ES Journal - 2012

[Macho]

Quote from mastacoli71:

Date this buy the close sell the open strategy back to beginning Dec 2010 through yesterday close. Wish I could go back further but my limited back testing ability does not allow me to. In any case, this buy the cash close sell the cash open yields 10% total return assuming one is laying down the same dollar value bet day after day. Market during that same time frame yields 13.75%, same parameters. I'm sure if you go back further the numbers will be similar.

Let me ask you a question, which one would you choose? Hmmm, head scratcher for me.

Net, after commissions?

Optimal profit level and consecutive losses, if you have them would be useful.

 

[Lawrence Chan]

Quote from chaykapwr:

50 Up days/88 total days=56.8% of trading days are up days for the Period Oct/11-02//07/12

19/26=73% of trading days are up days for all of 2012

While the first number is in line with where it should be (50/50 split, even though historically it should have a very very slight bias towards up)

The second number is way out of line. Sure you can make the argument that the sample is very small, BUT the fact is, going long at the close of the day, and selling at the close of the next day for a higher price has a probability of 73%

It is not the longest one in history doing this grind up thing.

Give it a day or 2 more (so by end of this week) it will enter the zone in terms of time that it is more likely to revert to mean - in this case more down days over up days.

 

[mastacoli71]

Quote from Macho:

Net, after commissions?

Optimal profit level and consecutive losses, if you have them would be useful.

That is before commissions so the 10% would actually be less.

The simple backtest I did was buy cash close, sell next day cash open. Did not dive any deeper into it then that; don't see any reason to unless indicators and MA's are used. At that point the strategy becomes market timing.

 

[mastacoli71]

Quote from chaykapwr:

seems we will be waking up to another gap up day.

Really? Where did we close yesterday?

 

[ammo]

spx monthly and reduced http://imgur.com/uqs51

 

[mastacoli71]

Quote from Lawrence Chan:

It is not the longest one in history doing this grind up thing.

Give it a day or 2 more (so by end of this week) it will enter the zone in terms of time that it is more likely to revert to mean - in this case more down days over up days.

I know we are probably wasting our time trying to convince these guys that think there is actually something there with this buy the cash close sell the cash open. It probably just adds unnecessary posts to scroll through.

I won't post anything more about this subject but it was fun actually backtesting for my first time. Lol.

 

[mastacoli71]

Quote from ammo:

spx monthly and reduced http://imgur.com/uqs51

What do you mean by reduced? I'm not familiar with the term. Does it mean hitting the TL that you have drawn? Thanks in advance.

 

[EON Kid]

Quote from Lawrence Chan:

It is not the longest one in history doing this grind up thing.

Give it a day or 2 more (so by end of this week) it will enter the zone in terms of time that it is more likely to revert to mean - in this case more down days over up days.

 

[Trvlwanderer]

Quote from mastacoli71:

I know we are probably wasting our time trying to convince these guys that think there is actually something there with this buy the cash close sell the cash open. It probably just adds unnecessary posts to scroll through.

I won't post anything more about this subject but it was fun actually backtesting for my first time. Lol.

You are assuming anyone pays attention to his posts with any seriousness.

 

[kinggyppo]

Quote from JoshDance:

Generally, IQFeed is considered by many traders to be the best data money can buy for under $100 a month. My TT broker feed, for example, is absolute crap for volume accuracy, though it's just great for routing orders. But the only thing that really matters is that we trade well and make money. A good trader with a crappy data feed will do much better than a crappy trader with a good data feed.

At the end of the day I will give you the volume breakdown by price on my end and you can use that to compare with any other feeds and see how they compare so you can have an objective look at what's out there, if you like.

the prevailing wisdom is that tradestation, IB and others have a "snapshot" of the tick feed vs a true tick feed. There are some threads on et about this.