N225 Trading System

[darren73]

Hi

I'm using MetaStock v8.01 to develop a trading system to support spread betting on the Nikkei. I have a system in place that combines RSI and ADX indicators..... ADX to establish when a trend is developing and RSI for all other times. The strategy appears to be delivering ok results:

Back Test Results over past year:

Out performs buy and hold by 327%
Profit Loss index of 97.66%

Total trades: 80
Profitable: 40
Unprofitable: 40

Av Profit: 255 pts
Highest Profit: 1059

Av Loss: -91
Highest Loss: -139

Stop Loss: open +/- 100

I've also back tested over different time periods and the profit is consistent. I reckon that the strategy can be improved. I'd like to get the number of losing trades down, and I guessing that there's some tuning to be done around the use of the RSI indicator..... perhaps ignoring mid range cross overs.

If anyone is interested in helping develop this strategy, shout and I'll post the specifics. Would be cool if somebody wants to develop a MetaStock expert to go with the strategy.

Cheers

Darren

 

[mr_cassandra]

back testing advice

I've done substantial work on a system of my own, albeit very different from what you are doing. I would suggest to you that you backtest far enough to include very diverse types of market conditions from raging bull market to awful bear market and finally a flat market. All three of these types can be found starting Jan 1994 on thru today. One other caveat is that I've found out the hard way that back-tests are truly just theoretical studies and its very easy to look at their results then and think you could do them now, as regards drawdowns and losses. The best test is real-time trading, even with only small amounts of money.
Last but not least, don't be discouraged by all the armchair system judgers who turn up with cliches and witticisms. Ask them to elaborate about their own research and work, the answer (or lack thereof) will show you much about who you're talking to.
Good luck with your work, Steve

 

[Dave1971]

Sounds very interesting Darren

I have read a thread on a similar idea where the system was based on an EMA crossover using ADX as the filter. I am not sure how much input I can give you but if you post the details I'll try to help as I'm sure many of the more experienced traders will also do.

Dave

 

[Dave1971]

Well said Mr C, as useful and educational as this site is, I too have found there are a few contributors who seem to have an unusually large amount of time spare to take part in these forums? It would be easy for a newbie to be put off, by some of the cynical ones.

 

[darren73]

Metastock formula for BUY

Thanks for the replies, here's the metastock code for the buy:

{Are we in trend? Is the trend at least three days old?}
ADXRising := ADX(opt1) > Ref(ADX(opt1),-1) AND
Ref(ADX(opt1),-1) >= Ref(ADX(opt1),-2) AND
Ref(ADX(opt1),-2) >= Ref(ADX(opt1),-3);

{Do we have an RSI above it's MA}
RSICrossOver := Cross(RSI(opt2),Mov(RSI(opt2),opt3,TRI));

{Buy when ADX shows a new trend and the close has crossed it's DEMA}
{Or when the market is out of trend and the RSI has crossed it's MA}
When((ADXRising AND CLOSE>Dema(CLOSE,opt4))
OR (ADXRising < 1 AND RSICrossOver);

I'm not sure I'm using the ADXRising correctly, I was trying to only take trends that looked firmly established.... but shouldn't I be increasing the parameter to the ADX formula? Any comments would be appreciated.

The formula for the sell reverses the RSICrossOver and CLOSE vs Dema comparisons.

Cheers

 

[mr_cassandra]

Imo it breaks down like this

I agree. Though I'm very new to this particular board, I've noticed it seems to have a large amount of people who specialize in witty responses that don't help the original poster at all.

Imo, on these and all boards, people should be encouraged to always offer a 'better idea' for any doubt or criticism they offer about what someone is doing.

Well said Mr C, as useful and educational as this site is, I too have found there are a few contributors who seem to have an unusually large amount of time spare to take part in these forums? It would be easy for a newbie to be put off, by some of the cynical ones.