Example Trading System

Sidinuk,

Have you identified which instruments correlate and which do not with your system results. I read your entire website when you first came here but I did not see ways to hedge or weight these instruments when comparing trading them as a basket...

I wish you would do some work in Spot Forex trading. You would be a wiz!

Michael B.
 
Quote from ewile:

How big should one's account be to safely trade this system with the ER2.
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well that depends on your max risk per trade. This system uses the width between the entry long and short signals as the stop out point. This width could be very wide depending on the opening range.

Take a look at the maximum range during the backtested history. Say 6 points is the range = $600. A common method is to risk 2-5% of your capital on each trade. That puts you in the range of $12 to $30k.
 
Trading update for this free trading system.

The Russell2000 and S&P Midcap400 continue to be the star performers using this system - even better than the Dow Jones on which the system was originally developed!

Anyway, last week the Russell2000 had 2 winning trades out of 4 for a profit of $150/contract and the S&Pmidcap400 scored 4 winners out of 4 for a profit of $470/contract. Unfortunately, YM, ES and NQ lost $467.50 between them so we had a small profit of $152.50 overall.


Profit/contract before commission so far this year (after publication of the system):

S&Pmidcap400(EMD) - $2,050
Russell2000(ER2) - $1,640
Dow Jones(YM) - $960
S&P500(ES) - $950
Nasdaq100(NQ) - $(820) - Boo!

Total profit per contract $4,780
 
Last week the system had a very poor week! On Tuesday we were long on most of the contracts (except NQ) prior to the Fed announcement so when the market turned south they were all stopped out for losers. The system only allows one trade per day so we were unable to take a short trade when we were stopped and missed what would have been a good profit on the second trade. During our backtest we found that overall taking a second trade is not a beneficial thing to do - however, sometimes we will miss some great moves like this.

NQ made a small profit last week of $90 but that was wiped out by losses of $340 on YM, $237.50 on ES, $530 on EMD and $570 on ER2. Our previous star performers (EMD and ER2) cost us the most last week - are they losing their appeal?

Check the daily results this week to see if we can recover!
 
Quote from sidinuk:

Last week the system had a very poor week! On Tuesday we were long on most of the contracts (except NQ) prior to the Fed announcement so when the market turned south they were all stopped out for losers. The system only allows one trade per day so we were unable to take a short trade when we were stopped and missed what would have been a good profit on the second trade. During our backtest we found that overall taking a second trade is not a beneficial thing to do - however, sometimes we will miss some great moves like this.

NQ made a small profit last week of $90 but that was wiped out by losses of $340 on YM, $237.50 on ES, $530 on EMD and $570 on ER2. Our previous star performers (EMD and ER2) cost us the most last week - are they losing their appeal?

Check the daily results this week to see if we can recover!
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With all due respect, remarks like 'Our previous star performers (EMD and ER2) cost us the most last week - are they losing their appeal?' are a total waste of time. If you have an edge in a system, you just let it run without really caring about the good and poor months. Interesting remarks would be things like : have we already experienced this kind of losses in the past ? What was the probability of seeing such a loss ? etc etc....

Your system sounds good, your approach and your analysis flollow the right path. Why then adding unuseful comments (although sympatic) ?
:)
 
Last week the system made up for the previous week's losses by posting a combined profit of $2,175. YM - $640, ES - $525, ER2 - $530, EMD - $260, NQ - $220.

Since January 2003 the system has made a hypothetical profit of $87,770 for trading 1 contract on each symbol, before slippage and commission costs.
 
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