Nasdaq Daily Breakout

[davidgrice]

Futures EOD Data

The Blades,

I would try paritech:
http://www.paritech.co.uk/default-uk.asp

I've used them in Australia and now in the UK and data seems consistent and reliable. However, I have recently joined Tradestation, so I don't use it much anymore.

Regards, Dave.

 

[JonnyT]

Given the statement about overnight futures data am I right in guessing that you have used Index data and not the Futures data?

The reason i am asking is that I have in the past found absolutely stunning systems using index data that are losers with futures data.

There is only one way to back test: Use futures data

Backtesting without futures data that uses stops is fundamentally flawed and is utter garbage.

You want to try one of my other published index systems that can hold for several days, based purely on breakouts ;o)

JonnyT

 

[FetteredChinos]

i know JT..

is that the JT-4 system you are on about?

only trade south after an up day, and north after a down day etc? trail stop, 200 point target etc...


i know about testing on futures only data. i agree that day-session only data distorts things...

 

[JonnyT]

Has this system been tested on Futures data or Index data?

If its Index Data then the thread should be removed to save people from a misconception

GIGO (Garbage In Garbage Out)

 

[ddunne82]

Whats the JT-4 system? Any links to a thread so i can have a gander?

 

[the blades]

The Blades,

I would try paritech:
http://www.paritech.co.uk/default-uk.asp

I've used them in Australia and now in the UK and data seems consistent and reliable. However, I have recently joined Tradestation, so I don't use it much anymore.

Regards, Dave.

Many thanks - how much should I expect to pay for say a year of EOD futures data for one instrument?

(I know a year aint enough, but being a tight b*****d I should be able to see if it trades in line with the index?)

Cheers,
UTB

 

[JonnyT]

The futures will move in line with the index during normal market hours.

Outside of normal market hours will be a different story as the index is shut...

The futures tend to move more in each direction though correlated to the main index durring normal market hours.

Backtesting using index data will give an over rosy picture. If you want to spreadbet then the system needs a high number of points per trade as they whip you about more than the underlying futures. When you add in the spread you will find that day trading indices with Spreadbets is unlikely to be profitable.

Drop me an email and I'll forward you a three month sample of Nasdaq futures data.

JonnyT

 

[the blades]

Drop me an email and I'll forward you a three month sample of Nasdaq futures data.

JonnyT

JonnyT,

Thanks for the advice. I've emailed you.

Cheers,
UTB

 

[the blades]

OK,

So JonnyT supplied me with a chunk of recent Nasdaq data, from which I've extracted the OHLC from the EOD periods. I've inserted this into the SS to compare returns.

The results are disappointing, althought taken over only 44 trading days;

Win rate reduced from 61 to 48%
Pts per trade reduced from 2.8 to 0.4 (not a profitable period, either way)

So what does this tell us?........:


The sample size is too small? (yes)
Futures take out 2 pts per trade or 85% of profit? - Could you afford this during periods where the pts per trade were, say 20?

Might have to track down some extended futures data for the Nickei.

UTB

 

[FetteredChinos]

thanks for the work Blades. much appreciated. just goes to show that the futures do move substantially out of hours..

have you tried the long-only version? with a stop and reverse at half the daily range etc?

might be good if you could post the s/s on here, so we can download it.

bit busy at the mo, but i'll have a tinker in due course.

fc

 

[the blades]

thanks for the work Blades. much appreciated. just goes to show that the futures do move substantially out of hours..

have you tried the long-only version? with a stop and reverse at half the daily range etc?

might be good if you could post the s/s on here, so we can download it.

bit busy at the mo, but i'll have a tinker in due course.

fc

Morning FC,

Sorry for the confusion - to stress I've only looked at the EOD portion, so any changes aren't due to out of hours fluctuations.
I've attached the SS - a bit messy so I'm sorry. the first worksheet is the futures, the second the index. Embedded in the first is a chart that shows the daily returns - it does seem the futures gives lower returns across the board - the niggling thought is if this is just a few pts, and if it would remain so if the system was returning 20 pts.

£65 from Paritech for extended data. Can this Yorkshireman extend to it....... :cheesy:

UTB

 

[the blades]

hello everyone,

A quick update - I purchased the futures data which "traded" in line with the index. Unfortunately, the model is flawed. The S&R is triggered if the low of the next day is beneath the stop. However, if you factor in the effect of opening prices often being lower than the calculated S&R point, the adjusted gains / losses wipe out the performance - on the Nickei and no doubt on others.

UTB

 

[joesan]

This method utilizing futures data will be a disaster, a vivid illustration of why you can not do research futures trading methods on an EOD chart.

Check for yourself