Example Trading System

macaw, that sort of large reversal in the last 20 minutes of trading is pretty rare, obviously a reaction to the sustained down move over the last 3 days.

If we added a target to the system we could have taken more profit from this particular day but we need to look at the effectiveness of this target over all of the data sample. Overall, using a target with this sort of system will diminish returns as found in the original article.

Days like today are frustrating, when so much profit is given back in the last few minutes. However, we have to remember the objective of this particular system is to capitalise on strong trend days where the market closes at or close to the high/low of the day. This just wasn't one of those days. Our filters did anticipate that it was unlikely to be a solid trend day and kept us out of all but YM.

No one system can profit from every situation and market condition - that's why you need a few different ones!
 
Quote from sidinuk:

macaw, that sort of large reversal in the last 20 minutes of trading is pretty rare, obviously a reaction to the sustained down move over the last 3 days.

If we added a target to the system we could have taken more profit from this particular day but we need to look at the effectiveness of this target over all of the data sample. Overall, using a target with this sort of system will diminish returns as found in the original article.

Days like today are frustrating, when so much profit is given back in the last few minutes. However, we have to remember the objective of this particular system is to capitalise on strong trend days where the market closes at or close to the high/low of the day. This just wasn't one of those days. Our filters did anticipate that it was unlikely to be a solid trend day and kept us out of all but YM.

No one system can profit from every situation and market condition - that's why you need a few different ones!
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Sid,
Thanks for that and thanks for this thread. I have been following it with interest since the beginning.

I was thinking of something more like a trailing stop once a certain target is reached or the use of some technical indicator when the trend is very clearly going strongly in the other direction.

You're probably right though, finding something that would actually inrease the overall profit is difficult. I have tried backtesting a number of things without success.
If I come up with something, I'll post it!
 
you can try taking a tick or two at least when a trade has become favorable and then reverses...i.e breakeven + 1 tick
 
Quote from sidinuk:

Well, yes, the system was developed using data from the first half of 2003 and forward tested to the end of 2004 when it was made public. The performance in 2005 has not matched that in 2003 and 2004 and it is an interesting experiment to continue to monitor the results. There are 4 possible reasons for this that I can think of:

i) Being made public has harmed the performance - unlikely, i think, as it is really a just an open range breakout system which have been around for years.

ii) The system was over optimised for 2003/2004 - unlikely, again, as it doesn't rely on many specify parameters.

iii) Market conditions this year haven't favoured breakout systems. Well it would be easy to say that the market this year has remained fairly static with the Dow moving in a range from 10k to 11k but it was like that throughout 2004 as well and the system pulled in a good performance then.

iv) It is impossible to design a mechanical system that will ever match historic performances - let's hope this isn't the case!

Anybody else and ideas?
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You forgot plain old bad luck:(
Which often manifests itself in this game over the short term.
 
Quote from sunnyskies:

welp i gotta say even though this system performed like crap in 2005 (essentially flat), it still performed better than most funds i think since its "release". right?
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I don't understand. I looked at the results from the web site on YM for 2005 in the "<1.6" column and I see +732 points.

Even after commissions this is a nice return.

Are you looking at it as if trading all of the futures instruments as a combined total ?
 
True to recent form, a losing week was followed by a winning week last week. Turning in a combined profit of $1,320 before commissions and slippage.
 
Sidinuk,

on your website you show a profit for YM of 72 points for yesterday, mon oct 24th. Yet on that day our website announced a NO TRADE TODAY.

Did I miss something?

Best wishes and thanks for your nice system and hard work

Hittfeld
 
Sorry, Hittfeld. I didn't update the 'to trade or not' table by mistake so it still showed Friday's information.

Thank you for your kind comments.
 
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