Emintrader trading system

Hi Laurentb,

and Congratulations !!!!!:p You are the first to make public research based on my ideas. Good !

I know your results are great because i trade this strategy since several years.

Effectively you can go short with this strategy. It works well too. In fact, you can apply 4 complementary strategies based on my system.

Sorry but the power of the system is ALSO in the L5% values. :) Timing is essential in trading. My L5% values are not calculated by using ATR (average true range) or other common indicators. My L5%values are based on a proprietary computer program with a specific logical philosophy that i don't find in technical analysis. I use Behavorial analysis to generate my L5% values. That's why my L5% are unique (excepted you know the code).

Take care : my L5 values are mostly NOW around 2-3% but in long term they can fluctuate a lot..

Have good trades !
Best!
Emintrader
 
Quote from laurentb:

Hi Emintrader!

I must say I am very impressed by the signals you have given so far. The system works very well. However the real power of the system is not in the L5 values. They are mostly around 2-3% values, with not a lot of variance. I have found out that using the 3-day average true range %*multiplier, instead of L5, optimized with genetic optimizer, generates even better results. Besides that, I also added the possibility of going short with the system, of course using opposite rules, while greatly enhancing the profit potential. See my screenshot below for (1 year backtest) example, although this one only trades GOOG using the rules. I am still working on a system which trades 5 stocks. That should increase the profit potential by a factor 3.

Thank you for this simple, yet great idea!:cool: I will post updates about my progress with the system.
More...

Very interesting post, Laurentb. This is something that surely needs to be explored and back-tested. I need to get my Wealth-Lab environment back up and running. So, your contention is that the short-term volatility of the stock should play into the equation ?

So, are you using Opening Price + ( ATR% * Opening Price) as your entry point ? And Double that delta as your profit target (similar for short entries) ?
 
Hi Emintrader,

Behavorial analysis seems very interesting. Very surprising is the fact that using the range variables I seem to get often values close to yours. Only on some occasions the difference is substantial. Coincidence I think. Of course those occasions can make the difference between a great system and an average system...

In my opinion the basic rule of your system alone is just genious, how did you come up with it? It's what makes the system work in the first place. I really appreciate the fact that you share the strategy with us. Hope we can help you refine the strategy even further, so you benefit from us also.

If you add some simple additions to this basic strategy, I have been experimenting for quite some hours with it now, the results get even better. I cannot post all details in public yet, but the preliminary results are of the charts!:eek:


Laurent
 
Hi laurent,

"In my opinion the basic rule of your system alone is just genious"
-> Thank you...:) For me it is the best day trading system i have ever experimented. I say that not for the performance but because it is SIMPLE, MECHANICAL and EMOTIONS are reduced at lowest.

"how did you come up with it?"
-> you have been experimenting for quite some hours with my strategy now. I am working on creating trading systems since SEVERAL YEARS. I have lost many before winning. I have experimented fundamental analysis and/or technical analysis with few success. And one day you have an idea and you test it. i studied Behavorial of the stock market and i find a logic behind fluctuations. All stocks have the same logic. Some just performs better. Behavorial analysis is not technical analysis. I do not use common indicators you can find for free like ATR, etc...

"If you add some simple additions to this basic strategy"
-> take care : it was my error at the beginning. I wanted to optimized trading system for better results. Result : stock market change of behavorial in the future and performance goes down. Never forget in technical analysis that you are analyzing the past.
So today I keep my logic wich is not specific at some stock markets or some stocks. I was in love with programming. Now i am in love of real trading.

best regards!
emintrader
 
Results :
HCBK : None
MRVL : None
RIMM : None
JNPR : None
SCHW : Buy at 17.846. Close at 17.61 So - 1.332%

2009-04-20 :
HCBK : L5 = 2,0992%
MRVL: L5 = 3,301%
RIMM : L5 = 2,493%
JNPR : L5 = 2,2844%
SCHW : L5 = 2,2117%

Have good trades...

Overall bilan : + 119,0034%

FSLR: L5 = 2,8512%
SKF : L5 = 4,6053%
 
Results :
HCBK : None
MRVL : None
RIMM : None
JNPR : None
SCHW : None

2009-04-21 :
HCBK : L5 = 2,0992%
MRVL: L5 = 3,301%
RIMM : L5 = 2,493%
JNPR : L5 = 2,2844%
SCHW : L5 = 2,2117%

Have good trades...

Overall result : + 119,0034%

FSLR: L5 = 2,8512%
SKF : L5 = 4,6053%
 
great posts and congratulations on your success. I have some questions which i hope you can clarify. at the beginning, you mentioned "I test since december 2008 an easy and simply system that makes +51% now", and later on, you mentioned you have used the system for several years. If the market is in an uptrend, the system will do a great job as expected, which is shown in the current uptrend. what is the system return in a bear market like since 2008,May? I am asking because I am truly amazed by your results, not because I have doubts of it.
 
When Emintrader began trading live in this forum, HCBK was trading at 11.85. Over the course of the following two months the stock traded down 28% to a low close of 8.53 before recovering back to essentially where it started , todays close 11.73. Amazingly during that time, with Emintraders system HCBK generated approx. +15% gain .
 
Hi trend2009 and babe714,

Thank you for your compliments.
:)

English is not my native language so sometimes i have some difficulties to explain exactly what i want to mean. By "test" (i can't change my first post) i mean "i give you the result of my system in public". I have begun in another forum (i can give you just the reference by email because of Elitetrader) ; this forum is now empty so that's why i come here.

I am proud of my system because of In a bear market it shows positive results, and even better since 208, may !! Moreover, i recommend to play this system by going both long and short per stock, and results are then better.

Thank you babe714 for your comments:)
 
In order to test how emintrade's simple system works under different situations, I performed the following studies:

1) use the L5 value emintrade provided since 2008/12/22 to today
2) use the intraday 1min data from esignal for the 5 stocks mentioned in his posts.

the results:

total trades: 88
win trades: 54
lose trades: 33
average gain per trade: 0.36%

If I use open and close price from yahoo, and other intraday data from esignal, the results:

total trades: 163
win trades: 97
lose trades:66
gain per trade: 0.2%

it means the open price from yahoo is lower than from esignal in general. the more trades, the less gain, which is expected.

If enlarge L5 by 10%, ie. the new L5=1.1*L5 (original), use esignal open and close, the results:

total trades: 81
win trades: 44
lose trades: 33
gain per trades: 0.2%

when L5 is decreased by 10%:

total trades: 91
win trades: 55
lose trades: 36
gain per trade: 0.3%

it seems increasing or decreasing L5 decreases the profitability, which means L5 computed by emintrade is at its optimal value, which is quite interesting.

I also tested using the three day ATR instead of L5 on the same time range from 2008/12/22 to 2009/4/20. the results:

total trades: 66
win trades: 38
lose trades: 28
gain per trade: 0.36%

you can see the three day ATR gives almost similar results as L5.

However, if the test went back to 2007/08/01 to the current, with 3 day ATR, the results:

total trades: 499
win trade: 252
lose trade: 247
gain per trade: -0.07%

so the results become somewhat interesting. the results indicate the time frame from 2008/12/22 to now is quite different from 2007/08/01 to the current. Since I do not have value of L5 before 2008/12/22, I am curious how L5 would work starting from 2007/08/01.

This analysis is by no means to imply that L5 would fail as 3-day ATR. If L5 can perform as well as from 2007-08-01, it is truly amazing, and I believe emintrade has already done such kind of analysis.
 
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