Oh, It's a scythe!

[FetteredChinos]

Morning all.

time for another public airing..

i thought i would complete the set and go for a Retracement strategy, rather than a breakout or counter-trend strat..

tested on the Dow cash index (yes i know), (dodgy data notwithstanding) we have the following results....

(1990-2005)


Total Points 35131.4
Trades 1086
Wins 706
Win % 65.01%
Max Drawdown 1079.6
Average Win 91.0
Average Loss -76.7
Profit Factor 2.2
Pts per trade 32.35

i havent tried to optimise the stats really. was just working off a few ideas..

the equity curve isnt too clever, and looks a bit like one i posted on the "Flatliners" thread.

but it may serve as a building block for other strats, and perhaps you lot can improve things..

i havent tested it on the other indices etc, but i will work on it.

anyway, da roolz:-

take a recent average weekly range (think i was using 4 or 5 weeks. doesnt matter too much)
take a recent daily average range (again, precise parameters not important. we are testing principles, not optiimisation skills)

now, when we have got these numbers (currently 180-200 and 75 approximately) we need to setup our system.

we take the previous friday's close, and +/- 20% of the weekly range.
ie last friday we had a close of 10787. so the upper level is 10824 and the lower level 10749.

then we wait for a breakout of these two levels, but we dont trade the breakout.

once we have exceeded these levels, we then put the retracement order in. this is based upon the daily range +/- the extreme of the day the level was broken on.
so for example, yesterday, we hammered through the 10749 level (and then some!)

so this makes our retracement level 10611+75 = 10686. this is the level we would be going short at.


vice versa for longs - if we had broken 10824, we would be looking to go long at 10824-75= 10749 (coincidence)


orders stay valid for 2 days after the breakout.

i will attach the spreadsheet in due course.. Yellow highlighted cells mark variables. one is the % of the weekly range, the other the % of the daily range.


F9 recalculates.


comments, as usual, will be ignored lol :cheesy:

FC

 

[FetteredChinos]

and here is the sheeeeeeeet..

 

[FetteredChinos]

equity curve...

note the tail-off in performance recently..

i havent yet been able to make a single mechanical strategy work for the past few months on the Dow. god only knows what is happening on the indices...

 

[FetteredChinos]

forgot to add..


exit all trades on friday close..

only 1 trade per week.

(spreadsheet may be a little fuzzy in that respect)