Dow 96 point entry

[Glenn]

Mombasa
Just to clarify:
I didn't alter the actual triggers to 10 points, I altered the figures in the 100 day average fields.
This did reduce the Buy and Sell triggers, but only to 50 and 40 points (down from ~70 points).
Question is whether 40/50 points triggers are practical. I guess we won't know until intraday data is used.
Glenn

 

[quint]

The problem with a trailing stop on a system such as this is that you run the risk of losing the big one day gains/losses that are actually the core of the decent returns. I think its great that we are working on these simple systems in our search for 'the holy grail'. So far we have had 2 really good suggestions in Johns system and IK's system. I wonder what would happen if you tried a combination of the two: ie hedging with the opposite bet on the FTSE if the DOW trigger is hit before 4.30pm our time. If the DOW had a late collapse you may be protected by an early drop on the FTSE next morning, as happened today. It's just a thought that has occured to me so I'm happy to be shown the error of my ways.

 

[darrren]

Philip

The ideal would be two robust and profitable systems that would leave everyone to chose their preference.

I think you have made the right decision to start a separate thread to avoid confusing the issue. The work is in progress on the 96 system and needs to remain focused.

Personally, I would enjoy doing a Dow Grab and Run as I'm at the screen during the day anyway, but also have a mechanical system that produced very good returns over the longer period.

 

[darrren]

Hey Moderators - What's going on?

I have just replied to Philip on this thread and by the time I submit my reply his post has been moved to a new thread.

So now my reply refers to a post that's not there .

Members may think I've finally lost the thread (pardon the pun).

Comments?

 

[dailydow]

Yes that is a bit off as it did relate to the 96 thread to.
It is in the GRAB AND RUN thread to is you want to reply .

cheers Philip

 

[JonnyT]

Hi John,

Taking your hypothetical system that breaks even for 3 years then produces a good profit in the fourth.

The problem is Human Physcology.

I doubt that many people could trade such a system long term, despite it being fundamentally good. Lets say the market goes up 30% and you break even. You will feel bad, can you handle that?

That has been the trust of my argument all along.

JonnyT

 

[Glenn]

Courtesy of Metastock, which contains a good Backtest and Optimisation system :-

"One of the most common mistakes made in system testing and optimization is over-fitting the trading rules to a specific set of data. Before you get too excited when you think you've found the "holy grail" of trading systems, check the following.

· Check the equity line. It should gradually slope upward. Abrupt spikes indicate inconsistent profits.
· Test the system on different time frames. The results should be similar to those on the original data tested.
· Test the system on different securities, across different industries.
· Optimize again using only half of the original data tested. Then test the remaining data using the optimum values. If the system is valid, the results of the two tests should be similar.

· Test the system on different types of markets (e.g., upward trending, downward trending, and sideways). A good system should work in all types of markets, since you won't always know when a market changes from trending to trading or vice versa.
· Remember that human expectations control the prices of securities. Therefore, it may not be realistic to expect a mechanical system to consistently predict changes in their expectations. We suggest you use trading systems in conjunction with other investment analysis techniques."

Glenn

 

[jpwone]

Hi JonnyT

Cards on the table time. I threw the concept into the IK thread because I felt the returns which were expected from the IK system did not justify the risk. It was a bit of a throwaway comment at the time and i did not expect it to run and go as it seems to want to.

My own interest is partly academic (mental masturbation I think it is known as) and partly a desire to crack this elusive nut (ego ?). I am trading mainly Forex now but still have a little money sitting in a spreadbet account. I am not trading this account very actively but am reluctant to close it. I know .... never get sentimental about money . Anyhow, this seems an ideal use for that account.

I totally agree by the way about the discipline required for this method of trading. Be interesting to see if I can stick to it. I think the key is that I do not need to see immediate results or need the excitement of trading. Forex provides for those needs and then some.

John

 

[JonnyT]

Hi John,

I fully understand, Forex is rather exciting!!!

However there are some very simple swing trading strategy's for the EUR/USD that have produced 200 pips+ net per month on average over the past few years. These are IMHO more suitable for SBs.

i.e Take higher highs and lower lows and build a bit of simple money management in

JonnyT

 

[snip]

Would you like to expand on that last statement JonnyT. I'm looking for a simple swing method and just recently I have been experimenting with Forex.

Cheers Snip

 

[JonnyT]

Hi Snip,

Just trade breaks on the www.fxcm.co.uk EUR/USD daily charts.

i.e. Look to go short below 1.1750 (Last Swing Low) at present.

Then use money management.

JonnyT

 

[snip]

Thanks JonnyT, but I thought you had some kind of mechanical system.

I have heard that forex obey's the TA patterns better than most other markets.. so I will give it a go......

Cheers Snip

 

[JonnyT]

I do have a mechanical system and made $475 per contract last week

JonnyT

 

[snip]

JonnyT

I guess we must assume that this mechanical system will remain your secret. Shame really, but never mind, I hope it brings you success.

Cheers Snip

 

[dazz]

Hi All,
I have read all last 27 pages and would like to offer alittle help.
No offence is meant at all, only I thought this may help
The process appears you wish a mechanical system, if Dow has dropped or gained 96 from that close you enter. The worry is knowing if you should exit.
Over the last year I have found using prophet.net the following that may help you once in a trade.
I use 5-11-26-100-200 DEMA.
Full Stockastic,W%R,MACD Hist and CHO, ive played with these setting. Anyway as long as the 5and 11 are crossed on 15min and 30min timeframes the trend will remain. You may get a 15min cross but see if it crosses the 26. On 30min Timeframe poss resistance and supports other than obvious chart visuals are the 100 and 200 dema.
I think if you allow or add this to your system, you have a known should you exit and early warning on 15min. As long as the full stockastic hasnt crossed you can also use that. The W%R and CHO allow you via various period number settings see how much is left in the swing. Apply this to day candles and you can use the 5-11 for following the short term trends, which may avoid swings.
I can elaborate if you wish, but i just wanted to add to the system on a chart setting and indicators to help.
All the best, i know i will be folowing and checking this.

 

[jpwone]

Hi dazz

<i>No offence is meant at all, only I thought this may help</i>

All comments, criticisms and suggestions are more than welcome.

The system has already been modified slightly as a result of feedback from the board to take better consideration of more recent averages. I will shortly be testing to optimise stops and entries based on intraday data for the current method. Once this is done we can move onto the next step which is optimising the method used for entry and exit.

Thanks for the input.

John

 

[dazz]

Hi John and others.
I thought the problem and is really when you have a mechanical entry system, which you could preset i think on capitol spreads to live test in player account was when to exit. By applying the indicators you have it, when 5-11 dema cross at 30min,also Full Stockastics cross. This would assist if in a trade and know when to exit.
Hope it goes well.
Similar system to wat Chinese Numbers do and a system that was on spreadsbetting.co.uk forum called the orb.

 

[jpwone]

<b>Update</b>

I've been running it at the 75 point entry for the last few trading days. 75 chosen to take into account the recent tighter ranges. Seems like a good value with little probability of a false stop from a quick visual review of some charts.

Anyhow, missed the entry today. I've got to start trading with a company which allows online limit orders with associated stops.

Still went long at 9950 and took a small positive (15 points) for the day.

 

[milt]

I've followed this thread with great interest,a lot of good stuff on it.
You might find this useful,it's 2 systems for trading S+P futures and i think was first developed by Larry Williams:
SYS 1:Breakout
Calculate threshold (40% of prior day's range)
ONLY trade before 12.30 NY time.
Go long when price >threshold from open,short when price < threshold from open.
Set your stop at 4 points.
SYS 2:Reversal
Use full session S+P future
If prior day's close < close 2 day's prior,go long when price > 2 day's prior.Or vice-versa for short entries,again with 4 pt stop.
Of course,you still have to figure out when to use each system!!!

 

[JonnyT]

Hi milt,

I backtested both and felt they didn't have an edge...

JonnyT