Knowledge Lab System

[JonnyT]

Hi folks,

I thought I would carry out some intial testing on what looks to be a basic system, sort of preempting part II if you like.

The initial system traded a break of the 09:30 - 11:45 range.

I have used this range for the December 04 contract and tried various stop loss strategies but always exited at the close i.e. 16:00

The results obtained are promising:

Stop Loss Points Avg Trade Max Draw
Non 432 8.82 166
35 458 9.35 115

My initial thought is that this warrants further attention.

Please bear in mind that no account has been made for slippage or costs etc and the data set is limited.

The other plus is that my software Spot On can trade this system out of the box!

JonnyT

 

[JonnyT]

And the September 2004 contract...

Stop Pts Ave Trade Max Draw
None 688 10.75 231
35 659 10.3 125

Again promising.

JonnyT

 

[sidinuk]

Good to see your findings agree with mine, Jonny!

In part II of my article there's a couple of little extras which help to increase the profit per trade a little bit. Obviously anything you can find to help would be a bonus for everyone.

 

[JonnyT]

Actually due to a minor bug my findings are slightly different but very close taking 16:15 EST as the exit. Exiting at 16:00 EST produced 7-8 points per trade.

I simulated this today using my existing Spot On Software.

Here is a screen shot of todays action ;o)

 

[ivorm]

What system does this refer to ?

 

[Daniel]

What system does this refer to ?

Johnny is talking about the system outlined in Sidinuk's article here

http://www.trade2win.com/knowledge/articles/general articles/developing-a-trading-strategy

 

[ivorm]

Johnny is talking about the system outlined in Sidinuk's article here

http://www.trade2win.com/knowledge/articles/general articles/developing-a-trading-strategy

Thanks Daniel.

 

[sidinuk]

Just wait for Part II of the article! It includes a filter that would have kept you out of the market today and thus prevent your 35 point loss.

 

[JonnyT]

I'm waiting with baited breath!

When can we expect part II?

JonnyT

 

[sidinuk]

Should be on-line next week.

BTW another filter rules out trading the system today as well - It'll probably be a scorcher now, we'll see!