A Very Simple System...

[HurricaneUS]

won't work.....


......and any attempts to massage, fondle, and caress the data to get it profitable will just be a curve-fit designed to tell you what you want to hear......

 

[keeptradin']

Quote from HurricaneUS:

won't work.....


......and any attempts to massage, fondle, and caress the data to get it profitable will just be a curve-fit designed to tell you what you want to hear......

What period did you backtest to come to that conclusion?

The simplicity of the system makes the massaging, fondling, etc. irrelevant.

The open/entry price is what it is, as are the stops and target and MOC exit. Hence the screenshots to document the price action.

 

[HurricaneUS]

Quote from keeptradin':

What period did you backtest to come to that conclusion?

...my 15 years experience coding and testing hundreds of systems...

 

[keeptradin']

Quote from HurricaneUS:

...my 15 years experience coding and testing hundreds of systems...

Okay, so it's your opinion based on your experience that it won't work.

I was hoping you had actually backtested for a longer period than I have to support that statement.

 

[HurricaneUS]

Quote from keeptradin':

Okay, so it's your opinion based on your experience that it won't work.

I was hoping you had actually backtested for a longer period than I have to support that statement.

I don't need to backtest it to know that it won't work....you're spinning your wheels......but if you insist then go ahead and knock yourself out.....

 

[jazzguysoca]

I'm afraid I'd have to concur with HurricaneUS on this; Buying SPY/ES at the open and selling it at the close via MOO/MOC orders generates a negative expectation equal to the commission cost.

Adding equally spaced stop/target orders adds no edge. It just attenuates the swings; Over the long run the profits from the target exits are cancelled by the losses from the stop exits.

Think about it: If one could gain an edge simply by buying/shorting at the open and exiting at the close, it would be quickly arbitraged away as everyone jumped on the bandwagon. So if you're entering at the open and exiting at the close, you're just trading a signal akin to white noise.

Note that I've backtested this on SPY (without the bracket orders) when I was doing some research on hedging. There's no edge here.

Good luck all the same.

 

[keeptradin']

Quote from keeptradin':

Long ES @1380, Target 1390, Stop 1370.

See attached chart with entry.

Let the fun begin...

Covered ES Long at 1370 (Stop hit) minus ten points.

Cumulative P/L: -10.00

We will see what Monday brings...

 

[dazzwater]

Theoretically, entering a position with TP 10 SL 10 will result in you losing all your money in the long run.

1. There is no fundamental or price-action basis for this strategy. You cannot claim there will be an edge here, ie that it will hit the TP more frequently than the SL. Unless you are counting on the thinking that the stock market always rises in the long run due to inflation etc. But that doesn't seem to be the case, judging by recent history...

2. Even if it hits the TP at the same rate as the SL, eg 50 TP hits and 50 SL hits after 100 orders, you will still be in the red because of the spread or commission. eg $500 profit for 50 TP hits - $500 loss for 50 SL hits - $10 commissions (assuming $0.10 commissions per order) = $10 total losses, thanks for nothing.

3. Even if there are no commissions, and you manage to find an instrument which has equal chances of hitting the TP or the SL, in the long run you're going to hit the Gambler's Ruin problem: in a series of 50-50 coin tosses against the market, you will always lose in the long run, because eventually you will go bankrupt before the market does.

So even if your back-tests show a profit in the short run, I would advise you not to put real money on it. Not unless you have a time-frame and good fundamental reasons to think that the instrument price will rise within this time frame. Or unless you think your luck will never run out.

 

[mgabriel01]

Quote from dazzwater:

Theoretically, entering a position with TP 10 SL 10 will result in you losing all your money in the long run.

1. There is no fundamental or price-action basis for this strategy. You cannot claim there will be an edge here, ie that it will hit the TP more frequently than the SL. Unless you are counting on the thinking that the stock market always rises in the long run due to inflation etc. But that doesn't seem to be the case, judging by recent history...

2. Even if it hits the TP at the same rate as the SL, eg 50 TP hits and 50 SL hits after 100 orders, you will still be in the red because of the spread or commission. eg $500 profit for 50 TP hits - $500 loss for 50 SL hits - $10 commissions (assuming $0.10 commissions per order) = $10 total losses, thanks for nothing.

3. Even if there are no commissions, and you manage to find an instrument which has equal chances of hitting the TP or the SL, in the long run you're going to hit the Gambler's Ruin problem: in a series of 50-50 coin tosses against the market, you will always lose in the long run, because eventually you will go bankrupt before the market does.

So even if your back-tests show a profit in the short run, I would advise you not to put real money on it. Not unless you have a time-frame and good fundamental reasons to think that the instrument price will rise within this time frame. Or unless you think your luck will never run out.

Truer words were never spoken
My compliments!

 

[dazzwater]

Quote from jazzguysoca:
Think about it: If one could gain an edge simply by buying/shorting at the open and exiting at the close, it would be quickly arbitraged away as everyone jumped on the bandwagon. So if you're entering at the open and exiting at the close, you're just trading a signal akin to white noise.

You seem to be saying that all simple strategies won't work because of the if-it's-so-simple-then-why-hasn't-anyone-thought-of-it-yet rule (There's probably a real name for this rule but anyway )

I believe simple strategies can work, and also are preferable so as to minimize the risk that your "complex" strategy is simply a result of over-fitting to historical data. But there should be a reason for the choice of price direction. In keeptradin's case, the strategy always goes long. Why?