Example Trading System

The original system had a mixed week last week. A good day on Wednesday ($1,517.50 profit for trading 1 contract of ES, NQ, ER2, EMD and YM) was offset on Friday with a loss of $1,422.50. Friday's loss was many down to short positions on ER2 and EMD although overall these two contracts continue to outperform the bigger cap indexes.

Click here to check the latest results daily
 
My modified version of this strategy trading IWM had a nearly even week, making enough to get a nice bottle of wine:

7/25 +0.1%
7/26 -0.2%
7/27 no trade
7/28 +0.5%
7/29 -0.3%


DS
 
dougcs,

I understand that you trade your modified version of Sidinuk's system, together with a couple of your other systems. How does this modified system compare to your other systems? Are you satisfied with its real-time results so far? How about your other systems? On average, how many signals do you get per system per month? And, if you don't mind, what is the return so far on your modified system ( for year 2005) and your portfolio of systems as a whole on a per annum basis, using $5,000 margin per ER2 as a rough guide?

Thanks a lot.

Quote from dougcs:

My modified version of this strategy trading IWM had a nearly even week, making enough to get a nice bottle of wine:

7/25 +0.1%
7/26 -0.2%
7/27 no trade
7/28 +0.5%
7/29 -0.3%


DS
More...
 
Quote from LoosenUp:

dougcs,

I understand that you trade your modified version of Sidinuk's system, together with a couple of your other systems. How does this modified system compare to your other systems? Are you satisfied with its real-time results so far? How about your other systems? On average, how many signals do you get per system per month? And, if you don't mind, what is the return so far on your modified system ( for year 2005) and your portfolio of systems as a whole on a per annum basis, using $5,000 margin per ER2 as a rough guide?

Thanks a lot.
More...

The modified system has roughly a 30-35% return this year. Calculating returns gets tricky. This return is based on trading the system using IWM not ER2 and assuming I'm trading at daytrade margin. I do trade it about a third of the time on ER2 so I would think my actual returns are better.

Two of my other systems are doing as well or better than this one. However, a system that I have traded for a fairly long time has done worse showing about half the return of this modified IWM system. I stopped trading it a few weeks ago. It was a swing system and I've decided to switch to all day trading.

I now trade 3 systems. One of them is in its first week of real time trading and is doing very well. All three use the element of time in them.

DS
 
tradersaavy,

It looks like my backtest module is closing at the end of the 16.00 bar, ie at 16.01 rather than 16.00 exactly. On 7/29 that 1 minute bar was quite big, normally it wouldn't make much difference.

I've altered it now so going forward the figures should be the close at 16.00 rather than 16.01.

Thank you for pointing this out to me.
 
This week my modified system had a losing week:

8/1 -0.4%
8/2 even
8/3 no trade
8/4 +0.2%
8/5 no trade

I added a stop based on VWAP to the system and think it will cut the bigger losses. Testing shows it enhances performance some.
Next weeks trading will start using it.

DS
 
Not a great week for the day trading system last week with a number of false breakouts prior to the falls in the market later in the week. Of course, the break from the range finally came on - Thursday! The one day that our system says not to trade.
 
The example day trading system had a mixed week last week. On Wednesday the system made £1,527.50 on the 5 contracts but this was offset by a reversal on Friday.

EMD (lost $510) and ER2 (lost $320) were the worst performing contracts over the week, whereas YM managed to make £370.

The system has begun this week with 2 profitable days on Monday and Tuesday.
 
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