You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Designing and Building a Profitable Automated Trading System
- Thread starter ScottD
- Start date
Suprisingly the model did ok today. Still using the same parameters since last Friday. For the ES, it made 12 trades for 9.25 points, but that only represented a capture ratio of 0.20 (not that good). It lost 8.75 points alone on the reversal on bar #20. One problem with an end of bar strategy, is that you have to wait for the end of the bar! LOL. Lost another 3.75 points on the chop after 3:00. Not sure what do do about conditions like that. I'm exploring some "adaptive" measures, but not sure if they will work. I'd like to hear from others on what they might be using. The key is to be able to recoginze periods of chop early enough so that you can exit until dominance is re-established.
Attachments
The model results for the NQ was:
11 trades for 23.25 points
0.71 capture ratio, 75% in market
The model results for the YM was:
11 trades for 88 points
0.66 capture ratio, 78% in market.
Given that I'm getting fairly consistent results across the three primary futures contracts (ES, NQ and YM), I believe the logic is reasonably sound.
11 trades for 23.25 points
0.71 capture ratio, 75% in market
The model results for the YM was:
11 trades for 88 points
0.66 capture ratio, 78% in market.
Given that I'm getting fairly consistent results across the three primary futures contracts (ES, NQ and YM), I believe the logic is reasonably sound.
Quote from WGTrader:
The model results for the NQ was:
11 trades for 23.25 points
0.71 capture ratio, 75% in market
The model results for the YM was:
11 trades for 88 points
0.66 capture ratio, 78% in market.
Given that I'm getting fairly consistent results across the three primary futures contracts (ES, NQ and YM), I believe the logic is reasonably sound.
WOOO! Average profit of 2 points. Guess we can go buy that island! LOL!
Quote from veggen:
wow, thats some amazing results!!
Allmost to amazing! Where is the downside??
I have to admit that I'm rather suprised that such simple logic can produce this kind of results. But as you can see from my trade logs, I'm not hiding anything. You can see the indicator values, price, volume, etc for each and every bar. I can tell you though that a high volatility chop day will eat this alive. However, since one doesn't get those every day, I expect in the end it will average out, hopefully positive!