support and resistance system cannot be automated
Continuing from here:
http://www.trade2win.com/boards/trading-journals/85510-my-journal-2-a-206.html#post1424298
This is the last time I will work on this system because I have met an unsolvable problem: I cannot automate it due to a history request problem.
But first let me summarize the system:
The system is done. It works perfectly (LONG and SHORT) on all currencies except AUD and it works also on GC and CL.
If you add some tolerance (0.1% of price) to the support and resistance being exceeded or matched, then trades double and profit increases by 50%. So this system would produce about 5 trades per future traded per year, so that is good enough, bringing my trades to about 35 trades per year, which is 3 trades per month. Just perfect so far. And it has 80% of wins.
One last thing: this system cannot absolutely be traded in discretionary mode, because it would require constant monitoring and placing of limit orders. Automation would solve everything.
But, and here i get to the problem, automation cannot be implemented, or at least not on all futures, and it's only worth doing this if I'll trade it on all 7 futures.
First of all: support and resistance work best if you use the forex value rather than the futures. Also because the futures will give you a lot of problems with contracts expirations.
So it is out of the question to measure those values on the futures.
But then, whereas EUR and GBP are perfectly fine and I should be able to download the needed 3 months of history for them, JPY, CAD and CHF are reversed for forex (it's not USD/JPY but JPY/USD).
This could still be solved by monitoring the reversed forex values and automating the system for the forex while still executing it on the futures, but it would involve a lot of work, maybe too much right now. The main question is if TWS will easily let me download 3 months of history, every day, for 5 currencies.
On top of this, I need to find a way to set up on TWS a continuous contract for gold and oil (GC and CL), since GC and CL contracts actually last at the most 2 months, which is less than the history I need.
I might or I might not be able to solve these problems efficiently. Having said this, the back-tested system is perfectly profitable and worth trading (still have not checked the out-of-sample, but I am very confident: I am just saving it in case I need to make more changes).
You see, for one thing, here they say that IB does not offer "continuous contracts", so this would mean that I cannot implement my systems on GC and CL:
http://www.elitetrader.com/vb/showthread.php?s=&postid=2293155&highlight=tws+continuous#post2293155
...it seems that IB TWS does not offer continuous contracts. So it can show you any contract you want (including expired) but cannot link them...
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Written later
Solved it!
I have discarded CL which didn't work well enough.
I have tweaked some other settings, slightly.
I have decreased the time span during which I poll the lowest low (viceversa for short strategy) to just 1000 fifteen minute bars. I also decreased the Pre-period to just 400 bars. The total history I will need to download from TWS is 21 days, which is good enough because even on the worst future, GC, I can find decent history from TWS, which goes back long enough to detect the highest high and lowest low.
Everything is perfect to start trading it soon. I will wait anothe week to see if I come up with something better and then I will run the whole thing on the out-of-sample.
Overall, each of the six systems trades 6 times per year, which means I get about 36 trades per year from all systems, which is 3 trades per month. Very very good.
Considering each trade makes about 100 dollars on average, I can make 300 dollars per month, without any worries.
These systems have a profit factor above 5 on average, and a percentage of wins around 80%.
It's not much, but it's about 3000 dollars a year with a margin needed of about 3000. So it's like another one of these systems that return 100% which I can add to my portfolio.
Now I have a portfolio of 77 systems (provided these last six systems all pass the out-of-sample).
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I am not sure what this type of trading is called. I need a short name for my "system type" tags. These systems are based on bounces off support and resistance.
If anyone has any advice, let me know.
The categories I have right now are:
ON bounce
Opening Gap
overstretched
Range Breakout
Volat.Breakout
WeekDay Bias
WITH ID trend
Considering the categories I have, I might call this new one (unless anyone has better advice) the "ID SR bounce systems" or the "ID HHLL bounce", which stands for "IntraDay Support and Resistance bounce" and the "IntraDay Highest High and Lowest Low bounce".