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The data is not useable for such a trading system.

You need to use futures data.

Without getting angry I will say this for the 20th time on these boards:

You cannot trade the cash indices. If you backtest then use the futures data.

FC download one of my prior spreadsheets and use that futures data and see what the results are along with drawdown etc.

Only then will you be able to confidently say the method has worked in the past.

I have in the past had a system that averaged 40 points per day on the Dow. It lost using futures data and in reality when traded.

Please please please I am trying to help.

JonnyT
 
JT, yes i do know and appreciate that..

but looking at this new plan objectively...

we are taking two fixed points that the SB companies generally have no bias on. indeed, capital spreads say that their daily bets close at the "OFFICIAL MARKET CLOSE" .therefore little/no bias n'est-ce pas (except for rounding errors)

todays close and yesterdays close are therfore pretty much fixed.

the premise of this system, is if the market then moves by a certain amount from this point, lets say 20 points for this example, then it will go even further by the close. if it doesnt then the other limit order will cancel it out for a daily loss of 40 in this case.

i have backtested it using the futures data and yes, it does make a loss. but the main difference is in the daily ranges in comparison to the cash index. these are lower than the downloadquotes daily range, and thus the ATR is smaller, and hence the BUY/SELL orders are placed closer together. hence we get double-triggered more often. (double trigger=loss)

look at my s/s again, and replace the "chinos" figure with 20 in every cell. pretty much the same result.

so using these two fixed points we still have a "tradeable" system.

i may be being thick here, but i cant see the problem. this s/s even takes opening gaps into account.


FC
 
I'm a little confused FC. Take 11/1/00 for example. Buy price is 11591 and sell price is 11552. The market closed at 11511. That gives a sell profit of 41 and a buy loss of 80 but your spreadsheet shows a buy profit 41 and a sell loss of 80.

Are your trigger prices supposed to be stop or limit orders? Are you playing the breakout or fading it?
 
JonnyT said:
Bramble,

I under estimated the results so carried out a quick calc.

In backtesting the system has averaged over 10 pips per day.

In forward testing using real trades the system has averaged around 10 pips per day.

The system trades once per day and has a stop loss of 5 pips.

Anymore info and it will cost you $50,000

JonnyT
Click to expand...

I prefer the second set of figures anyway! 10% less net profit, but far more importantly was the 50% reduction in equity risk!!!

Sounds like a good one JT.

As for more info - you give me your trading system and if it works, I'll give you the first $50,000 I make from it. How about that?

You'll know I've made that much because my location will change from Peterborough to Rio...
 
Sid, well spotted, glad you are taking the time to critique my latest opus lol..


its just an error in the labelling of the columns

column P should be BUY PROFIT
column q should be SELL PROFIT


ie the opposite way around.. the actual figures were correct (!!??) though.

hope this helps

FC
 
OK, so you are using stop orders at your trigger points, not limit orders as per your previous rules?
 
well err, isnt it one of each, as in theory the price will be between the ranges where we get triggered?

or am i going bonkers. ive had a long day staring at excel!


FC
 
JonnyT said:
Bramble,

I under estimated the results so carried out a quick calc.

In backtesting the system has averaged over 10 pips per day.

In forward testing using real trades the system has averaged around 10 pips per day.

The system trades once per day and has a stop loss of 5 pips.

Anymore info and it will cost you $50,000

JonnyT
Click to expand...

Is it the one you posted on the Eurostoxx site then pulled :D
 
Neil,

A modified version...

Hope you didn't print the page...

FC,

Does your spreadsheet account for gaps?

The futures move more than the daily cash...

If it loses on the futures, it will likely lose when traded.

Either way it seems that the system is marginal at best.

JonnyT
 
Yes JT, it does...

and so, provided that my new data is correct and the "index" does trade within the High/Lows stated then we should be in business.

trades are placed as close to kick-off as possible.

today for example i decided to bit the bullet and go for it


ie Long at 10488, short/cover etc at 10448 (20+/- on yesterdays close) index opened in the region of 10510, and i got in at 10513, cover at 10448 as per masterplan

another public humiliation on the cards i reckon!

im gonna see if i can put in another rule to fade large opening gaps with loose-ish stops and see how that does.

FC
 
Fading the gaps at 09:30 (US Time) produced 30 points per trade for the Dec 03 Dow future. (hold till 16:00)

JonnyT
 
Call me naive, but FC's strategy seems a bit like trying to "eat all the cake" - attempting to make money with both buy and sell orders on the same day. Often the profit of one is lost as the other order is triggered!

Wouldn't it be easier to just follow the one that is triggered first, and then close it with a trailing stop loss? Or maybe, close the trade if it reaches the other trade point?
 
Cheers JT, i thought it may be in that region


stopped out at 10448 -68 pts...


played 1 , lost 1 goals for 0, goals against 68


hmm, looks like Barnsley or Swindon at the moment


lets see what happens tmr.
 
Hi everyone,

I've been lurking around this wonderful forum for a few weeks now, very educational. however, being a junior at this trading 'game', I really don't have much input to give. But... someone asked about closing prices, try www.advfn.com they offer real time prices on the DOW plus FTSE for free if you register, I've been running it for a couple of weeks and it seems ok, plus it gives up to the minute (I think) forex data, charts and news for those so inclined.

regards to you all

Ragl
 
Wouldn't it be easier to just follow the one that is triggered first, and then close it with a trailing stop loss? Or maybe, close the trade if it reaches the other trade point?



Blue, the thing is, without intraday data when backtesting we really dont know which has been triggered first. therefore, using OHLC can be misleading

the trade does close when it reaches the other point

eg orders are BUY 10520 , sell 10480

market opens at 10500, goes up, triggers trade and falls back through the 10480 mark.. both trades trigerred, net result -40..

however, i'm trying to capture the moves when the market goes through say 10520, and then goes like an exocet (or should that be a SCUD bearing in mind what has happened recently) toward 10600 or beyond for example.. these 100 point day moves are pretty common, and thats the plan at any rate..

having looked at my spreadsheet again, 57% of days we get stopped out in the region of -40 overall, but in the other 43% we get those hefty moves, even after taking the opening gap into account.

with regards to the trailing stop. i dont know any SB's co's that offer these as yet, and the main purpose of this "system" is so that i can just plonk my orders in just before the Dow opens, and then spend more of my time either A) on the golf course or B) in the pub.

FC
 
Always go for the 'B' option FC. 'Cause by the time you get back home from the pub, you wouldn't give two monkeys to what's happened on the dow (hic).
 
FC I think this system is promising but...you must test it with futures data not index data. There are two reasons:

1. The cash index will always open within a point or two of the last close and then quickly adjust to the futures value as the individual stocks open. So if the futures are 100 pts up at the open the index will still open close to yesterday's close and quickly move up. You would never be able to trade at the 'open' price because the SB's base their quote on the futures and will already be 100 pts up.

2. The futures/sb prices move around more than the cash index. There will be times that, in reality, both triggers are hit even though the cash index only hit one of them. You'll be amazed how often this can happen (especially when spreadbetting!).

Once you test this with proper futures data (YM/ES/NQ) I think the profitability will be drastically reduced but it's still a good basis for a system. Add a few filters and you could be on to something.
 
Sid,

point taken, which is why i am going to fwd test this so we get a "definitive" answer once and for all lol..

backtesting is only worth so much. forward testing worth a little more. Live is the only thing that really counts...


lets hope i dont wipe out my account in the next few days lol.. god only knows why im doing this rather than my old (and shall remain undisclosed) method lol..

hmm, intellectual challenge? my god its torturing me lol...


wish me luck chaps..

smoke me a kipper, and i'll be back for breakfast.

FC
 
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