Lets all join the Millionaires CLub

FetteredChinos

Veteren member
3,897 40
Afternoon all,

Welcome to Chinos' trading strategy mark 6. Thought i would throw this one out to you guys for some critique.

V6 is again simple to operate, and the usual caveats apply about using yahoo historical data, but i have been simming it for the last few days on paper and its looking quite promising.

Looks like we are getting in the region of 35 points a day. recent performance hasnt been too hot - down nearer 25 a day, but still pretty solid!! and best of all, it is ludicrously simple, and is based upon support and resistance levels. curiously though, and this is a big worry, is that it only seems to work on the US markets, as the FTSE and the Nikkei prefer the opposite entry rules. ho hum.

Still, im fairly confident that this isnt a statistical aberration, and the difference is instead due to the time zones etc. as you can see from the attached spreadsheet, i have gone back about 7 years and 2000 trades to verify this.

rules on this one are... wait for it....


1) in the morning check out the previous days DOW range.

2) set up limit orders to BUY at yesterdays low and SELL at yesterdays high.

3) often, owing to futures movements, the cash price is above/below these levels, in which case, say thankyou very much to your spreadbet company and place the bets there and then.

4) close all trades at market close. D4F dont do this, unless via telephone dealing, but more than a few of the other SB's have daily DOW bets.

5) there is no 5.


in the yellow box i have included a variable trigger figure (sounds good that doesnt it!!! :cheesy: ) seems as though something in the region of -10 returns the greatest number of points. ie SELL at yesterdays high -10 , or BUY at yesterdays low +10. this results in more trades (obviously) but at a lower return/trade. overall points though are increased.

now i dont know if im going totally mad on this, and obviously the exit strategy can be improved to improve total points further, but we seem to have a bit of a goldmine on our hands.

now i am aware that yahoo historical data is massively inaccurate in places (just look at the data for the past week. im 110% certain we havent hit some of those levels on a daily basis) - as a result i took the liberty of using some of the data that TBS had posted back on the Fool website a while back. seems as though this is meant to be the "definitive data" by all accounts. The data is only 100 days worth from 2001, but the returns from back then are even better!!! (higher volatility as we all know!!)

now where did i leave that speedboat catalogue??


FC
 

Attachments

  • reverse breakout.xls
    2.6 MB · Views: 897

FetteredChinos

Veteren member
3,897 40
Balls!!

if i had stuck to my "modified" version of selling at HIGH-10, then i would have been triggered on the big sell-off that is about to occur. as it is i went for the simple SELL HIGH and BUY LOW limit orders and as a result i am flat at the moment, and the BUY point looks a long way off!! always tomorrow i suppose!!!


FC
 

FetteredChinos

Veteren member
3,897 40
and there she goes... down to 10,672 so far...

oh well, markets will always be there, and retirement will have to be postponed by another day!


FC
 

FetteredChinos

Veteren member
3,897 40
lol cheers mate, look like the cat is coming back..

here kitty kitty.

watch it all go horribly and hideously wrong now!
 

TheBramble

Legendary member
8,394 1,170
Not sure if I understood.

SELL limit yesterday's HIGH and
BUY limit yesterday's LOW?

This assumes that each succesive day's trading range is within the previous?

I'm sure I've got this wrong as we'd have had an awfully flat line for an awfully long time...
 

FetteredChinos

Veteren member
3,897 40
Not sure if I understood.

SELL limit yesterday's HIGH and
BUY limit yesterday's LOW?

This assumes that each succesive day's trading range is within the previous?



Well not really..if u look at rule 3)

if the market is outside what would be the normal sell rules premarket, the u just place the trade and close it at market close..

maybe an example would be good...

the orders i set up for today..

i looked at the High/Low for the Dow on monday . it ranged 10704 - 10561 (give or take a few points. havent got the precise data in front of me) so this morning i set up my trigger limits..

i put a sell order in at 10704 and a buy at 10561

as it was, we had an inside day today/tuesday, and so neither trade was triggered. no matter, fingers crossed we get one on wednesday.

however, say, for example that the out-of-hours price of the DOW had climbed to 10,720 when you were putting on the trade limit orders. as the market is already outside the original level of 10,704, you would just hit a sell order there and then, and place the buy order in the same place at 10,561.. basically they are giving u an extra 16 points (in this example) for free.

as you can see from the spreadsheet, if the previous days high/low is exceeded, then there is about a 70%-odd chance of the market closing with the trade in profit.

going back to the example... say having put on the order at 10,720, the SB price then dives before the offical market open, and then never trades above the previous days high. in normal circumstances the trade wouldnt have been triggered, and we wouldnt be in profit at all. but in this instance, we have got at least 16 points, plus a few more (had the trade been triggered today with the market closing at 10609, we would have yielded 95 points, or 111 points if we had been triggered out of hours)

therefore the actual results obtainable via a SB company would probably be in excess of what is on my spreadsheet!!

curses. @£10 a point, that could have done me nicely


typically enough. neither trade was triggered today..

however, seeing that the DOW closed near the low of the day tonight, there is a pretty good chance we will see this in action tomorrow.

im not advocating u lot "following my trades" to quote another contributor to this board. but its just something that seems to have statistics on its side. and a 70% hit rate averaging 35 points a day is not to be sniffed at for a mechanical system that only needs a few mins a day.. My god where have i heard that before? maybe I should freelance for the Motley Fool lol!!

right i may well have to edit this post and turn it into something resembling proper English tomorrow, but this will have to do in the meantime.


take care guys, and enjoy the snow.

stay safe!

FC :)
 

ColinRiche

Well-known member
284 3
TheBramble said:
This assumes that each succesive day's trading range is within the previous?

By using... =IF(OR(D13>C14,D14>C13),1,0)

you will see that there are no gaps in this data
Each day overlaps the next

Nice work FC
.
 

FetteredChinos

Veteren member
3,897 40
ok boys and girls, we've got a live one today..


have just placed my orders before another thrilling day at work..


yesterdays range was 10,609-10701...


am now using the limits+/-10 method after the shambles yesterday lol..

so ive whacked in my sell order at 10691 (10,701-10)

this morning the daily DOW cash was as 10582 when i logged on. normally i would have placed my order to buy at 10619 (10619+10) however the price was 37 points in my favour so of course i took that.


both orders close at market close.. stop set at 150 points..


fingers crossed chaps. i think with FOMC meeting today (is it??) that i may need a bit of luck.. i fancy another sell off personally. but a mechanical system must be obeyed!!!


lets see how this one pans out.


FC
 

JonnyT

Senior member
2,560 22
Oh Dear

I've tested this with futures data, taking a day to be 09:30 to 16:00 and for the Sept 03 contract it lost massively.

JonnyT
 

ChowClown

Senior member
2,732 56
??

...and on EOD since beginning of Dec '03 I make it a 46% win rate and overall loss - not particularly representative, but it doesn't bode well - see jpwone's thread for discussion on his mechanical system and the merits of using futures data vs EOD.

For the same period jpwone's system has generated a 3.5% return. I'm testing using capitalspreads' daily DOW, which has a 5 point spread.

Good luck!
 

Attachments

  • dowrevbodec.xls
    2 MB · Views: 266
Last edited:

JonnyT

Senior member
2,560 22
I may have goofed!!!

I've modified my code slightly and now get a profit of 350 points.

Given its from 70 trades this is only 5 points per trade.

The code currently doesn't look at the intraday picture which is also a failing of the current spreadsheet (it actually must over estimate the real return as you have no way of knowing which came first the HOD or LOD)

I'm going to write some code to carry out a full intraday test with stop losses and profit takes etc to see if we can actually develop a tradeable system.

5 points per trade simply isn't worth the risk for such a system.

JonnyT
 

FetteredChinos

Veteren member
3,897 40
Err jonny, i dont see how it matters which came first.. if the high comes first, then we're short until either we hit the buy point which closes the trade, or the market closes.

if the low comes first, then we are long until the sell point closes the trade or the market closes. whichever comes first.

forgive my lack of comprehension, and i appreciate your considerable skill in system design, but i think we may have our wires crossed on this. mine is a blue one. is yours a red one?

Chow.. agreed that we had a few problems since Dec'03. but as you know, we have been trending like a beastie since then. climbing parabolically. the nature of this system is that it is there to make the most of choppy periods, when the market is dithering left right and centre. so i expect it to lose at the moment, but soon recoup its losses when this current trend loses steam.

there is only one way to find out if a system works, so im gonna stick my neck out and find out the hard way!

FC
 
 
AdBlock Detected

We get it, advertisements are annoying!

But it's thanks to our sponsors that access to Trade2Win remains free for all. By viewing our ads you help us pay our bills, so please support the site and disable your AdBlocker.

I've Disabled AdBlock