BarNovs FTSE250 Indexicator

Below is a thread which I run on the Citybull BB. I'm looking from interest on this BB as well. Basically I track the index with a 1% up/down stop-loss.

Thoughts / comments ????

18/04/01- we are officially LONG from 6046 with STOP set at 6087 i.e. 41 points locked in

DATE / CLOSE / STOP / POSITION / LOCKED IN GAIN

10/18/00 --- 6372
19/10/00 --- 6435 --- 6436 --- Long --- 0
20/10/00 --- 6502 --- 6436 --- Long --- 66
23/10/00 --- 6518 --- 6437 --- Long --- 67
24/10/00 --- 6564 --- 6453 --- Long --- 83
25/10/00 --- 6544 --- 6498 --- Long --- 128
26/10/00 --- 6550 --- 6498 --- Long --- 128
27/10/00 --- 6569 --- 6498 --- Long --- 128
30/10/00 --- 6589 --- 6503 --- Long --- 133
31/10/00 --- 6629 --- 6524 --- Long --- 154
01/11/00 --- 6683 --- 6563 --- Long --- 193
02/11/00 --- 6713 --- 6616 --- Long --- 180
03/11/00 --- 6749 --- 6646 --- Long --- 210
06/11/00 --- 6827 --- 6682 --- Long --- 246
07/11/00 --- 6805 --- 6759 --- Long --- 323
08/11/00 --- 6813 --- 6759 --- Long --- 323
09/11/00 --- 6788 --- 6759 --- Long --- 323
10/11/00 --- 6736 --- 6759 --- Long --- 323

323 points cashed on LONG position opened 18/10

13/11/00 --- 6629 --- 6695 --- Short --- 0
14/11/00 --- 6698 --- 6695 --- Short --- 64

64 points cashed on SHORT position opened 10/11

15/11/00 --- 6720 --- 6695 --- Long --- 0
16/11/00 --- 6718 --- 6695 --- Long --- 0
17/11/00 --- 6714 --- 6695 --- Long --- 0
20/11/00 --- 6664 --- 6695 --- Long --- 0
21/11/00 --- 6641 --- 6695 --- Short --- 0
22/11/00 --- 6552 --- 6695 --- Short --- 0
23/11/00 --- 6545 --- 6617 --- Short --- 78
24/11/00 --- 6561 --- 6610 --- Short --- 85
27/11/00 --- 6587 --- 6610 --- Short --- 85
28/11/00 --- 6515 --- 6610 --- Short --- 85
29/11/00 --- 6480 --- 6580 --- Short --- 115
30/11/00 --- 6420 --- 6544 --- Short --- 151
01/12/00 --- 6463 --- 6484 --- Short --- 211
04/12/00 --- 6438 --- 6484 --- Short --- 211
05/12/00 --- 6502 --- 6484 --- Short --- 211

211 points cashed on SHORT position opened 21/11

06/12/00 --- 6535 --- 6484 --- Long --- 0
07/12/00 --- 6469 --- 6484 --- Long --- 0
08/12/00 --- 6515 --- 6484 --- Short --- 0
11/12/00 --- 6546 --- 6484 --- Long --- 0
12/12/00 --- 6547 --- 6484 --- Long --- 0
13/12/00 --- 6523 --- 6484 --- Long --- 0
14/12/00 --- 6462 --- 6484 --- Short --- 0
15/12/00 --- 6431 --- 6484 --- Short --- 0
18/12/00 --- 6470 --- 6484 --- Short --- 0
19/12/00 --- 6480 --- 6484 --- Short --- 0
20/12/00 --- 6438 --- 6484 --- Short --- 0
21/12/00 --- 6423 --- 6484 --- Short --- 0
22/12/00 --- 6456 --- 6484 --- Short --- 0
27/12/00 --- 6487 --- 6484 --- Long --- 0
28/12/00 --- 6513 --- 6484 --- Long --- 0
29/12/00 --- 6548 --- 6484 --- Long --- 0
02/01/01 --- 6531 --- 6484 --- Long --- 0
03/01/01 --- 6465 --- 6484 --- Short --- 0
04/01/01 --- 6580 --- 6515 --- Long --- 31
05/01/01 --- 6589 --- 6524 --- Long --- 40
08/01/01 --- 6582 --- 6524 --- Long --- 40
09/01/01 --- 6592 --- 6526 --- Long --- 42
10/01/01 --- 6598 --- 6532 --- Long --- 48
11/01/01 --- 6564 --- 6532 --- Long --- 48
12/01/01 --- 6601 --- 6535 --- Long --- 51
15/01/01 --- 6608 --- 6542 --- Long --- 58
16/01/01 --- 6582 --- 6542 --- Long --- 58
17/01/01 --- 6652 --- 6586 --- Long --- 102
18/01/01 --- 6665 --- 6599 --- Long --- 115
19/01/01 --- 6712 --- 6646 --- Long --- 162
22/01/01 --- 6701 --- 6646 --- Long --- 162
23/01/01 --- 6677 --- 6646 --- Long --- 162
24/01/01 --- 6714 --- 6648 --- Long --- 164
25/01/01 --- 6740 --- 6673 --- Long --- 189
26/01/01 --- 6716 --- 6673 --- Long --- 189
29/01/01 --- 6725 --- 6673 --- Long --- 189
30/01/01 --- 6751 --- 6684 --- Long --- 200
31/01/01 --- 6736 --- 6684 --- Long --- 200
01/02/01 --- 6742 --- 6684 --- Long --- 200
02/02/01 --- 6758 --- 6691 --- Long --- 207
05/02/01 --- 6747 --- 6691 --- Long --- 207
06/02/01 --- 6773 --- 6706 --- Long --- 222
07/02/01 --- 6763 --- 6706 --- Long --- 222
08/02/01 --- 6788 --- 6721 --- Long --- 237
09/02/01 --- 6758 --- 6721 --- Long --- 237
12/02/01 --- 6769 --- 6721 --- Long --- 237
13/02/01 --- 6775 --- 6721 --- Long --- 237
14/02/01 --- 6748 --- 6721 --- Long --- 237
15/02/01 --- 6752 --- 6721 --- Long --- 237
16/02/01 --- 6719 --- 6721 --- Long --- 237

237 points cashed on LONG position opened 4/1

19/02/01 --- 6717 --- 6721 --- Short --- 0
20/02/01 --- 6700 --- 6721 --- Short --- 0
21/02/01 --- 6668 --- 6721 --- Short --- 0
22/02/01 --- 6639 --- 6705 --- Short --- 16
23/02/01 --- 6626 --- 6692 --- Short --- 29
26/02/01 --- 6641 --- 6692 --- Short --- 29
27/02/01 --- 6681 --- 6692 --- Short --- 29
28/02/01 --- 6650 --- 6692 --- Short --- 29
01/03/01 --- 6606 --- 6672 --- Short --- 50
02/03/01 --- 6583 --- 6649 --- Short --- 72
05/03/01 --- 6588 --- 6649 --- Short --- 72
06/03/01 --- 6622 --- 6649 --- Short --- 72
07/03/01 --- 6629 --- 6649 --- Short --- 72
08/03/01 --- 6614 --- 6649 --- Short --- 72
09/03/01 --- 6577 --- 6643 --- Short --- 78
12/03/01 --- 6483 --- 6548 --- Short --- 173
13/03/01 --- 6378 --- 6442 --- Short --- 279
14/03/01 --- 6254 --- 6317 --- Short --- 404
15/03/01 --- 6304 --- 6317 --- Short --- 404
16/03/01 --- 6258 --- 6317 --- Short --- 404
19/03/01 --- 6219 --- 6281 --- Short --- 440
20/03/01 --- 6219 --- 6281 --- Short --- 440
21/03/01 --- 6104 --- 6165 --- Short --- 556
22/03/01 --- 5929 --- 5988 --- Short --- 733
23/03/01 --- 5943 --- 5988 --- Short --- 733

733 points cashed on SHORT position opened 19/2

26/03/01 --- 6000 --- 5988 --- Long --- 0
27/03/01 --- 6052 --- 5992 --- Long --- 4
28/03/01 --- 6054 --- 5994 --- Long --- 6
29/03/01 --- 6071 --- 6010 --- Long --- 22
30/03/01 --- 6095 --- 6034 --- Long --- 46
02/04/01 --- 6107 --- 6046 --- Long --- 58

58 points cashed on LONG position opened 28/3

03/04/01 --- 6016 --- 6046 --- Short --- 0
04/04/01 --- 5985 --- 6046 --- Short --- 0
05/04/01 --- 6049 --- 6046 --- Long --- 0
06/04/01 --- 6052 --- 6046 --- Long --- 0
09/04/01 --- 6043 --- 6046 --- Short --- 0
10/04/01 --- 6109 --- 6048 --- Long --- 2
11/04/01 --- 6147 --- 6086 --- Long --- 40
12/04/01 --- 6148 --- 6087 --- Long --- 41
17/04/01 --- 6141 --- 6087 --- Long --- 41


Paul



[Edited by BarNov on 10-03-2001 at 03:26 PM]

Welcome to the BB mate....

Looks interesting what you are trying to do. Can you explain a little more how you determine this mechanical strategy, and how best to use it?

Thanks, look forward to your other posts,
Mark

What is it - quite simply I am charting the OHLC data for FTSE250/FT Small Cap in Sharescope with an up/down stop-loss set at 1%. The stop-loss tracks the index on the way up ... will form plateaux .... which will be broken on the way down. It then tracks the index on the way down - forming plateaux again which will be broken when the index turns back up (see chart in 1st post).

Signals - the signal is quite simply the crossing of the stop-loss line.

The 1st post shows the close/stop & position values that I have since I started recording / tracking the index. For FTSE250 I've been trcaking since Oct'00 ..and since Jan'01 for the Small Cap.

Yes I have been trdaing the FTSE250 since Nov .. but only very small time as I'm testing the method. Haven't got into Small Cap yet.

Intend geting back into both when the next signal is given i.e. when the STOPLOSS is broken in an uptrend.

The othet FT indices are too volatile to track with a 1% stop-loss.


Paul.

Thanks Paul,

reminds me a little of my SAR indicator on OT - something I actually find very useful!

I guess if you then look on your long ( or short) days at equities that outperform the index, then you have a sound basis on which to shift the odds in your favour of making a profit. Has it been successful for you?

Nice idea - be interested if you carry on with it here
All the best
Mark

Titus ..

Q - what is your SAR indicator (presume OT is Omnitrader ???)

Certainly FTSE250 has been successful .. but I've only been playing the game at £5 / point.

Must be honest .. haven't even looked at comparing FTSE250 shares with the index .... must give this one some thought.

Paul.

BarNov...

How are you trading the 250 ?

Do you use spread betting or have you a futures account ?

Also - is this all of the data that you have or have you been at it for a while ?

Cheers for the post - very interesting

I trade using CFDs via Deal4Free.

I only have OHLC data going back to July last year ...when Sharescope updated its data download.

I staerted trading in October/November last year on the FTSE250 .. and until today haven't traded the Small Cap.

Basically I came across this by accident. I had a global 1% stop-loss coded in Sharescope .. and one day just looking at the FTSE100 & Techmark charts .. just came across the FTSE250 .. and saw that the 1% SL didn't really cross the OHLC data that often .. and the indexicator was born.

Only started looking at SmallCap in Jan of this year.

I have been in contact with somone via e-mail who has 7 years of data via Metastock .. and he has back tested the method and found good profit to be had ... BUT I can't verify this myself.

Paul.

first thread updated with new data

Paul.

1st thread updated with new data

Paul.

Very Interesting!

I also have sharescope (and OT), I will see if I can come up with similar results.

Have you tried it on the DOW /NAZ/ Nikkei etc....?

Regards,
G.

Seems like you've stirred up a nice bit of interest and got me to thinking too...Thanks for taking the trouble to post here an I hope you see it worth continuing..

SAR

Sorry for late reply - had to work last night!

SAR = "Stop and REverse indicator"
Defined on OT as:
To understand SAR, start by assuming the system is in a long trade. As the trade progresses, the extreme point (highest high) for the move is used to establish a range which continues to narrow, based on distance of today’s SAR from the extreme point. The range continues to narrow until price finally penetrates it, at which time the system reverses and trades in the opposite direction. Because the range narrows by a factor which continually increases, SAR takes on the shape of parabola to the reversal point.

Best results are gained only when the stock is trending.

It would be good if I could get an OT chart onto this board to demonstrate - except I don't know how. Any tips greatfully received!
All the best,
Mark

replies for Iceman/Titus & Chartman

IceMan #1- just in case you don't know how to do STOP-Loss in Sharescope : -
1) get FTSE250 chart
2) Right click
3) Select Stop Loss
4) Select Stop loss settings - this share
5) set % and check up/down box

Iceman #2 - no ..I haven't tried other indices .. Sharescope only does OHLC data for 6 UK indices ... I have closing data for DOW/NAS/Nikkei ... but NOT OHLC.

Titus-uk #1
can you convert the OT SAR into a calculation that can be entered in a spreadsheet ????

Titus-uk #2
to get my charts in the posts I do the following : -
a) in Sharescope I PRINT the chart to a Adobe PDF file
b) open PDF file and select Tools / graphics
c) draw box around the chart (hold left mouse down and slect the graph)
d) edit/copy
e) paste into a GIF application
f) upload the .GIF file to mt web space
g) in the post enter the following code : -

[img=http://users.quista.net/prw/ft250c1.gif[/img]
(replace the 1st = with a ]}

give a test post a try using my ft250c1.gif above

Chartman - glad I've prompted some thought/feedback/comment.

Paul.


[Edited by BarNov on 07-03-2001 at 10:43 PM]

Thanks BarNov,

Just wondering, seeing as its eod prices you are using, if it really matters that the Dow etc don't have OHLC?

Regards,
G.

Iceman ... the actual Stop-Loss is as you say calculated on the Closing price .... BUT the OHLC data when plotted will show you at a glance whether a Stop-Loss value of a small enough percentage is worthwhile after taking into account whipsaws.

In sharescope .. set the SL value at 1% for both FTSE100 & FTSE250 .. and plotting OHLC data ... see how many times and how often the OHLC data crosses the SL line.

Assuming you're seeing what I see ... a 1% SL on the FTSE100 would cause too many trades/whipsaws.

It is due to the volatility of the Dow & Nas that without the OHLC data I haven't considered an indexicator for those indices (yet).

PAul.

Thanks BarNov ..... I understand now

1st post updated with new data

Paul.

1st post updated with new data ...

another 6 pts added to "locked in" value

Paul.

It seems to be me that what you are doing is simply following stocks that have strong directional characteristics and following them as they go up and down.

Of course, it will only work on certain stocks under certain market conditions but if it works that's fine!

Darth.

Darth ... you're absolutely right .. the purpose of this indexicator is to follow and NOT predict.

I've only looked at the 6 indices traded via CFDs with Deal4Free .... and have no idea whetherr the same can be applied to shares ... BUT I'm sure that from the FTSE350 .. I should be able to identify a few .. and who knows .. I may start tracking / trading these (if I find them).

What I would like to do is find other shares/indices that have the characteristics of the FTSE250 & Small CAp .. and then try and find additional indicators that would allow me to retain some more profit.

The original idea of this thread was to show others a simple method I've stumbled across .. but more importantly ... allow others far more experienced / knowledgable than me ... to criticise / comment on what is really a very simple mechanical system.

I'm very interested in what Iceman mentioned which is a SAR indicator in OT .... as it sounds like an indicator that can be applied to retain additional profit.

People should also note that although I can post historical data ... by stating this simple system upfront .. I put myself on the line ... as the system is open to scrutiny each day as we move forward.

Paul.