FTSE 100 trading system - only 10 days data but 100% hit rate so far - need more data

[cablemonster]

Volatility breakouts can give you an edge albeit a modest one. You need to think about which ranges are likely to break out further relative to your stop and why. Trading every range breakout is likely over time to be a losing strat.

 

[j2o]

Tim Wreford uses the following rules:

Do not trade on Thursday.
Do not trade if previous day’s
average trading range x 1.6 > average previous 5 days.

Do you apply these rules as well, or do you ignore them?

Not a single person on this forum, including Tim Wreford, has come forward to claim any success with this system yet his article is receiving prominence in the "Articles" section?

Regarding the rule about Thursday trading, I'm not sure he meant that literally, I think he was just trying to point out that your results should be analysed, and any adjustments made accordingly. I don't follow either of those rules, but I have some others of my own.

Did you get a chance to do any back testing?

 

[j2o]

I think that everyone understands that this is not your system. It has been tried over many years, by many people.

However, it depends on whether you have that edge. If anyone has an edge, they are unlikely to tell us, because that is their secret between success and failure.

If I may criticise it, I do not like the size of the stops that a 30 minute bar requires. But that is a personal thing. My advice is that, as you are on a winning streak, you keep at it and see how it pans out.

I said I would let you know how I got on, I have tried this for a month now and here are the results:

I am averaging a win/loss ratio of around 50%, this is probably in line with expectations.

I tried two systems for the FTSE, first with a daily profit target of 5 points and secondly with a daily profit target of 10 points. After one month, on the first system I made a loss of 5 points and the second system made a profit of 10 points. I suppose this is in line with the advice you and others have given. I think instead of closing at my target limit, if I let the winners run, I might be able to improve on this performance.

Now the good news, I also tried this with the Dow, with profit targets of 10 points and 20 points, and in the same month I've made 120 and 140 point profits respectively. The win/loss ratio is around 65%. Probably just beginners luck, I realise that one months trading is nowhere near enough, but I might as well carry on.

If I may ask one question: when counting my win/loss ratio, I have not counted the trades where I made zero profit (due to moving the stop loss to break even), how should these be counted? Should I have a different category for these trades for analysis purposes?

Thanks for your comments.

 

[hacks]

I said I would let you know how I got on, I have tried this for a month now and here are the results:

I am averaging a win/loss ratio of around 50%, this is probably in line with expectations.

I tried two systems for the FTSE, first with a daily profit target of 5 points and secondly with a daily profit target of 10 points. After one month, on the first system I made a loss of 5 points and the second system made a profit of 10 points. I suppose this is in line with the advice you and others have given. I think instead of closing at my target limit, if I let the winners run, I might be able to improve on this performance.

Now the good news, I also tried this with the Dow, with profit targets of 10 points and 20 points, and in the same month I've made 120 and 140 point profits respectively. The win/loss ratio is around 65%. Probably just beginners luck, I realise that one months trading is nowhere near enough, but I might as well carry on.

If I may ask one question: when counting my win/loss ratio, I have not counted the trades where I made zero profit (due to moving the stop loss to break even), how should these be counted? Should I have a different category for these trades for analysis purposes?

Thanks for your comments.

The results aren't good - I haven't yet accounted for spreads and slippage, so $1 per trade will result in a loss!

The target profit is 10 points and the stop loss is 80 points which is a bit large, but that is because the 15-minute bar has a large range and Metastock is unable to "look into a bar" unlike TradeStation. I will have to test it again on 5-minute data to get a tighter stop-loss.

Break-even trades should really be losing trades because a loss of opportunity and interest.

 

[j2o]

The results aren't good - I haven't yet accounted for spreads and slippage, so $1 per trade will result in a loss!

The target profit is 10 points and the stop loss is 80 points which is a bit large, but that is because the 15-minute bar has a large range and Metastock is unable to "look into a bar" unlike TradeStation. I will have to test it again on 5-minute data to get a tighter stop-loss.

Break-even trades should really be losing trades because a loss of opportunity and interest.

Hacks,

Thanks for providing your results, I agree with you regarding the 80 point stop loss, I can't imagine anyone risking 80 points in order to make 10.

My own trading is still going according to plan, I will re-assess at the end of the second month.

 

[D70]

Hacks,

Thanks for providing your results, I agree with you regarding the 80 point stop loss, I can't imagine anyone risking 80 points in order to make 10.

My own trading is still going according to plan, I will re-assess at the end of the second month.

lol, guessing you dont zulutrade