Example Trading System

ok ok let me get this straight

some hedge fund is going to try to nudge around the ym to "maybe" trigger some entry stops from some marginally profitable trading strategy on ET?

some trades go a couple of ticks in your favor just to reverse because your mind points them out like that...they are just random trade outcomes in intraday noise
 
Quote from jonnysharp:

yes historically this system stops you out 10% of the time, but now its public i dont think it will remain this low, just like any other system that is disclosed to a wide audience(check how many views this thread has had!), you can expect more of this.
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This system is a very simple ORB system, and it's been public for years, if not decades, NOT since this thread has been opened at ET. I've got a book at home (Trading Systems and Methods, Kauffman 1998) that presents a whole set of breakout systems (including this one), and I'm sure you can find older books with the same systems. If I follow your logic the hedge of these systems should have disappeared years ago then, which doesn't seem to be the case (of course we could argue about how significant is the hedge, but that's not the point here).

I think you largely overestimate the influence of this forum Jonny.

Not only that, but Sidinuk gives clues as to how to avoid the problem of everybody trading this system at the same time.

Question for you now: have you tested this system on the HSI ? If yes, what are your findings ?

Thank you.


* Mogul's above post is dead on.
 
mogul and jrkob, i respect your opinions and have nothing against you two. but i have to disagree with the points you are both making, because stops are gunned, and systems have statisically performed worse once made public(i have been told by respected traders). i think once you get past a certain size level(not saying im there yet), its not about indicators/systems, but more about feeling for whose holding what and when they are most likely to liquidate and when are they most likely to enter and it becomes just like poker instead of buy when the 4barEMA crosses the 21barEMA, imo. i am speaking strictly of short term trading. i think this system has been working well(historically) because YM is a relatively new table to play at, there are no old hands that have a instinctive feel for the players. just like in poker; you have to know within 10 minutes of sitting at the table who is going to give you their money, weak hands will always provide for the strong hands. i urge you all to test this same strategy on other markets and let you draw your own conclusions. if you both disagree strongly with my opinions i welcome you both to share your strategy with all of us to learn from. peace.


p.s. respected past ET member 'Acrary', said that only 1 edge ever died a quick death on him and that he attributed that to it being made public........food for thought........

p.s.s. jrkob, traders down here in aussie are fading the ORB on HSI, but im sure the 'ole' envelope the morning session strat still works under the right conditions.
 
OK, as pointed out the example trading system had a truly awful week last week, losing $4575 across the 5 contracts that I monitor. Historically, though, the worst losing week was w/e May 14, 2004, where we would have lost $5542.50. Individually it was the worst week for NQ and YM but not for ES, EMD or ER2.

NQ and YM are also at worse than historic drawdowns but ES, EMD and ER2 are not.

It is to be expected that future drawdowns in any system will exceed historic ones, after all any system, to some extent, is optimized on that past data. That is why for money management you should allow at least 2 times the historic drawdown. If we exceed twice the historic drawdown then we might need to consider that the market dynamic has altered - but I see no reason to panic at the moment.
 
Sidinuk, I have a question to ask you.

Your system has a "no trade on Thursday" filter. This is based on the fact that the expected proffit per trade on Thursdays between January 2004 and June 2004 was negative. Fair enough.

If I remember correctly you started to forward test this system since 1 Jan 05 is that correct ?

Below is the breakdown of total proffit (after 2pts slippage and commission) per weekday (based on the Excel file downloaded on your website) and for the YM contract:

Mondays: -225 pts
Tuesdays: -13 pts
Wednesdays: +188 pts
Thursdays: +224 pts
Fridays: +125pts

Do you agree with my above calculation ?

If you agree with my above calculation, it seems that Thursdays have shifted from worst performers during the backtest period to best performers during the forward test period. Since 1 Jan 05, we have had only 14 traded Thursdays, so I don't think this is statistically significant.

But doesn't that mean that we should keep an eye on the weekday breakdown to potentially invalidate the No thursday trade filter ?

Thank you, and keep up the good work.
 
After all the doom and gloom of the previous 2 weeks the example trading system got back to winning ways last week - I hope all those 'professionals' who are apparently fading this system didn't get too burned!

Out of the 5 contracts we follow we had 16 winning trades out of 16 for a gross profit of $3,857.50. The Thursday filter worked in out favour, for once, and saved us from giving back $1,212.50.
 
Last week was a period of small daily trading ranges. To be expected after a period of larger ranges the previous week.

EMD and ER2 made a slight profit last week but NQ, YM and ES made losses which put us 607.50 down for the week overall.
 
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