosses down through 25 EMA and is still below at close of bar
Use a 19 pt initial stop loss. At EOD move stop to 19 pts away from close if close is in a profitable direction otherwise leave it.
Take profits if 62 points profit attained at close of any bar

Obviously as this is a nearly always in system the buy and sell signals are usually used to stop and reverse.

I would also consider increasing stake after 10 consecutive losses until next win and decreasing it after 5 winners until next loss. Losses are caused by consolidation therefore after an extended period of consolidation you'd expect a nice big trend.

Tested using 2 contracts allowing for $35 slippage at entry and exit and no commission. This is because the deal4free spread on SPX futures is 0.7 therefore you will pay spread of 0.35 a point from the mid price a side. Trading 2 real contracts this would equal $35. Trading direct thru IB u could expect $29.80 a side ($2.40 * 2 commission and $12.50 * 2 for 1 tick slippage).

This is my first attempt a programming so there may well be errors. I have a feeling the drawdown is wrong but I haven't worked out why yet!

In the real world, using a £18k account at £5 per point, it risks about 3% per trade (based on average loss cause the catastrophe stop is rarely hit) and if you had 10 consecutive average losers you'd lose 30% of your capital. Average return about 36% a year on 18k. This is why I'm not so keen to use it! But maybe this ain't so bad?

I've calculated the average loss and return by testing 1,2,3,4,5 and 6 yrs and taking an average of the average loss and return per test period. Clear? :)

The screenshot that follows is for the longest test, over 6 yrs. The return for this at £5 per point is more like 50% but we don't want to be too optimistic do we.

Also bear in mind the risk involved in holding over the weekend when SBs and Globex are shut, unless u are using SB guaranteed stops (more expensive, more slippage, grrr). not sure what to do about this; I may have to incorporate a market on close if a position is open at 9.14 on Friday night and then re-enter at the open on Monday. Time for more tests then.
 
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frugi

1
1,827 126
screenshot

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frugi

1
1,827 126
I can see it fine - have you expanded it JonnyT? If it still doesn't work I'll rustle up a JPEG for you. Mind you I've just realised a flaw - big weekend risk because stops are not guaranteed unless you pay the SB for the privilege.
 
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frugi

1
1,827 126
Here it is with no stop loss, i.e. all trades closed by a crossover during trading hours. Results are a little worse, but not by much. The largest losing trade is much larger though, which will affect the drawdown.

The results benefit unduly from Sep 11 2001 as the system was short. Even the trailing stop is overshot by 30 points when the market opened on Monday 17/9. I should perform more tests that exclude this date as the trade is a rare anomaly.

09/04/2001 21:15 EMAsellANDshort: SELLSHORT 4 ES`H at 1130.75 price.
09/17/2001 15:30 trail_if_short: COVER SHORT 4 ES`H at 1038.75 with a gain of $18,380.80.
09/24/2001 21:15 EMAbuy: BUY 4 ES`H at 1007.75

A catastrophic event could still cause a huge loss.
 

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growltiger

Member
91 0
The losses in consolidation phases are inevitable in a moving average crossover system. The whipsawing is also responsbile for the fact that you can get 10 successive losers combined with a max drawdown of only $1,750. I suspect that this is, however, a system where the unspectacular results are reasonably robust. But personally, I dislike this type of system, because the lags mean you can see while it plays that the results are not optimal, and that gets terribly irritating (the irritation being possibly even worse than loss of money occasioned by second guessing the system).
 
 
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