Mechanical ES system

Quote from Walther:

If you are really trading just with MA save yourself a time and add some directional filter before you run out of money.
Walter
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Why do you say this, can you offer a suggestion? Maybe you have some experience you can share with us?

I do not intend to change the system because it would be missing the point of this exercise. I am not proud of this system. I picked it because it was simple, and profitable on paper. That's what I'm trying to prove/disprove here. I expect to take significant losses in the system, but at the end of the quarter/year I hope to be net positive.
 
Quote from spreadem:

What percentage of your trading stake is $362.50. Assuming that your risk is 1% of your account then we must conclude that the trading account needed to trade this mechanical ES system is at least $36,250.

Percent risk (money management) should also be a part of your trading system.:cool:
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Good observation, this systems assumes no trade level risk management. Either you risk the money or you don't. I don't want to grow a portfolio, but rather generate income. I know that many will take issue with this, but 1% is just WAY to conservative for me. I'd rather stick to a day job.

$1000 stop on a $5000 account is 20%. That's ok by me. Also why I said 5-10K to start out, get you over the "hump."
 
Quote from jboydston:



Why do you say this, can you offer a suggestion? Maybe you have some experience you can share with us?

I do not intend to change the system because it would be missing the point of this exercise. I am not proud of this system. I picked it because it was simple, and profitable on paper. That's what I'm trying to prove/disprove here. I expect to take significant losses in the system, but at the end of the quarter/year I hope to be net positive.
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Do whatever you feel is ok. If you trading your system exactly the way you are describing it, you will lose money. I seriously doubt that you did a backtest on it .
Walter
 
Quote from Walther:



Do whatever you feel is ok. If you trading your system exactly the way you are describing it, you will lose money. I seriously doubt that you did a backtest on it .
Walter
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Why do you think this? I don't want to argue, I want to make progress. And yes I did a backtest in TradeStation. That's how I came up with it. I'll post the EL script if you like.

I purposely picked a simple, average (in my opinion) system. My goal, again, is to show if an average mechanical system that is profitable on paper via backtesting will be profitable in the real world. There is nothing special about this system. In fact I picked 30min bars randomly.
 
Quote from jboydston:



Again, Why do you say this, can you offer a suggestion? Maybe you have some experience you can share with us?
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If we were to offer you suggestions, what would you do? It sounds like you would not be able to consider implementing or even understand our points.

You are "bridging" trends as it is now.
 
If this succeeds or fails, I would hope to lean why. Maybe those of you with superior trading skills and experience would help us understand these dynamics better?

Your thoughts and consideration are appreciated.
 
Quote from jboydston:

If this succeeds or fails, I would hope to lean why. Maybe those of you with superior trading skills and experience would help us understand these dynamics better?

Your thoughts and consideration are appreciated.
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As a first step would you please correct your description on page one?
 
Hopefuly this is what you refer to. I do appologize for any confusion this may have caused. Maybe I shouldn't be trying to write this at 2:45 in the morning ;-)

I'll start with this and elaborate as needed.

System:

es daily data (no after hours to throw off charts)
30 minute bars
Long = open of first bar following price breaking up through 63MA.

Short = open of second bar following price breaking down through 6MA

Stop $1000, 20pts

Long / Short signals reverse each other. Always in the market.

$25 per side slippage

$2.80 per side commission
 
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