Ok Guys, sorry I'm late getting back, too busy I'm afraid. However for those that wanted to know the effect of applying a stop loss to this system. As we already know it's impossible to set a SL on a difference, one can only do that on a single market. The only way to apply a strict SL on this system is to watch and calculate all day. I'm not up for that, that's the reason I swing rather than day trade. Anyway I have made some calculations, using the same data from 1988 to present, based on a -100pt stop.
This one closes the trade at the DOW close if the trade has gone -100 or less. So in effect it takes the last price:
Largest gain: +378
Largest loss: -439
Total Pts: +13450
Winners: 668
Losers: 262
Strike Rate: 71.8%
If you are prepared to watch and calculate the difference all day and get out on -100pts, then this would be the result:
Largest gain: +378
Largest loss: -100
Total Pts: +23601
Winners: 668
Losers: 262
Strike Rate: 71.8%
As you can see the latter gives good results and keeps you from sweating on the long drawdowns, but you have to watch and calculate all day.
Here are some things I have noticed just looking at the data:
1. There was one 17 day period where 5 trades made +1413pts.
2. Usually winning trades are over in 4 days or less. The losing trades normally go on for a long time and this is something IK was aware of. There are still a few trades that come back after a large drawdown.
3. Sometimes the system really goes against you. I have seen trades where a losing trade gets reversed only for the next trade to lose as well and I'm talking big time..!! If the reverse had not been triggered then the first trade would have come back into profit.
Here's just one example and the worst:
1st trade:
4 days +329
18 days -1054
24 days -699 and gets the reverse trigger
Next trade:
1 day -389
13 days -1075
21 days -882 and reverse
This trade would have been OK if the first trade had not reversed.
Personally I think you need BALLS of STEEL to trade this system..
Hi robber, I am not the same guy as on ADVN, I'm the real snip..
Hi Mug2k, Be careful with this system, unless you can follow the markets all day, then my advice is to keep your stakes low.
Hope this helps...
Cheers Snip
This one closes the trade at the DOW close if the trade has gone -100 or less. So in effect it takes the last price:
Largest gain: +378
Largest loss: -439
Total Pts: +13450
Winners: 668
Losers: 262
Strike Rate: 71.8%
If you are prepared to watch and calculate the difference all day and get out on -100pts, then this would be the result:
Largest gain: +378
Largest loss: -100
Total Pts: +23601
Winners: 668
Losers: 262
Strike Rate: 71.8%
As you can see the latter gives good results and keeps you from sweating on the long drawdowns, but you have to watch and calculate all day.
Here are some things I have noticed just looking at the data:
1. There was one 17 day period where 5 trades made +1413pts.
2. Usually winning trades are over in 4 days or less. The losing trades normally go on for a long time and this is something IK was aware of. There are still a few trades that come back after a large drawdown.
3. Sometimes the system really goes against you. I have seen trades where a losing trade gets reversed only for the next trade to lose as well and I'm talking big time..!! If the reverse had not been triggered then the first trade would have come back into profit.
Here's just one example and the worst:
1st trade:
4 days +329
18 days -1054
24 days -699 and gets the reverse trigger
Next trade:
1 day -389
13 days -1075
21 days -882 and reverse
This trade would have been OK if the first trade had not reversed.
Personally I think you need BALLS of STEEL to trade this system..
Hi robber, I am not the same guy as on ADVN, I'm the real snip..
Hi Mug2k, Be careful with this system, unless you can follow the markets all day, then my advice is to keep your stakes low.
Hope this helps...
Cheers Snip
<i>Personally I think you need BALLS of STEEL to trade this system..</i>
The more I see of this the more I have to agree with the above. The data Snip used represents approx. 1988 to present ie. 15 years. A return of 13450 without a stoploss represents 897 points per annum or (assuming 200 trading days a year) 4.5 points a day on average.
With a stoploss this improves to 23601 points or 7.9 points a trading day.
So, to make this worthwhile lets assume you trade it at £10 per point to get a reasonable return but then you need to be able to hold when its £10 000 against you (no stops) or take a few £1000 losses (with a stop).
Titanium balls I think.
If you want a simpler system then go long on the Dow when it is up 96 points and short when it is down 96 points in any day. Stop if it reverses back through the previous day close and always close at the end of the day (no trades carry over and there are plenty of days with no trades entries). If you back test this you will find it is very profitable. I have not forward tested it. It might not work in the real world but at least it wont break you finding out.
The more I see of this the more I have to agree with the above. The data Snip used represents approx. 1988 to present ie. 15 years. A return of 13450 without a stoploss represents 897 points per annum or (assuming 200 trading days a year) 4.5 points a day on average.
With a stoploss this improves to 23601 points or 7.9 points a trading day.
So, to make this worthwhile lets assume you trade it at £10 per point to get a reasonable return but then you need to be able to hold when its £10 000 against you (no stops) or take a few £1000 losses (with a stop).
Titanium balls I think.
If you want a simpler system then go long on the Dow when it is up 96 points and short when it is down 96 points in any day. Stop if it reverses back through the previous day close and always close at the end of the day (no trades carry over and there are plenty of days with no trades entries). If you back test this you will find it is very profitable. I have not forward tested it. It might not work in the real world but at least it wont break you finding out.
Congrats to all for the work put in on this subject.
I declare I have an interest as I have traded with IK for a few months and thank him for the profit.
I followed all his calls religiously but was wary of his final exit call as 1) It looked like he just wanted to go. 2) the trade was in a loss. 3) I felt recovery was close, with the Dow about to rise.
4) The new trade often goes the wrong way at the beginning, meaning the old trade gets better.
Sure enough the trade has returned to profit and I'm smiling. But if those yanks haven't done a lot of consumer spending over this Thanksgiving weekend then the Dow is likely to take a tumble on Monday and the smile will disappear!
Anyway, to the point of this post:
How similar or otherwise are the systems being used ?
FOWKESP has shown a NET (after spread) points gain of 10707 over nearly
2 1/2yrs - approx 4280 per annum.
GECKOTIME has shown a NET 6705 points over 2 years - approx 3350 per annum.
SNIP has shown a (GROSS?) 13450 over 15 years - approx 896 per annum.
Snip, why do you think your figures are so far from the others?
Darren
I declare I have an interest as I have traded with IK for a few months and thank him for the profit.
I followed all his calls religiously but was wary of his final exit call as 1) It looked like he just wanted to go. 2) the trade was in a loss. 3) I felt recovery was close, with the Dow about to rise.
4) The new trade often goes the wrong way at the beginning, meaning the old trade gets better.
Sure enough the trade has returned to profit and I'm smiling. But if those yanks haven't done a lot of consumer spending over this Thanksgiving weekend then the Dow is likely to take a tumble on Monday and the smile will disappear!
Anyway, to the point of this post:
How similar or otherwise are the systems being used ?
FOWKESP has shown a NET (after spread) points gain of 10707 over nearly
2 1/2yrs - approx 4280 per annum.
GECKOTIME has shown a NET 6705 points over 2 years - approx 3350 per annum.
SNIP has shown a (GROSS?) 13450 over 15 years - approx 896 per annum.
Snip, why do you think your figures are so far from the others?
Darren
Snip, lets us know how that system jpwone told you about when you get round to testing it!!
1 thing!!
Everbody keeps coming up with different figures 4 the IK system which 1 is correct?? Snip said before that he tested all the way back to 1988 with all the action starting from 1999, why is that??
Mr chill, u seem 2 have followed this system maybe as long as me have you found it proffitable over a sustainable amount of time?
Also if anybody else has been following this system either on paper on in real life please let me know! or us know!!
Thanks guys
Mug2k
1 thing!!
Everbody keeps coming up with different figures 4 the IK system which 1 is correct?? Snip said before that he tested all the way back to 1988 with all the action starting from 1999, why is that??
Mr chill, u seem 2 have followed this system maybe as long as me have you found it proffitable over a sustainable amount of time?
Also if anybody else has been following this system either on paper on in real life please let me know! or us know!!
Thanks guys
Mug2k
Hi JPWone and Snips
I'm having trouble backtesting this "simple" system using Excel.
Are you using intraday data?
Trying to do this with EOD gives major losses with the figures suggested. Basically I'm trying to decide whether a trade would have been triggered using high and lows of the day and closing on stop loss at yesterday's close or end of trading.
Obviously some days both trades would trigger but not too many.
I'm having trouble backtesting this "simple" system using Excel.
Are you using intraday data?
Trying to do this with EOD gives major losses with the figures suggested. Basically I'm trying to decide whether a trade would have been triggered using high and lows of the day and closing on stop loss at yesterday's close or end of trading.
Obviously some days both trades would trigger but not too many.
Hi Peter
I've uploaded the excel spreadsheet to
http://www.tradingspreads.com/data/mechdow.xls
Hope this helps
I've uploaded the excel spreadsheet to
http://www.tradingspreads.com/data/mechdow.xls
Hope this helps
Glenn
Experienced member
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jpwone
Correct me if I'm wrong.
1. Can't see where you have accounted for the spread.
If each trade allows 10 points spread on entry and 10 on exit, then the final number of points will be rather different.
2. Shouldn't the stake sizes be an integer ?
3. What to build in for the skew factor (futs etc) ?
Glenn
Correct me if I'm wrong.
1. Can't see where you have accounted for the spread.
If each trade allows 10 points spread on entry and 10 on exit, then the final number of points will be rather different.
2. Shouldn't the stake sizes be an integer ?
3. What to build in for the skew factor (futs etc) ?
Glenn
Hi Glenn
I have found that usually i will get the entry point within a point or 2. The exit is at actual close so no spread if trading daily cash. Today I missed the entry by 5 points (target entry was 9878, actual entry was 9883). On occasions you will beat the entry price by a few points so I'm usually not too bothered if I'm within a few points. To be honest you can enter a couple of points earlier and this will more than compensate for the spread and slippage. The danger with entering too early is that there is more probability of a reversal.
Hope this helps
John
I have found that usually i will get the entry point within a point or 2. The exit is at actual close so no spread if trading daily cash. Today I missed the entry by 5 points (target entry was 9878, actual entry was 9883). On occasions you will beat the entry price by a few points so I'm usually not too bothered if I'm within a few points. To be honest you can enter a couple of points earlier and this will more than compensate for the spread and slippage. The danger with entering too early is that there is more probability of a reversal.
Hope this helps
John
It was not my intention to hijack the IK thread so I will start a new thread if anyone wishes to discuss this further.
new thread here
John
new thread here
John
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