Example Trading System

[dougcs]

Quote from Hombre:

Would you or someone else translate this code to plain english rules for us, computer language challenged?
Thanks,
hombre

Keep track of the high of the day for the first 15, 15 minute bars.

After 15, 15 minute bars from the open have passed

and the adv/(adv+dec) (ratio of advancing/declining issues) is greater than whatever value you want

and trin is less than the value you chose

then BUY on the next bar at the high of the 15 bar opening range + some amount you chose. I use 0.01 above the high of the opening range.

Keep the BUY at the high of the open range (also maintaining the ADVDEC ratio and trin requirements) active until 215 PM. NO opening trades after 315PM . Also, only take one opening trade a day. This means the first and only opening order can be placed after the close of the 115 PM bar and before the 315PM bar completes, times are for eastern time zone.

Sell if the price is below the low of the 15 bar opening range.

Exit on the close of the last bar of the day.

Also, I use a partial trailing stop, a breakeven stop and a stop loss of about 1%.

If you want, don't trade on a certain day of the week, eg-skip Thursdays.

I think this covers the logic for longs; for shorts, reverse the logic.

DS

 

[sulong]

Quote from dougcs:



I think this covers the logic for longs; for shorts, reverse the logic.

DS

Thank you for the explanation.

 

[sidinuk]

The system bounced back last week with a profit of $3,185.00 across the 5 contracts, due mainly to a nice rally on Friday.

An excel spreadsheet containing every trade since Jan 2003 as well as equity curves can be downloaded from:

Download Historic System Results Here

 

[Hombre]

Thanks dougc !

 

[hans123]

Quote from dougcs:

Keep track of the high of the day for the first 15, 15 minute bars.

After 15, 15 minute bars from the open have passed

and the adv/(adv+dec) (ratio of advancing/declining issues) is greater than whatever value you want

and trin is less than the value you chose

then BUY on the next bar at the high of the 15 bar opening range + some amount you chose. I use 0.01 above the high of the opening range.

Keep the BUY at the high of the open range (also maintaining the ADVDEC ratio and trin requirements) active until 215 PM. NO opening trades after 315PM . Also, only take one opening trade a day. This means the first and only opening order can be placed after the close of the 115 PM bar and before the 315PM bar completes, times are for eastern time zone.

Sell if the price is below the low of the 15 bar opening range.

Exit on the close of the last bar of the day.

Also, I use a partial trailing stop, a breakeven stop and a stop loss of about 1%.

If you want, don't trade on a certain day of the week, eg-skip Thursdays.

I think this covers the logic for longs; for shorts, reverse the logic.

DS

What are the results (backtest or real) of this system?

 

[tango29]

Did someone figure out what to substitute for barstoclose in TS8.1?

 

[ForrestGump]

Quote from tango29:

Did someone figure out what to substitute for barstoclose in TS8.1?

Tango,

No one has responded to my query about this so far. So, I have just made a slight adaptation to this part that gives exactly identical results. I am using,


if time >= 1615 then begin
sell this bar at the close;
buy to cover this bar at the close;
end;


I am new at using EL so there are probably other ways to do this. Also, this is for ER2. If you are trading an AMEX product, you may need to use a different time for EOD (probably 1600).

Good Luck.

 

[tango29]

Thanks Forrest, I'm further behind than you on els I'll bet I screwed up changing the value1= for the pop dll and am trying to figure out how to do that right.
Thanks again

 

[dougcs]

Quote from hans123:

What are the results (backtest or real) of this system?

Posted previously on 7/9 in EXCEL format. Backtest/real results have tracked reasonably close since I started trading it in mid January.

DS

 

[sidinuk]

A quiet week for the system last week with a small loss each day resulting in a $555.00 loss for the week. Thursday would have produced a small win if the system allowed us to trade it. incidentally, allowing only short trades (no longs) on a Thursday is beneficial - I didn't examine the breakdown of longs/shorts in the original article.