Live & Die by the sword....

[FetteredChinos]

trendie, i think she was using an MA of 9 for the Bollingers... it seems consistent with the MA in the middle of the BB's

 

[JillyB]

Stop moved to 1.7533

 

[JillyB]

Limit moved to 1.7560
Stop moved to 1.7537

 

[JillyB]

My limit order was filled at 1.7552 before I could change it, so that's me out of the trade.

33 pips after spread.

 

[chump]

Jilly,
What was the size of the sample set you got from the Dow over that 2 year period ?

..and shh ..I don't know what you mean about other thread ..as far as I can see two people were in an acholic stupour talking to each other about me ..but I was never there

 

[FetteredChinos]

nice work JB...

go get 'em tiger.

Chump, is this turning into a matchmaking service?

 

[JillyB]

Jilly,
What was the size of the sample set you got from the Dow over that 2 year period ?

..and shh ..I don't know what you mean about other thread ..as far as I can see two people were in an acholic stupour talking to each other about me ..but I was never there

25 trades for 2003, 24 trades for 2004, 13 trades so far this year.

5 losses in 2003, 4 losses in 2004, 2 losses so far this year.

As I said earlier you do need to use stops and move them upwards to lock in the profit, otherwise the number of losing trades would have been more.

It seems to generate trades that last from 3 days to 2 weeks. You then sit and wait for the next entry point to be generated.

 

[chump]

Jilly,
Do you have enough data to run that test over a 5 year period say 99 - 04 ?

 

[JillyB]

Jilly,
Do you have enough data to run that test over a 5 year period say 99 - 04 ?

Yes ProRealTime has data that goes this far back so I can test it for the entry points, but will need time to do this, as I then have to manually check each one as the backtesting does not allow you to show where stops have been moved.

My basic rule for stops is to initally set a wider bollinger line as the stops. This is MA 10, standard deviation 2.5, method simple, applied to close.

However as the trade moves in the correct direction, I then move the stop to follow it. My rule for this is that when the previous day opens & closes and also with its low of the day above the moving average, then the stop is moved up to this to lock in profits. I have to manually do this on on a spreadsheet as the backtesting does not allow this to be written in.

The outer bollinger can also act as a level for the limit to be set - this can then sometimes be filled during the day, so as to maximise the profit from the trade.

The theory is similar to that of the Goldline system in that I wanted something I could look at once a day - enter or exit a trade, or move the stop and limit - then let it run.

Phew! Hope that helps.

 

[chump]

Jilly,
What I am getting at is the two years you have used and the size of your sample set may not be robust enough to rely on...a longer period for your test that embraces a full set of market phenomea would also generate a larger sample set for you to 'rely' on with 'confidence' ..just a thought .

 

[JillyB]

Jilly,
What I am getting at is the two years you have used and the size of your sample set may not be robust enough to rely on...a longer period for your test that embraces a full set of market phenomea would also generate a larger sample set for you to 'rely' on with 'confidence' ..just a thought .

I do intend to do this over the next couple of days. It's just a time thing. What with running a business, trading, chatting with you lot, sleeping, eating, drinking too much wine..... I seem to run out of time, but rest assured I am working on it.

I can PM you with the results when I have finished them. They will be in excel spreadsheet form.

 

[FetteredChinos]

Eat that one, Frenchies!

I knew Seb wouldnt let us down...

 

[frugi]

Forgive my intrusion but Fettered mentioned having a crack at 123s. I don't know if this is any use to anyone but as you know I'm a big furry fan of them and I'm working on a longer timescale small stakes strat for my wife's SB account. (Eek there goes our holiday money lol)

The basic rules are in the attachment. Not too happy with the 2:1 risk:reward but it does have a high strike rate. Basically a tweak of the strat I use on a shorter timeframe which does work as long as you cherry pick the 123s. Yeah big caveat I know. Please feel free to work some Chinos / Jilly / Chumpy / trendie et al magic on it! I'm in this trade at the moment fwiw. Will be interested to see how it pans out.

Am tempted to split the position into 4 and then take 15 points on the first, 30 on the next two and let one run. Hmmm....

Anyway sorry to get in the way. Best get back to work or Sharky will dock my wages.

 

[FetteredChinos]

well i think it is a fine example of good, old-fashioned arselicking...

best quote i have read this morning so far is from the guardian..

"Meanwhile on the BBC, they're showing the video clip that London used in their presentation. In it, David Beckham is shown finishing a crossword. False advertising or what? "

 

[FetteredChinos]

nice work Pinko..

erm, a question regarding exits, as i know that this is the most subjective part of the 123's...

do you always advocate scaling out, or trailing the whole lot?

fc

 

[frugi]

The same David who was eager to complete the jigsaw advertised on the front of his Frosties packet but gave up after several hours when the orange sugar coated pieces didn't seem to fit together properly innit.

 

[FetteredChinos]

lol Frugs

just got stopped out of Cable for +13 today,

short again from 1.7562, stop at 1.7612 and trailing..

 

[JillyB]

Forgive my intrusion but Fettered mentioned having a crack at 123s. I don't know if this is any use to anyone but as you know I'm a big furry fan of them and I'm working on a longer timescale small stakes strat for my wife's SB account. (Eek there goes our holiday money lol)

The basic rules are in the attachment. Not too happy with the 2:1 risk:reward but it does have a high strike rate. Basically a tweak of the strat I use on a shorter timeframe which does work as long as you cherry pick the 123s. Yeah big caveat I know. Please feel free to work some Chinos / Jilly / Chumpy / trendie et al magic on it! I'm in this trade at the moment fwiw. Will be interested to see how it pans out.

Am tempted to split the position into 4 and then take 15 points on the first, 30 on the next two and let one run. Hmmm....

Anyway sorry to get in the way. Best get back to work or Sharky will dock my wages.

If you're interested this is where the method I've been discussing today placed the entry on the Dow. Same settings - just end of day data.

 

[JillyB]

The same David who was eager to complete the jigsaw advertised on the front of his Frosties packet but gave up after several hours when the orange sugar coated pieces didn't seem to fit together properly innit.

That's supposed to be a blonde Essex GIRL joke.....Ahh well, there is a similarity.

 

[chump]

Jilly,
results please do ..I'll have a look see ...thanks