FTSE system

Thanks Stephen

No i haven't used it.

Do you plan to use Diirect Market Access spreadbet via futuresbetting/twowayfutures?
 
No I will use direct market futures through Interactive Brokers, I have heard a lot of talk of the co. you mentioned but as yet not had time to look at the pros and cons. It's taken me a month to get online with IB if it looks like saving tax though it's something I'm going to have to look at.

Stephen
 
Hi Stephen,

Similar to your ftse system, I just modified a bit which is buy higher about 6 points higher than the yesterday high and sell 6 points lower than yday low. Initiate two trades.. one for ftse set the profit target of 20 points (with stop loss 20 points) and another trade keep it open and close that depending on the chart and RSI figures.. The same can be used for dow but target points to be set differently. Finspreads offers market only execution so there is no need to worry about getting this executed overnight spike.
I found to be around 70% success rate.. pls let me know your views?
ta
Hegde
 
So you are saying each morning if market exceeds previous day's high by 6 points (say .1%) then you buy with a 20 point stop and 20 points limit order. Same on the downside too.

I don't follow where the RSI comes in to it, do you mean to help decide whether to carry over night?

You have tested this to some degree I guess if you've got that 70% figure from somewhere.

Can you tell me what data you used and how far you went back.

Also worth looking at how long and bad the bad times were. Sometimes you'll find something decent that losers over 12 months, although over time that shouldn't matter sticking with it during that 12 months is tough and you probably won't do it, also if that 12 months is now you'll never get it off the ground.

Accurate data has to be used. If using yahoo the previous close is used as the open by default so it lets you believe there was a chance to enter at a price that in reality you might not have chance to, do you follow?

In essence I do believe in these sorts of systems but you have to get concrete back testing taking in to account comms etc and if at the end of that you've got something it's easier to follow knowing that you know it can work over time.

I guess I'm saying how have you tested it and we'll take it from there.

Stephen McCreedy
 
Hi,
You got most of points correctly.. here is bit more clarification. There are two trades each day one for the 20 point target (ftse, optimal) and one for the higher swings... (target is about 50+ points keeping it for couple of days or so)
Of course I used yahoo data with excel. I went back almost 10 years and found to be quite succesful.. my one worry is if it breaks the previos day by 6 ponts and then comes back by 20 points before going higher.. Unfortunately to test this you need interday data..
but recent data (you can check yourself).
Hope this clarifies. let me know your thoughts..

regards,

Hegde
 
Right I see.

I am afraid there is one problem that I alluded to before that the yahoo data isn't accurate enough for trading this system as it sets the market open as the previous day's close. Often when large upswings occur the market can 'gap' higher at the open and as such the trade you hoped to enter, or your excel data said you did enter might not be possible.

Here is an example.

On monday the FTSE closes at 6000 setting a high of 6030 that day. Your system says if the market trades at 6036 I'll buy the ftse twice, both trades will have a stop loss of 20 points, one will have a limit of 20 points and one might be left open in the hope of getting on a larger move.

Well on tuesday say the market opened at 6045 in reality you wouldn't be able to buy the trade you want at 6036 even though the yahoo data tells you you would have been able to as it would have the open (which may also be the low) as 6000, the previous day's close.

Do you see the problem.

I am not saying that your system isn't good, in fact it follows most the right things, buying when the market is going higher with a stop, letting some of the trade run longer for a bigger swing and limiting your downside. Whether the limits you use are usable and whether you would get in to the trades yahoo said you would is open to debate. Not that I'm saying it's bad, I'm just saying with yahoo it is unprovable.

I had a similar problem with my system as often the yahoo data would say I entered a trade that in fact you wouldn't be able to enter.

As your entry orders are above the pdh not pdc as in my case this might affect you less but really you need some accurate data to test your idea strongly enough that you'd have the faith to stick to it by the book.

Get some 'proper' data, I'm still trying to work out the best source and then re test it, I'm sure the basis is there though.

Stephen McCreedy
 
MK

I have a few months of Jun FTSE futures data, if you would be interested in getting it to test out your system instead of the Yahoo data send me an email to [email protected] and I'll send it over.

Would it then be possible for you to send your system back to be to look at after?

Thanks

Stephen

PS The data only goes back 60 days but would be interesting to see how results vary compared to the yahoo data as yahoo doesn't show opening gaps.

Also can get data for expired FTSE contracts and try on that too.
 
coded this system into wld

I started reading this thread 2 weeks ago and the first excel sheet intrigued me. orb's are potentially interesting but have the serious flaw that the avg profit is usually very very skimmpy making it rarely a tradable option in real life. you start adding commisions and slippage and voila, you are in th red.

anyway, the sheets and the discussion really intrigued me as the margins seemed to be large enough. it did however surprise me that for the time this thread has been going on there actually has been no programming of a system to test all the suppositions and theory. alot of opinion but no substance. so i took it upon myself to program this system into wealth lab developed (the platform i use) to finally put the debate to rest (obviously the next best step it to actually trade it with money).

Well, some of you will be surprised, while others will be saying 'i knew it'. This week i will devel deeper into my findings publishing results and tables.

take care and keep on trading.

jeff davanzo
 
I "discovered" this system, I think in the year 2000, on DAX. Backtested it then on 7 years of historical data. Than traded it for 6 months. In a first run I made 11,000 euros, in a second run drawdown doubled, than system pulled up and I stopped with loss of about 2,000 euros. So in total I made 9,000 euros, but change of the drawdown during the live trading spooked me totaly and thouroghly.

I stopped trading it and after I that system tanked down. From the summer 2001 onwards volatility dessapereared out of many stock index markets and this, essentialy brakeout system, suffered. No volatily, no profit for the brakeout systems.

I was not able to find a filter that will exclude tight range days.

Otherwise, during the 7 years of backtesting data, this was making 100-200% per anum. It worked on SP and NQ, but not too well.

cheers, dejan
 
This is one of the best trading idea I ever seen.

It does provide a good foundation and just need to improve a bit to suit your trading style.
 
I started reading this thread 2 weeks ago and the first excel sheet intrigued me. orb's are potentially interesting but have the serious flaw that the avg profit is usually very very skimmpy making it rarely a tradable option in real life. you start adding commisions and slippage and voila, you are in th red.

anyway, the sheets and the discussion really intrigued me as the margins seemed to be large enough. it did however surprise me that for the time this thread has been going on there actually has been no programming of a system to test all the suppositions and theory. alot of opinion but no substance. so i took it upon myself to program this system into wealth lab developed (the platform i use) to finally put the debate to rest (obviously the next best step it to actually trade it with money).

Well, some of you will be surprised, while others will be saying 'i knew it'. This week i will devel deeper into my findings publishing results and tables.

take care and keep on trading.

jeff davanzo

What were the results of your test from this good/bad? Seems to work on paper trading
 
Top