Long Only Dow System >85% win rate

[hans123]

As it has been over a year since FC introduced us to this system I thought I would have a look on how it has performed to date.

Here are the results of the Disappearing Antarctic Jury...

Since January 16 Dec 05

Points: 690
Trades: 13
Wins: 10
Win %: 76.9%
Pts Per Trade: 53 (before spreads/rollover charges)

Not as good, however following a couple of tweaks I have produced the following results:

Since January 2000.

Points: 7325
Trades: 178
Wins: 150
Win %: 84.3%
Pts Per Trade: 41 (before spreads/rollover charges)

Since January 16 Dec 05

Points: 1485
Trades: 32
Wins: 29
Win %: 90.6%
Pts Per Trade: 46 (before spreads/rollover charges)

An improvement but the next question is how best to trade this.

My options are futures via IB or spreadbetting. While I think on I would be interested in any thoughts.

PER

Can you tell me more about the tweaks?

Thanks.

Hans

 

[RunTheNumbers]

While I think on I would be interested in any thoughts.

PER

Thoughts about what?

You haven't provided any new information.

You hint at an improvement on a freely provided system by Fettered Chinos, but don't give any details which means no-one knows whether you are real or not. Then you ask for ideas as to how to trade it! Er... trade what????

Ben

 

[pertrader]

Ben and Hans

My tweaks are based on the number of trades entered in to each month and number of days before any profits are taken.

These however do not impact on my fundamental question, that is how to trade either this or FC's original system.

The best way I think I could trade this is to take the 9pm price for the nearest YM future as my signal. For 2006 this gives the following results

FC's Original

Points: 571
Trades: 13
Wins: 10
Win %: 76.92%
Pts Per Trade: 44 (before spreads/rollover charges)

And for version 2

Points: 1168
Trades: 30
Wins: 27
Win %: 90.0%
Pts Per Trade: 39 (before spreads/rollover charges)

As you can see these are going the wrong direction, so is there a better way to get closer the the Yahoo predicted results or with costs of <1 pt per trade is this viable in the real world?

I am now going to try and work out the associated drawdowns for these and see if they answer my question.

 

[FetteredChinos]

morning all, this system triggered longs on all the main indices yesterday..

looks promising based on chart formations as well..

lets see how they pan out..

 

[pertrader]

I went long YM MAR07 Future at 12542 at 21:15

At what time is it safe to say we have the DOW closing price. Yahoo seems to update upto 9:15pm GMT.

 

[andycan]

I went long YM MAR07 Future at 12542 at 21:15

At what time is it safe to say we have the DOW closing price. Yahoo seems to update upto 9:15pm GMT.

best to look at the cash for that as it only shows day session

 

[pertrader]

I am looking at the ^DJI quote from Yahoo, is this what you mean as this updates well after the theoretical market close.

 

[andycan]

I am looking at the ^DJI quote from Yahoo, is this what you mean as this updates well after the theoretical market close.

yep that will do

 

[aaroncapps]

applying to the es options

For fun, i'm going to track the profit or loss of trading options on this.

buying e-mini S&P 1435 feb calls at 11.75

 

[minx]

For fun, i'm going to track the profit or loss of trading options on this.

buying e-mini S&P 1435 feb calls at 11.75

Make sure you're paying offer and not last traded price...

 

[aaroncapps]

Make sure you're paying offer and not last traded price...

Thanks, i did make sure to quote the offer.

Current bid ask is 10.75 bid 11.25 offered. So it is safe to say i was filled at my price.

 

[aaroncapps]

i will also be tracking trades placed earlier in the month following the same criteria.

Here is an example of the code.

if dayofmonth(d)>8 and dayofmonth(d)<11 then begin
if c<o then begin
buy("First")num contracts tomorrow at open;
end;
end;
I first came across this when looking for the dates that returned high avg trade, low drawdown and high consistency between 97 and 02 for the S&P and DJ. Those dates showed up and walked forward pretty nicely, so i added them as well to put a little more activity in Fettered Chino's original method.

 

[pertrader]

If the Dow closes down again my variation on FC's system means I will be going long again tonight. Triggers set - we shall see....

 

[aaroncapps]

does that mean you are scaling in as the market goes against you?

 

[pertrader]

I assume that scaling in is the same as pyramiding i.e separate entries are represented as individual trades with different entry prices but identical exits. If so then no this additional trade has its own exit as per FC's system.

 

[aaroncapps]

pyramiding is actually using the open trade profit of a current existing trade to add more contracts.

Scaling in means to say that you are just adding contracts to your position. The reason you add the contracts is not relative to the term or meaning.

 

[pertrader]

There goes the Buy at 12526

 

[pertrader]

Sold the two positions at 12559 for a total of +50 - 1.96 costs.
Still a chance of another long position tomorrow if Dow is down otherwise will have to wait until 24th Feb.

 

[aaroncapps]

closed out the ESG7 1435 Call this morning at 21.25 based on time and sales.

As a recap, the entry was at the offer of 11.75, so that is a profit of 9.5 points per e-mini S&P options contract, or $475 US. 80% return on the premium, with a worst drawdown of 4 points.

The actual ES futures contract had a profit of $1,025.00 not including slippage and commission, but also had a drawdown of $550 as well. A 25% return based on overnight margin + the drawdown.

 

[aaroncapps]

While this FC's model has a great track record on futures for the ES and the YM. If i were to trade real money on it, I would strongly push and recommend trading options on it. Buying calls on this system allows you to have the unlimited profit of the futures contract, along with your risk being limited to only the premium. In a losing situation, the option is more likely to hold it's value because of the time left in the option, compared to the futures contract that could have much more heavy drawdown.

Even though the $ return is less on the options, it is my belief that because the risk is lower, you will be able to use more aggressive compounding to compensate for the lower returns as well as should have a smoother equity curve.

I'm still a novice to all the greek and complexity of options though, so take what i say with a grain of salt.