Test My System

kerdosko

Newbie
6 0
Hello guys,
I am a daytrader from Athens, Greece and i have myself as most of you have gone through several tactics, tools etc. in order to make it and live by that thing called daytrading quiting my job.

Finally, after all the circles i concluded that the best systems are the simple ones but the one and only problem is the dicipline which you have to have in order to follow your papertrading-successfull system.

anyway, i would like to know if any of you can test my system on some period and tell me what do you think, cause by now i am doing the whole job by hand and its pretty tiring.
so, i will put it down for you with the daily P/L and you tell me what do you think.

It is basically the good old MACD that works well on trends and not so good on consolidating periods.
I use a combination of MACD(12,26,9) on the 3 min and on the 5 min chart on dax future.
then i take a position on the crossing BUT always the 2 MACDs have to be on the same side. (i.e. if the 3' crosses positive i will have to wait untill the 5' does so, to get a long but i will get out as soon as one of them gets negative etc.)
on that you put a stop loss of 20 points and a target of 20 points also, always out 3 minutes before the close of the day and take position on 9:01 cet if MACDs agree.
and here are my results so far:
(consider an average of 10-15 trades a day)
DATE P/L
1/12 -14
2/12 +40
3/12 -14
4/12 +60
5/12 -7
8/12 +39
9/12 +17
10/12 -15
11/12 +44
12/12 +30,5
15/12 +0,5
16/12 +1,5
17/12 +64
18/12 +21
19/12 +11,5
22/12 +26
23/12 -35,5
29/12 -16,5
30/12 +10,5
2/1 +23
5/1 -4,5
6/1 +28,5
7/1 +79,5
total: +390 points in 23 trading days.

that's all till today and thats all the testing i have done . Please, is there anybody that can help me test it for a prior period of time, lets say one year?

regards,
Takis
 

robber

Member
82 0
the returns look good but the first question I have to ask is have you allowed for spread and dealing costs?


good luck

Neil
 

kerdosko

Newbie
6 0
you have to take off about 2-3 points daily which is the cost, considering a 5-7 euros commision round turn
 

cj12

Established member
597 6
To Kerdosko

You say take off 2-3 points daily. Do you mean 2-3 points per trade. if that's the case and you place 10-15 on average trades a day the results would be different.

Example if you average 12 trades a day spreads & dealing cost at 3 ticks per trade that would mean you need to cover 36 points a day just to cover cost, so the trades you post above would have cost you 828 points over 23 days. check it out you self

Regards,

CJ
 

kerdosko

Newbie
6 0
no, i mean 2-3 points per day not per trade.
example: if the system gives you +20 , that was made lets say by 10 trades, then you total clear P/L would be +18
 

JonnyT

Senior member
2,560 22
What about slippage and spread?

You need to take off at least 1 point per trade, which incidently makes this system not tradeable...

My view is that most viable systems need an average trade of 10 times spread to be resilient. This isn't even close

JonnyT
 
 
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