Can anyone test the following strategy ??

Quote from abhay:

Summary: if price rises +2 or +2.5 pts from prev close then BUY and Sell at Prev close + 4 or 4.5 pts with STOP = Prev close - 2 pts

If price drops by -2 or -2.5 pts then SELL at Prev close - 2 or 2.5 and cover at Prev close - 4 or -4.5 with STOP = Prev close + 2

Just one trade and quit after 1st trade completed.
More...
Not surprisingly, you still have left some details open or not fully defined. Never mind, I'll use my own assumptions. If you don't hear from me, it's either because :

(i) I still haven't gotten around to doing it, or

(ii) it turned out to be better than my current system.
 
I rarely use them, but I had a feeling that I should've inserted a :) at the end of my previous post. It prevents misunderstanding, especially among the newer members.

abhay, don't worry, I'll share.
 
Abay,

Hang in there.....let me help.

Folks what Abay wants to know is this..and leave him alone and just help.

From the open plus 2 points what is the MAE (maximum adverse excursion) before reaching 2 more points? and vice versa for short. Then test 3.....Then test 4.......

He wants to know the win rate to this study. He will later define the stop based on statistical MAE......but he must first discover the MAE, then test again. He wants to discover the best ratio's by tweaking the target and the stop to hopefully get a 1:2 or 3:1 risk to benefit ratio. There are combinations of other statistics such as 10 day ATR, Gap open. Also one could use a measurement of MA slope or other indicators to improve and aid in the question of "to enter or not to enter"


Michael B.
 
I tested this on various stocks the beginning of this year using www.wealth-lab.com (software for writing strategies and backtesting). There is a user community with many public strategies to use, test, and modify. You might be able to find this exact strategy or one similar to it.

Anyway, my results were fairly good on this strategy as long as the stock was trending, but it was not consistent and too hard to predict which stocks, going forward, it would work best on with out some other indicator to see if it was trending. ultimately, I gave up since there are too many other strategies posted that give stronger results across different market types. It was really not worth my time chasing what I thought was going to be a really simple strategy.

Also, if you are interested in making a few points a day on the ES, then you might want to check out Mohan's service through 21st Century Futures (http://www.21stcenturyfutures.com/page/tcf/). I'm not using his service, but I've followed his column before and he often has some dead on trades to produce 8-10 points. You won't get that everyday, but it seems like he has hit 8-10 points at least 2-3 times a week (heard from some other friends who followed his free service for a month). If it is possible, 16+ points a week on 1 ES contract is not too bad. Anyone else using this service? If so, what kind of results are you having?
 
I have seen that somewhere on the web (don't remember the site)

Go long at open + 40% of yday range
Go short at open - 40% of yday range
Stop 4pts or exit on close.
One trade per day and before 12.30 EST.

99 +7000$
00 +14000$
01 +8750$
02 +10650$

Max dd around 3500$
 
I have seen that somewhere on the web (don't remember the site)

Go long at open + 40% of yday range
Go short at open - 40% of yday range
Stop 4pts or exit on close.
One trade per day and before 12.30 EST.

99 +7000$
00 +14000$
01 +8750$
02 +10650$

Max dd around 3500$


I have made bold text above around the conflicting rules. Is it at the open or 12:30est?

Michael B.
 
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