Simple 60min e-mini system.

TWI

Senior member
2,532 253
Here is a simple e-mini system, it works on a 60min chart.
I only have 150 days of intraday backdata for S&P so no idea how robust it will prove to be outside of this.
Reason I post it is because it is so simple and I am interested in results over a longer time period and I am hoping somebody can provide that.
If it looks good then everyone can have it for FREE!, but better up your slippage then.

In easylanguage code since this is easier than explaining it.

if marketposition =0 and closed(1)<loww(1) then buy
next bar lowd(1) limit;
if marketposition =0 and closed(1)>highw(1) then
sell next bar highd(1) limit;

if barssinceentry >= 3 then exitlong next bar at c limit;
if barssinceentry >= 3 then exitshort next bar at c limit;
 

JonnyT

Senior member
2,560 22
Hi,

I may be able to help but don't know easylanguage!

I see you hold for 3 hours then sell at the close but am not sure about the entry.

JonnyT
 

TWI

Senior member
2,532 253
Well Jonny, You were asking about TS the other day wern't you?
Consider this the first easylanguage lesson ;)

if marketposition =0 and closed(1)<loww(1) then buy
next bar lowd(1) limit;

{If flat and daily close of yesterday is less than weekly close of last week, buy next bar at yesterdays low}

if marketposition =0 and closed(1)>highw(1) then
sell next bar highd(1) limit;

{If flat and daily close of yesterday is greater than weekly close of last week, sell next bar at yesterdays high}

if barssinceentry >= 3 then exitlong next bar at c limit;

{If bars since entry = 3 i.e. >3 hrs since entry then exit position at last bars close}

if barssinceentry >= 3 then exitshort next bar at c limit;

{If bars since entry = 3 i.e. >3 hrs since entry then exit position at last bars close}
 

TWI

Senior member
2,532 253
{If bars since entry = 3 i.e. >3 hrs since entry then exit position at last bars close}

Just to be clear this is to exit on next bar at current bars close. so exits on 4th bar after initiating position at close of 3rd bar
 

Trader333

Moderator
8,612 939
Twalker,

What is the intra-day drawdown with this system ? Also are there any stop losses ?


Paul
 

TWI

Senior member
2,532 253
System Just as it stands 3 bar exit is only stop
Max intraday draw for 150days back is 1075US
 

TWI

Senior member
2,532 253
Sure, Here are results
 

Attachments

  • emini 60min.XLS
    71 KB · Views: 1,082

iantrader

Newbie
1 0
This is a very interesting system. Not many mechanical systems work consistently well on the S&P (ES) intraday.

I have eSignal ES data and ran the system from Aug 2003 up tp the present and got 83 trades, £3.2K profit, $1.3K DD with $39/ avg trade. I used $6 commission and $12.5 slippage.

It was also profitable on the YM but less so - $1K profit and $2.5K DD but it performed very poorly on the NQ and lost on the Russell.

Interesting to try it on various other markets, though....

Anyone tried any modificiations/optimisations?

Well done and thanks twalker.

Ian
 

TWI

Senior member
2,532 253
Thanks Ian.
It is interesting that it does work, considering it is always buying into downtrends and selling into up. I have not done further work on this but if I do I will post any improvements.
 

TWI

Senior member
2,532 253
Actually I just did main market hours. 08:30-15:15 which I know is stictly just big S&P time. Haven't tested on 15:30-15:15 time.
 

jmreeve

Well-known member
432 13
What happens if you get in on the 15:00 bar?

Do you hold overnight until the first two trading hours of the main session next day?
 

TWI

Senior member
2,532 253
Indeed, if you follow the code, that would be the case.
Do you see a result following globex hours?
 

TWI

Senior member
2,532 253
I have not traded this strategy, was messing around with EL and noticed it produced a upward sloping equity curve. Thought it surprising due simplicity and counter trend nature.
 
 
AdBlock Detected

We get it, advertisements are annoying!

But it's thanks to our sponsors that access to Trade2Win remains free for all. By viewing our ads you help us pay our bills, so please support the site and disable your AdBlocker.

I've Disabled AdBlock