Big Ben on the FTSE100

Have run some back tests over the weekend to see if I could find anything interesting. My first time backtesting in Ninjatrader so not sure how accurate the results were, a quick glance over the charts showing entries and exits looked about right although I haven't managed to include the average range rule yet.

Target of 25 with a stop of 9 seemed to be the most profitable with a win rate of approximately 46% over the last year (1/1/10 - 1/1/11). Target 18 - stop 9 had a 51% win rate, Target 13 - stop 11 had a 56% win rate. Target 15 - stop 11 has a 55% win rate.

Will keep working on it...
 
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Very enterprising work pb, though I have no idea how ninjatrader comes up with these figures: does it really access all intraday FTSE prices over the year?
 
tomorton said:
Very enterprising work pb, though I have no idea how ninjatrader comes up with these figures: does it really access all intraday FTSE prices over the year?
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Im working with 1 min bars from the ftse futures.

Downloaded historical data from is99.com and imported to Ninjatrader, programmed the bb rules into a strategy and then ran it repeatedly tweaking the target and stop each time. Will post some screens when I am done refining the strategy to include avera
ge range. Will revisit some of the old versions of bb to see how they perform.

Have tick data as well although not 100% sure how to use this and it takes hours to import.
 
Yes, another no-trade day.

Good work on the back-testing. Anything over 55% win rate would be pleasing: actually, I could live with 60% over a year, while 65% would potentially take me into new car territory.
 
Tough luck brew - I was expecting the worst too but checking my account shows my short was not triggered, but long was, closing at target at 11:45:56 (short entry order was at 6005.3, low reached was 6006.8).

I have just submitted a request to my boss to let me reduce my working hours here: not just on BB's results you understand, other considerations too, but it is a factor.

Once more unto the breach.
 
My charts suggest a draw for the system this week, 2-2, with no trade on Monday. My personal performance was better, at 3-0, owing to conservative placing of entry on Wednesday, while today's long trade was just a small loss as I closed it early afternoon - of the last 17 trades to hit target, only 3 took longer than 4.5hrs.

Over the last 4 weeks, the v6 rules show a slight positive result, at 7-5. Ignoring the no-trade rule would have done so much better at 13-6. Going back to 2010 rules and using the BB range as target and stop would have delivered 8-8, with 1 expired positive and 2 expired negative.
 
I am indeed brew. I suppose that if the profit from the system comes from the modest positive preponderance of winning trades over losing trades, as opposed to the quality or scale of those winning trades, it will be self-defeating to try to discriminate. I am thinking BB is just a war of attrition, like trench warfare, nothing tactical or elegant or tricksy. Just brute numbers.
 
tomorton said:
Tough luck brew - I was expecting the worst too but checking my account shows my short was not triggered, but long was, closing at target at 11:45:56 (short entry order was at 6005.3, low reached was 6006.8).

I have just submitted a request to my boss to let me reduce my working hours here: not just on BB's results you understand, other considerations too, but it is a factor.

Once more unto the breach.
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Tommo - don't reduce your hours of work; the wife will only find you more tasks to fill the long day:LOL::p
 
You're probably right neil - doesn't Parkinson's Law say, 'Wives expand to fill the time available'?
 
tomorton said:
You're probably right neil - doesn't Parkinson's Law say, 'Wives expand to fill the time available'?
Click to expand...

hahaha..........my time expands and my wife fills it with tasks for me to undertake:LOL::LOL:
 
tomorton said:
Hi pair trader - I'm not sure why you're driven to pairs trading, and I'm sure there are simpler routes to it if you're really good at it. Also, do note that this firm is based in Belize, not exactly noted as a bastion of strong regulation and consumer rights in the face of the financial services industry.
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Hi tomorton,

I have prior experience trading Pair Options and this is how I got into Pair Options trading. I had a look at where Stockpair is based, but this wasn't an issue when I started trading with them.

I took this to the test as I already deposited and withdrew my funds from this Pair Options broker in a timely manner.

pair trader
 
I must have read the charts wrong then I did only have a quick look earlier and assumed it was a win.
 
No trade for me today, range is outside the 10 day average. Looks like it would have been profitable though.
 
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