Er umm. I posted wrong!
It is a 2 x 1 that the results are from. The results from 1 x 2 shouldn't be disimalar.
You should remember though since XMAS it has been a great time for this technique. Nov/Dec whilst profitable weren't this hot and did suffer a 40pt drawdown.
JonnyT
It is a 2 x 1 that the results are from. The results from 1 x 2 shouldn't be disimalar.
You should remember though since XMAS it has been a great time for this technique. Nov/Dec whilst profitable weren't this hot and did suffer a 40pt drawdown.
JonnyT
I tried to reproduce your results on back data for ES from 24 December. I simply reversed positions after 5 x 1 pt boxes from last high/low. My results show 36.25 pts in 127 trades. Although I have twice as many trades as you reported I cannot see anything I could have programmed incorrectly to cause this - there does seem to be that many trades using 5 box reversals. Is there anything else you are doing to filter trades?
If I can find out what the difference I can run it over 6 years of data and report back.
Mike
If I can find out what the difference I can run it over 6 years of data and report back.
Mike
Mike,
Are you using correct PnF? Simply counting points from Hi/Lows is wrong without using the boxes correctly.
The first few trades are:
Short 897 Exit 875 22 pts
Long 875 Exit 871 -4
Short 871 Exit 875 -4
Long 875 Exit 873 -2
Short 873 Exit 873 0
Long 873 Exit 885 12
Short 885 Exit 889 -4
Long 889 Exit 905 16
I'm not going to say my numbers are 100% accurate as they were done manually, but I think they are close.
JonnyT
Are you using correct PnF? Simply counting points from Hi/Lows is wrong without using the boxes correctly.
The first few trades are:
Short 897 Exit 875 22 pts
Long 875 Exit 871 -4
Short 871 Exit 875 -4
Long 875 Exit 873 -2
Short 873 Exit 873 0
Long 873 Exit 885 12
Short 885 Exit 889 -4
Long 889 Exit 905 16
I'm not going to say my numbers are 100% accurate as they were done manually, but I think they are close.
JonnyT
Hello, everyone. My first foray into the new CTS!
JonnyT,
What trades/outcomes do you get for the SierraChart that you posted? (covering 28/1 to 6/2)
Me and my pencil got 0 points total from 31 trades, excluding commissions and slippage. I had to count the 4 point gain on the open position at the end to 'break even'!
Have I made the same mistake as Mike, whatever that is?
Ian.
JonnyT,
What trades/outcomes do you get for the SierraChart that you posted? (covering 28/1 to 6/2)
Me and my pencil got 0 points total from 31 trades, excluding commissions and slippage. I had to count the 4 point gain on the open position at the end to 'break even'!
Have I made the same mistake as Mike, whatever that is?
Ian.
I'm not using P&F directly but it is quite easy to program the logic behind P&F into a system, particularly with a 1 pt box size. All I do is take the integer value of the 1 minute close to give the 'box number'. Then you can set the buy/sell stops as +/- 5 boxes away from the current box depending on whether the system is long or short.
Looking at your first trade I can get the same entry at 897 at about 14:00 on 26 Dec but it exits near the end of the day at 891 after a 5 box reversal from the low at 885.75. My system seems to have a lot more of these 'extra' trades that takes away most of the gains.
I've attached an excel report of all the trades.
Mike
Looking at your first trade I can get the same entry at 897 at about 14:00 on 26 Dec but it exits near the end of the day at 891 after a 5 box reversal from the low at 885.75. My system seems to have a lot more of these 'extra' trades that takes away most of the gains.
I've attached an excel report of all the trades.
Mike
Oh Sugar!!!
I think I might have boo booed.
I intended to have a 1x2 chart but I did the working out from a 2x1 chart using 5 point reversals, which of course you cannot do from a 2x1. Why did no one spot this
My intention is to take another look and see if there is anything I can do with the damned thing.
However I have successfully tested this on EuroStoxx using 10x2 4 box breaks and got over 300 points in the same period.
Just making sure you are all awake...
JonnyT
I think I might have boo booed.
I intended to have a 1x2 chart but I did the working out from a 2x1 chart using 5 point reversals, which of course you cannot do from a 2x1. Why did no one spot this
My intention is to take another look and see if there is anything I can do with the damned thing.
However I have successfully tested this on EuroStoxx using 10x2 4 box breaks and got over 300 points in the same period.
Just making sure you are all awake...
JonnyT
Re: Oh Sugar!!!
So you are saying a 10 point trading reversal criteria($500)?
JonnyT said:I think I might have boo booed.
I intended to have a 1x2 chart but I did the working out from a 2x1 chart using 5 point reversals, which of course you cannot do from a 2x1. Why did no one spot this
JonnyT
So you are saying a 10 point trading reversal criteria($500)?
JonnyT said:
Ah, that explains it. My pencil recorded one point worse than yours at each reversal point i.e.
S 852 850 -2
L 852 850 -2
S 850 854 -4
L 854 854 0
S 854 842 12
So effectively a six box reversal, using your criterion.
Or looking at it another way, half a point commission/spread and half a point slippage on each transaction would mean operating the system for nothing! (over this small data sample)
Have you tried this for real?
P.S. If the SierraChart is 2x1, why does every column start and finish at an even number?
TBS said:
I do all my PnF charts in Excel, easy to read and keep, plus updating them through the day keeps you on top of the price action.
Here is the chart for todays FTSE futures action:
The sell point marked on it is the 5 box reversal as suggested by JT. The red font denotes that the market gapped down first thing.(in this case from a high of 3670 yesterday)
Hi TBS
I use Indexia and Updata TA for p & F charts...but I note that you use excel for these charts...
Could you please explain how do you set it up in excel..I want to create one and test it against charts on indexia and updata....
regards
zanbuck
Hi JT,
I have knocked up and emini pnf chart for you here:
www.theblindsquirrel.com/charts/sp.xls
The bold entries are the main action, the un-bold are the overnight action.
The chart goes back to something like the 14th of January and still covers 2 and a bit pages (normally 3 months of FTSE).
I havn't worked out any P&L figures on it as I almost lost the will to live just doing the chart!
I have knocked up and emini pnf chart for you here:
www.theblindsquirrel.com/charts/sp.xls
The bold entries are the main action, the un-bold are the overnight action.
The chart goes back to something like the 14th of January and still covers 2 and a bit pages (normally 3 months of FTSE).
I havn't worked out any P&L figures on it as I almost lost the will to live just doing the chart!
