Big Ben on the FTSE100

I dont have the time to read 108 pages, but (and I'm not being rude or suggesting it doesn't) but does this system in it's latest format have a positive expectancy over a relevant period?

Tomorton, do you have expected returns over say the last 6, 12 and 24 months?

(Or if anyone else has back tested this or has everything in place to do it quickly, can anyone help?)

Just purely out of interest.....

Thanks all!
 
Hi trader30. The v1 rules advocated using the High and Low levels from 0800-1000hrs to give entry points and the H-L range to give target and stop. This had a positive return over about 24 weeks from mid-August 2010: from memory, only 4 weeks had more stops hit than targets hit and 5 straight calendar months were winners. Only 1 rolling 4-week period had more losers than winners.

The current rules are v4 and have much less history, we're testing as we go along, e.g. v2 only lasted about 5 weeks, v3 for 1 I think. The last week's trades have been run on v4, with much more limited, fixed point target and stop, which looks more profitable on paper, but the Libya situation has made backtesting or current performance irrelevant. You can't realistically plan this system to take advantage of Libya situations, as they are fairly uncommon and lead to unpredictable and unusual market behaviour. The best you can manage would have to be risk control, so that you're not wiped out by geo-political crises. Some backtesting has indeed been done and there is an optimistic spreadsheet, see above.
 
My sell order was not triggered today (2pt margin between BB Low and entry level worked well) but my buy triggered at 12:52, so I am long.
 
Strange, I'm with Caps too. I saw the FTSE100 Rolling 0800-0900 range as 6001.8-5963.3 and entered a Sell order at 5961.3: wasn't triggered.
 
tomorton said:
.......
The current rules are v4 and have much less history, we're testing as we go along, e.g. v2 only lasted about 5 weeks, v3 for 1 I think. The last week's trades have been run on v4, with much more limited, fixed point target and stop, which looks more profitable on paper, but the Libya situation has made backtesting or current performance irrelevant. You can't realistically plan this system to take advantage of Libya situations, as they are fairly uncommon and lead to unpredictable and unusual market behaviour. The best you can manage would have to be risk control, so that you're not wiped out by geo-political crises. Some backtesting has indeed been done and there is an optimistic spreadsheet, see above......
Click to expand...

The paragraph above amply sums up why anyone trading this system with real money is crazy. Trader30 is post #861 asked exactly the right question, particularly of a set & forget B/O system.

This is not yet a Trading Edge.

G/L
 
Cheers bbmac. I'm relaxed about the failure of a mechanical discretion-less system under strange market conditions. In a sense, if it didn't fail under such a stress test, that would suggest it's not yet a coherent system but is offering reward on a random basis - which would be cheery of course but not what's needed.

Alright, that's a bit flippant, but it's always been clear from first posts that this is a real-time development. In principle, I agree with you, the preservation of capital is the primary instinct and any events / performance / results out of the ordinary should trigger a policy to limit risk.
 
tomorton said:
Strange, I'm with Caps too. I saw the FTSE100 Rolling 0800-0900 range as 6001.8-5963.3 and entered a Sell order at 5961.3: wasn't triggered.
Click to expand...
I was at 61.3 as well, and missed by about .5 pip with t1ps. I noticed IG only went down to about 5962 as well, so a lucky escape for me, and a win later. (y)
 
@Tom: I haven't noticed any particular strange behaviour in the FTSE whilst the ME revolution is going on, although I've only been watching it for 4-5 months so I guess I don't have a full feel for it yet. The daily range seems good, some solid moves happening also. What makes you think the FTSE is acting out of character lately? Genuinely interested.
 
well thats 2 losses for me already this week, a buy on 6041.3 right? Good job it's only like £2pp lol, getting the feeling I might just join the 95% and give up.
 
brewski1984 said:
well thats 2 losses for me already this week, a buy on 6041.3 right? Good job it's only like £2pp lol, getting the feeling I might just join the 95% and give up.
Click to expand...

You are trading with something that isn't a proven Trading Edge...what do you expect !
 
Hi Dubai - The only thing that makes me suspicious of the FTSE right now is that it seems to be making abortive moves out of the BB range which quickly fail, taking price not only back into the BB range but actually out the other side, going through the stop on the way. This happened 4 times last week, the first time I have seen such a poor performance in 1 week.

As a rule of thumb, over 6 months observation, BB should be tradable on about 90% of days - days with US closed markets, UK public holidays, days when price does not break out of the BB range, or when the BB range is excessively wide make up about 10%. Of the tradable days, trades should be about as follows -
40% target hit
25% expired positive
20% stopped out
15% expired negative.

As the win rate is only about 2:1 and r:r is only 1:1, and no account is taken of expected newsflow, trend, TA, s/r levels etc., regular and possibly prolonged losses must be expected. But, as quite fairly said above, 'What do you expect?'!
 
Dubai said:
@Tom: I haven't noticed any particular strange behaviour in the FTSE whilst the ME revolution is going on, although I've only been watching it for 4-5 months so I guess I don't have a full feel for it yet. The daily range seems good, some solid moves happening also. What makes you think the FTSE is acting out of character lately? Genuinely interested.
Click to expand...

Maybe not the recent events, but one oddish feature is that FTSE has detached itself from the DOW to the weak side since the back half of January. Had it (FTSE) been keeping pace it would be well over 6200 at the moment.

jon
 
I guess that after all the backtesting and the promising projections, I didn't expect to have been stopped out on the last 6 out of 7 trades. It's a very frustrating game this trading lark!
 
The backtesting was minimal.
The projections are fairly sketchy.
Seven is not a suitable sample size for anything except Russian Roulette.
Take nothing whatsoever from your 7 trades.
 
brewski1984 said:
I guess that after all the backtesting and the promising projections, I didn't expect to have been stopped out on the last 6 out of 7 trades. It's a very frustrating game this trading lark!
Click to expand...

I have not been following this thread regularly, used to do so when what you now call the version 1 rules were being tried out.

The backtesting for the new rules, were they done manually/automatically on a 1min chart or a tick chart?

From skim reading the new posts from the last few weeks, I saw that someone may have backtested on a 1 hour chart to conclude tha the historic win-rate was quite high. However, given that the fixed stop and target are now so close to entry, is it possible that the backtest results would be different if you test the V4 rules on a lower time-frame - i.e. it could go through the stop and go back to target within a 15 minute period and the backtester on a 1 hour chart might have treated that as target hit rather than as trade stopped out?

Apologies if this is all sounds like nonsense, just a quick thought that arose in the empty space between my ears that pressed harder than its peers to find a permanent abode on the wondrous internet!
 
I did take nothing from those seven trades, in fact less than nothing lol.

When I did some backtesting, if a candle went through both the stop and the target I lowered the time frame sufficiently to check which one was hit first. Obviously if the candle only went through either the target or the stop, then it would be a win/loss respectively.
 
Backtesting was minimal. Projections are sketchy. Seven trades doesn't prove a system will work - but it's enough to illustrate that something statistically unusual is occurring.

I'm not aiming to publicise a completed working system, I hope to take a system that was made by others to work tolerably well on GBP/USD, translate it to the FTSE100, then enhance its features to make it work better. This is a journey, not a destination.

I've hit 5 losers out of the last 7 trades, so this part of the road is somewhat pot-holed. But I have limited the damage occurring by cutting position size to one third and it will have to stay down there until we have enjoyed an equally profitable sequence to restore the perfofrmance to average.

It would be very helpful if someone could do the backtesting I can't do - checking the road map as it were. Use v4 rules or any permutation of your choice. This is a debate, not a sermon.
 
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