Example Trading System

Ok,

seems reasonable....thats the first explanation that I could imagine. Thanks...any others? anyone?

Michael B.


Quote from dbs119:

ElectricSavant,

Fundamentally the market might go sideways on thursday,simply because we almost always have some nivce reports kicking in at 8:30 AM on friday, so nobody wants to place a bet?
Anyone else have any other suggestion :))
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Quote from ElectricSavant:

Anyone,


Can you speculate as to why Thursdays fundamentally do not work with this system?

Michael B.

P.S. The reason I ask, are there conditions such as highs and lows before Thursdays that could be significant to help filter whether to take the trade or not, also ocher days of the week? There could be a additional probability study as to the strength of the signal based on previous days range....distance of high or low from the open on the next day...etc.....etc....... ?
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Michael -

according to the study on sid's site:

http://www.online-futurestrading.com/Filters.htm

Thrusday appears to be the statistically poorest day to trade this system. that doesn't really give you why thursdays do not work well, but it answers why thursdays have been filtered out - they proved to be least profitable for this system.

hth

take care -

omni
 
When I use the price statistics to discover a pattern, it is sometimes nice to understand if there are any fundamental reasons being the repeating pattern. Sometimes there is, which you could agree would give the trader more confidence.

Kinda like knowing there will be news on an equity by its price action....

I was just curious and thought it would be helpful as to WHY this repeating pattern occurs on Thursdays with this system.

Omni, Yes I did read every word on sid's website...

Michael B.

P.S. one more note: Price action itself could be a fundamental reason too....for example when higher highs/lower lows are being realized preceding Thursday then the filter on Thursday could be observed or faded....or perhaps range....or consecutive closes.....etc....what precedes this phenomenal Neutral Thursday? How about this? When Thursday works what happened? For a statistical systems developer consistency's are GOLD!

P.S.S. an observation as accurate as Thursday's on this system send FLAGS out in my thinking to discover WHY, as it is highly significant and not random...there are subsystems and high probability set-up's to be discovered off Sid's main system.



Quote from omniscient:

Michael -

according to the study on sid's site:

http://www.online-futurestrading.com/Filters.htm

Thrusday appears to be the statistically poorest day to trade this system. that doesn't really give you why thursdays do not work well, but it answers why thursdays have been filtered out - they proved to be least profitable for this system.

hth

take care -

omni
More...
 
Folks,

There are many among you who do not believe in statistics as a basis to develop a system with.

Face it .....ALL mechanical systems whether they are indicator based, other instrument action based or pattern based....THEY ALL DEPEND ON THE PAST.

There are discretionary traders here in ET who trade of of price action, momentum, velocity and depth of market too.

Is one better than the other...No...What do you like? What works for you is the Holy Grail.

Now here is a thought. For those of you that like this system or systems like this. Try attacking the creation of your OWN system like this:

Find any consistency!!! ANY!!!... on an excel spreadsheet with OHLC. Start with a Daily....Pick your instrument...some of you may like volatility other may like less volatility....But the point is EXPLOIT your consistency and save lots of time!

Michael B.
 
I modified the results on the site to make it clearer and quicker to load. I'll put all the trades into an excel spreadsheet so people can download if they want to - which is easier than reading off the site.
 
A spreadsheet with all the back test trades from Jan2003 to today for Dow Jones, Nasdaq100, S&P500, S&Pmidcap400 and Russell2000 is now available here.
 
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