Novel use of Moving Averages

ok gcb, that was the open positions figure i came to on that original sheet. i think if you shorten the MA then you find you have less open positions...

a second idea is to change the entry criteria...

try to find a simple way of establishing where we are in relation to recent prices...

hint.. look at , for example, todays price in relation to recent weekly closes, or monthly closes.

if we are above them then go short, or below then go long. close on the more recent exit criteria i have posted (4 period highs/lows)

improving the entry reduces the number of positions without seriously damaging profitablility.

if you want a simple example...use the entry method i posted on my Xmas Project thread.

eg , if the last 4 days have shown an increase in price, go short, vice versa for longs..

there are loads of options out there for the counter-trenders amongst us...


Danger, high voltage!
 
gcb01 said:
FetteredChinos

. Sadly there is. The worst day is 21/9/2001 where I reckon that on the day's high/low it is down 12,830.5 points (I haven't worked out the margin requirement). Now in terms of the system it is ok because the cumulative capital by that point is excellent and (assuming it has not been spent) would absorb that no problem. Incidentally that trade closed with a much lower loss.
Click to expand...

gcb,
What would be the next worst day if you would exclude 21-9-01 ? That day was probably an anomaly tied to reopening markets after World trade center collapse.

Chinos, have you tried to apply same entry rules but then exit in next day or two ?
 
yup, and they are nowhere near as good.

still profitable, although the distribution of trade profits/losses are somewhat tighter, so they could be traded with a larger stake size....

im still experimenting..

its like the 60s all over again, man...
 
ottos said:
gcb,
What would be the next worst day if you would exclude 21-9-01 ? That day was probably an anomaly tied to reopening markets after World trade center collapse.

Chinos, have you tried to apply same entry rules but then exit in next day or two ?
Click to expand...

Ottos

excluding that series of trades around 11/9, the next worst is -10,937. There are 425 days worse than -1,000.

The system seems to work in that if you hang in there, eventually the market will move your way. I guess if you could afford to trade this system then you wouldn't need to trade at all.

FC

I am using 10 SMA and 4 period exit rule.

There is a weak correlation between the number of the trade in a series and the profit of that trade, i.e. it is the earlier trades where the money is lost.
 
More analysis

I've only done this for longs but:
The average profit per trade is about 21 to 26 for days 1 to 5 (day being the number of the day in the series of trades) but then rises to 50ish for day 6 and then keeps rising. Likewise the ratio of winning/losing trades rises from 2ish to 4+ by day 9 and never comes below 4 thereafter.

About 75% of the profit comes from about 50% of the trades (not quite 80:20). I will investigate the impact on drawdown.

PS FC I now understand the logic of your system with the exit price working back.
 
nice work GCB. im pleased you have got the hang of it. :) my excel sheets are usually a lot more complicated than they could be.

and yes, waiting for a few consecutive signals is one way to reduce "drawdowns" etc.

but then you sacrifice overall points... you loses your money, you takes your choice.. etc..


im gonna try a simple method out on the Dow in a bit..

results to follow...

FC
 
FetteredChinos said:
yup, and they are nowhere near as good.

still profitable, although the distribution of trade profits/losses are somewhat tighter, so they could be traded with a larger stake size....

im still experimenting..

its like the 60s all over again, man...
Click to expand...

lol, way to go !
 
gcb01 said:
I've only done this for longs but:
The average profit per trade is about 21 to 26 for days 1 to 5 (day being the number of the day in the series of trades) but then rises to 50ish for day 6 and then keeps rising. Likewise the ratio of winning/losing trades rises from 2ish to 4+ by day 9 and never comes below 4 thereafter.


PS FC I now understand the logic of your system with the exit price working back.
Click to expand...

GCB,
Do you have a profit numbers for day 1, day 2, day 3 ? I am working on intraday method based on this FC tread so this would help me a lot.
Thanks
 
I stumbled across these boards a few months ago and have lurked in the background ever since trying to follow the discussions as best as i can!

I recently opened a spread betting account with Capital Spreads with a view to trying out a couple of Chinos' FTSE strategies but they appear to impose a compulsory stop loss on all trades. Can any of you guys recommend anybody else I might try? Cheers.
 
erm the compulsory stop loss is for your own protection..

you can bang a stop as far away as you want from the current price.. 500pts should do you!!

i would be very careful in trying to trade these live...

the drawdowns are humungous if you arent careful and filter the entries...

FC
 
Sorry, I should have said Capital Spreads don't allow you to determine your own stop loss, it's set at some arbitrary figure determined by them.
Their Demo account I tried set the stop loss automatically at 80 points, which I feel is overly restrictive.

Who do you use FC?
 
oh yes they do

spongebob75

CS automaticallyy set a stop but once it is set you are free to change it. Like all SB companies there is a limit on how close they will allow you to place ot the stop to the current price.

don't know if this works on the demo site.
 
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