Golden System

T

tdazio

Take GC futures 5 minutes data stream:
#1 at 09:30NY record price P1
#2 at 15:40NY record price P2 and
#3 if P2 > P1 then:
#3a long overnite GDX using MOC (entry)/MOO (exit) order
#3b next day short intraday GDX using MOO/MOC order (or long DUST)
#4 if P2 < P1 go to sleep (or to fish, or to study math/stat..)
#5 quarterly, send 10% (or more) of your gains to any charity istitution

Happy trading
 
tdazio said:
Take GC futures 5 minutes data stream:
#1 at 09:30NY record price P1
#2 at 15:40NY record price P2 and
#3 if P2 > P1 then:
#3a long overnite GDX using MOC (entry)/MOO (exit) order
#3b next day short intraday GDX using MOO/MOC order (or long DUST)
#4 if P2 < P1 go to sleep (or to fish, or to study math/stat..)
#5 quarterly, send 10% (or more) of your gains to any charity istitution

Happy trading
More...

What you try to say is if the GC is up in US trading hours, it will be up in Asia& European trading hours, and it will reverse the next US trading day?
 
The core of strategy (long overnigth, short intraday w/o filter) is here (credit to Jay Kaeppel): http://www.optionetics.com/market/a...st-gold-stock-system-youll-probably-never-use
Since November 2012 (date of Kaeppel's post), out of sample and using commissions IB-style, Sharpe Ratio drops from an amazing 1.95 (in sample) to 0.65.
GC filter boosts SR to 1.3, with 18% maxdd

You can backtest using GLD eod data (as proxi of GC futures) as filter, with a little error ( IB wants MOC order 15 min before market close).
 
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