Gotta love ZERO RISK in the SP500 = $$$

[Laissez Faire]

You tell me. From the numbers you gave, all things on balance, it would appear you have a 6% edge buying the close and selling the open. I'm assuming you ran the data based on an actual sale and a purchase... what was the final tally of net profit?

From a gambling perspective, as long as risk and reward are constant, that's 100% chance of winning 6% over thousands of iterations, no?

I only checked the % of times the market rose from the cash close to the open next day and that clocked in at 56 % of the time. Personally, I believed it to be more than 56 % before running the numbers, but also less than Rickshaw's 'all the time'.

This was not a backtest of a particular strategy. If you run the tally of the total sum of the open price it will amount to around 800 points, so surely a positive bias, but you'll need to have deep pockets to play that strategy alone, I think.

 

[Rickshaw Man]

I only checked the % of times the market rose from the cash close to the open next day and that clocked in at 56 % of the time. Personally, I believed it to be more than 56 % before running the numbers, but also less than Rickshaw's 'all the time'.

This was not a backtest of a particular strategy. If you run the tally of the total sum of the open price it will amount to around 800 points, so surely a positive bias, but you'll need to have deep pockets to play that strategy alone, I think.

Sure not a bad starting point. You kind of get a feel for it after a decade or two.

 

[Rickshaw Man]

Listless market. I hope earnings season livens things up.

 

[Rickshaw Man]

Ok folks you know the drill buy the cash close for the Sunday evening futures gap up on the open.

 

[Overnight]

Why don't you run the data on futures, buying the RTH close and selling the open, since it's the futures that are rising?

Also, 56% is not 'pretty close to 50%'. If there is a guaranteed 6% edge, then there is a 100% chance of winning 6% which is altogether different.

Well, I was trying to try this in real-time on sim, manually. No stupid playback data, no "backtesting", just honest-to-God trading it in sim manually as it occurred. I have not been able to remember doing it properly on that "chart on the side", because the real trading takes priority, and I "forgot" about it many times over the past 9 weeks. As you can see here, there are some trades that because I forgot about, effectively became swing trades. The results show promise, but also show the perils of it.

Too many trades do not count in this to make it of any meaningful worth. Trades 5, 6, 8 and 12 are the problem ones, as I forgot about them, exited them when I remembered I was trying to do this test. The days where there are no trades is when I forgot I was testing this at all, haha. The idea was to do it every day for 3 months. Obviously, umm, well...Not so much.

Not to mention, the open and close times are woefully inconsistent, because of aforementioned lack of care due to the distraction of, well, real money trading.

I get a kick out of trade #11 though. Donut for a whole night of exposure! LOL!

It would be keen if someone else here with a lot of sim time on their hands could do what I attempted to manually. Just real-time forward-testing.

P.S. The trades I count as being as "accurate" as can be to the idea of buying the cash close and selling the cash open are trades # 1,2,3,4,7,9,11,13,14,15. So if you add up those totals, you get what the result would be.

Number 8 is a toss up, since that was a cash close-to-cash close trade in one day. Total anomaly in the idea.

 

[mbondy]

@Overnight @Laissez Faire @Rickshaw Man

I ran a backtest on this strategy on the mini's 1 year, 5 years, and 10 years back and the results with or without a stop were almost at 58% across the board for each iteration. Since 2014, it's been very profitable. The NQ responded best.

Having said that, I don't like strats like this as commissions tend to eat away at the $$ but if there were a reliable filter to bring this up into the mid 60% area, I would definitely employ it.

 

[Overnight]

@Overnight @Laissez Faire @Rickshaw Man

I ran a backtest on this strategy on the mini's 1 year, 5 years, and 10 years back and the results with or without a stop were almost at 58% across the board for each iteration. Since 2014, it's been very profitable. The NQ responded best.

Having said that, I don't like strats like this as commissions tend to eat away at the $$ but if there were a reliable filter to bring this up into the mid 60% area, I would definitely employ it.

Hmm, the whole idea of this is to not use stops, in my mind. You simply buy at the close, sell at open. Since there is only 1 trade involved, the commies are minimal...?

"Since 2014, it's been very profitable."

So you are saying that every day, from 2014 until now, the strategy is profitable on NQ?

For NQ, if you could, please isolate how it did from January 01, 2018 to December 24th, 2018.

Then run another test, from Oct 2nd 2018 to Dec 24th 2018.

Use just 1 contract on the backtest.

Report the results here. Curious to know the results.

 

[themickey]

@Overnight @Laissez Faire @Rickshaw Man

I ran a backtest on this strategy on the mini's 1 year, 5 years, and 10 years back and the results with or without a stop were almost at 58% across the board for each iteration. Since 2014, it's been very profitable. The NQ responded best.

Having said that, I don't like strats like this as commissions tend to eat away at the $$ but if there were a reliable filter to bring this up into the mid 60% area, I would definitely employ it.

Prolly the best way to trade the method is go long at futures close with a 10 point thereabouts profit target. Backtest that.

 

[mbondy]

Hmm, the whole idea of this is to not use stops, in my mind. You simply buy at the close, sell at open. Since there is only 1 trade involved, the commies are minimal...?

"Since 2014, it's been very profitable."

So you are saying that every day, from 2014 until now, the strategy is profitable on NQ?

For NQ, if you could, please isolate how it did from January 01, 2018 to December 24th, 2018.

Then run another test, from Oct 2nd 2018 to Dec 24th 2018.

Use just 1 contract on the backtest.

Report the results here. Curious to know the results.

No, not every day profitable, that would be a fantasy strategy.
The period from Jan-Dec 2018 without any filters or stops returned 54.72%. It was up and down, obviously traded everyday, no stoploss and no filter. I think about $3500 net year end.

If I add a simple filter to that (like only take trades when the close is above the 50sma, in this case) that puts the win percentage at 61.06% with a take-home of $7305 and it trades half as much (112 trades). Not bad.

The period between Oct-Dec returned 44.64% - that's just buying the close, selling the open no frills, no stop but it still made money, around $2800.

 

[mbondy]

Prolly the best way to trade the method is go long at futures close with a 10 point thereabouts profit target. Backtest that.

The win rate is higher (between 67-73%) depending on the time period. But the risk reward is inverted and the system creates periods of heavy drawdown, more than I could stomach. That being said, it still makes money and has a lot of consecutive winners. There were a couple outliers that really brought the average loss up though so if I adjust it with a catastrophic stop or put the risk reward 2-1, it still performs 64% and the drawdown is manageable.