Nasdaq Daily Breakout
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the blades
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FetteredChinos said:yup thats the one..
though on the FTSE i wait until 16.35 or so, as that is when the auction period closes.
give or take a few mins.
think the Dow settles at 21.02 or 21.03
i wouldn't trade normal size on this until you are sure it works..
probably wont in real life, but thats what im going to test for a while..
Hello FC,
I must add to your weight of "admirers"
- You certainly stimulate some thoughts with your models.Anyway, enough smoke up the bourneville boulevard. When I looked at the FTSE with this method, I calculated only a few points gain per trade - which would get wiped out by the spread. Which raised 2 questions that you might be able to answer;
Is my calculation re pts per trade correct?
What is the best way to trade indeces frequently? I've previously looked at the Nickei but with a 20pt spread on the futures and no cash product, this would severely hit profits. As a proponent of SB which suites my current "systems", I'm ignorant to other methods. Could you help?
Cheers,
UTB
FetteredChinos
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regarding these question.. yes, the points total per trade on the FTSE is small (NQ is another matter, and i might well have to move over to that fella for bread and butter trading)
however, looking at the numbers objectively, and realistically.
since jan 1997 we have 10,614 points from 2,000 trading days.
not that great an average...
BUT 1300 of those days had roll over trades, and 700 were SAR trades.
assuming a spread/costs of 4pts on the roll overs (conservative considering current SB pricing models)
that is 2,800 costs, less 1,000 points (approx 0.50 points per day cost of carry)
total trading costs 3800
therefore profit is nearly 7000 points net of costs since 1997.
conservative estimate.
thats not too bad is it?
also, trading with futures would reduce the SAR costs further.
this is also on the FTSE, which is one of the least profitable ones i have tested thus far.
also, i should mention, i havent coded in a stop for the SAR part of things. doubtless a stop for that would improve things somewhat, as they tend to do so for trend-following systems.
FC
however, looking at the numbers objectively, and realistically.
since jan 1997 we have 10,614 points from 2,000 trading days.
not that great an average...
BUT 1300 of those days had roll over trades, and 700 were SAR trades.
assuming a spread/costs of 4pts on the roll overs (conservative considering current SB pricing models)
that is 2,800 costs, less 1,000 points (approx 0.50 points per day cost of carry)
total trading costs 3800
therefore profit is nearly 7000 points net of costs since 1997.
conservative estimate.
thats not too bad is it?
also, trading with futures would reduce the SAR costs further.
this is also on the FTSE, which is one of the least profitable ones i have tested thus far.
also, i should mention, i havent coded in a stop for the SAR part of things. doubtless a stop for that would improve things somewhat, as they tend to do so for trend-following systems.
FC
FetteredChinos
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for sake of comparison..
on the Eurostoxx, since Jan 97. we have 18,432 points. from 2079 trading days
863 were stop and reverse.
so assuming costs of 5pts per SAR (wider spread) = 4315
costs of carry (assuming 0.5 per day) = 1040
total costs - 5415.
therefore a NET profit of 13,000 points since jan 97.
even with a bit of dodgy slippage etc, it could well be a winner.
may have to change my test to the Stoxx in thise case
on the Eurostoxx, since Jan 97. we have 18,432 points. from 2079 trading days
863 were stop and reverse.
so assuming costs of 5pts per SAR (wider spread) = 4315
costs of carry (assuming 0.5 per day) = 1040
total costs - 5415.
therefore a NET profit of 13,000 points since jan 97.
even with a bit of dodgy slippage etc, it could well be a winner.
may have to change my test to the Stoxx in thise case
FetteredChinos
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and the nasdaq 100....
9634 big points (96344 trading points) from 2067 days
892 were SAR.
allow 7 points for SAR (very conservative) = 6244
allow 1 point for cost of carry = 2000
costs - -8244
net profit = 88,100
(thud)
9634 big points (96344 trading points) from 2067 days
892 were SAR.
allow 7 points for SAR (very conservative) = 6244
allow 1 point for cost of carry = 2000
costs - -8244
net profit = 88,100
(thud)
Hi,
Seems like you could be onto a winner here FC. Quick question for you - would the drawdoiwn on the NDQ be very large due to the scale that you have to trade on ie. 1 big point is 10 trading points at a spread betters? I think i am right in saying this - if i am wrong, please put me right!
Also, again this may be a dumb question, but why are the results different from those posted on the earlier spreadsheet? Am i missing something fundamental here?
Thanks
David
Seems like you could be onto a winner here FC. Quick question for you - would the drawdoiwn on the NDQ be very large due to the scale that you have to trade on ie. 1 big point is 10 trading points at a spread betters? I think i am right in saying this - if i am wrong, please put me right!
Also, again this may be a dumb question, but why are the results different from those posted on the earlier spreadsheet? Am i missing something fundamental here?
Thanks
David
Dumb Q.
What is the ticker symbol for Eurostoxx 50? I am trying to load a chart at www.bigcharts.com and can't seem to find it!
Ta,
Gizmo
What is the ticker symbol for Eurostoxx 50? I am trying to load a chart at www.bigcharts.com and can't seem to find it!
Ta,
Gizmo
FetteredChinos
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erm, i have about 30 different spreadsheets on this method. i just cranked up one or two from my library. if you tried the numbers in the sheets posted on this thread they should be similar.
unfortunately, the drawdown on the NQ was pretty damn humungous. several thousand points (600-700 big points)
so im gonna have to find a way to restrict those losses if im going to trade it for real.
bear in mind, overnight futures data could eff things up a treat, so i wouldnt get too excited yet.
unfortunately, the drawdown on the NQ was pretty damn humungous. several thousand points (600-700 big points)
so im gonna have to find a way to restrict those losses if im going to trade it for real.
bear in mind, overnight futures data could eff things up a treat, so i wouldnt get too excited yet.
FetteredChinos
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overnight data=
for example. say we were long the FTSE last night from 4938.
the futures (following the Dow/Asian markets after the ftse close) could have dropped to 4900 lets say, triggering our short from 4918.
however, before the cash market , on which i am basing this test, opens as 8am, the markets recover to 4930.
so although we are in a short from 4918, backtesting on daily cash data wouldnt show this up. and would think we were still long from 4938.
therein lies a problem.
however...
i would be surprised if we get a move of half the daily range overnight in one direction, that then doesnt get tested during the following day's normal market hours..
at least, i would be surprised if this happened too regularly.
FC
for example. say we were long the FTSE last night from 4938.
the futures (following the Dow/Asian markets after the ftse close) could have dropped to 4900 lets say, triggering our short from 4918.
however, before the cash market , on which i am basing this test, opens as 8am, the markets recover to 4930.
so although we are in a short from 4918, backtesting on daily cash data wouldnt show this up. and would think we were still long from 4938.
therein lies a problem.
however...
i would be surprised if we get a move of half the daily range overnight in one direction, that then doesnt get tested during the following day's normal market hours..
at least, i would be surprised if this happened too regularly.
FC
FetteredChinos
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furthermore :-
the Stoxx and the Dax both have extended hours nearly up to when the US markets close, so their cash data shouldnt be too affected by out of hours movement caused by the US/Asian markets.
would kill for some accurate hourly futures data on them though....
the Stoxx and the Dax both have extended hours nearly up to when the US markets close, so their cash data shouldnt be too affected by out of hours movement caused by the US/Asian markets.
would kill for some accurate hourly futures data on them though....
the blades
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FetteredChinos said:
Hello FC,
If you're dealing in the futures data, but placing your stop (and reverse order) from the cash data, where would you place your stop? (ie, you'r stop would have to be related to the future that you're trading, but the level you calculated would be different, if you understand.....
:?: )Cheers,
UTB
FetteredChinos
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you would place your stop half the daily range away from entry. on the futures.
i doubt the range difference between the cash and the futures is that substantial.
so you can probably calculate the range from yahoo, or whatever source you want.
current ave range is a squeak above 40 i think on the FTSE, a bit less on the Stoxx and dax.
so 20 points should do for an SAR.
todays trade still holidng firm, waiting for US direction..
fc
i doubt the range difference between the cash and the futures is that substantial.
so you can probably calculate the range from yahoo, or whatever source you want.
current ave range is a squeak above 40 i think on the FTSE, a bit less on the Stoxx and dax.
so 20 points should do for an SAR.
todays trade still holidng firm, waiting for US direction..
fc
FetteredChinos
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the actual stop level doesnt seem to matter too much..
what this system is trying to do is follow trends and cut losses short.
i just thought half the ADR would give it sufficient room to breathe overnight.
rather like a dressing-gown.
what this system is trying to do is follow trends and cut losses short.
i just thought half the ADR would give it sufficient room to breathe overnight.
rather like a dressing-gown.
FC,
I was wondering what the number of previous days you use to calculate the SAR? I see 22 was mentioned earlier on but the NIkkei uses 12. ALso, the ftse uses 0.6*prev 31 days av range. Are these the optimal values you have found that work for these markets? If so, what are the values you are using for the ESX?
Thanks
David
I was wondering what the number of previous days you use to calculate the SAR? I see 22 was mentioned earlier on but the NIkkei uses 12. ALso, the ftse uses 0.6*prev 31 days av range. Are these the optimal values you have found that work for these markets? If so, what are the values you are using for the ESX?
Thanks
David
FetteredChinos
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if you change the variables, you see they dont make too much of a difference to the whole idea.
im still testing on the FTSE (currently up overall after 3 days) but the low points per day is making me a bit sceptical over the whole thing, unless i can come up with something a whole lot better.
im still testing on the FTSE (currently up overall after 3 days) but the low points per day is making me a bit sceptical over the whole thing, unless i can come up with something a whole lot better.
FC,
For how long did you back test the stoxx? I might have a go with paper trading this with futures for a couple of weeks and see how it does? The equity curve seems much smoother than for the other markets and overnight margin for stoxx50 is much lower than for the dax/ftse with my broker (globalfutures). Will let you know how it goes - will try and post daily trades but wont promise anything!
For how long did you back test the stoxx? I might have a go with paper trading this with futures for a couple of weeks and see how it does? The equity curve seems much smoother than for the other markets and overnight margin for stoxx50 is much lower than for the dax/ftse with my broker (globalfutures). Will let you know how it goes - will try and post daily trades but wont promise anything!
the blades
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FetteredChinos said:
Eyup FC (or anyone else!),
where would you go for (cheap
) futures data - EOD, say for the Nickei for 6 months to a year?BTW - I think with IB's futures platform (certainly if traded throughtwowayfutures) your stops aren't triggered out of hours - so you could set them on the close and forget about them. So the next question (for me) is if the futures data behaves similarly to the cash.
Cheers,
UTB
