Potential Strategy

[simon2008]

That's what I meant to say, yes.

 

[cashonly]

Quote from simon2008:

No trailing stop. No rentry.

If no trailing stop and you bail 2 ticks from where you entered, then where does the 2pt slippage come in?

Cause more simply it looks like you're saying, you'll either make a profit of the difference between the open and close minus 1 tick or you'll have a loss of 2 ticks.

 

[science_trader]

It worked well on the last 43 days because there were a lot of "trend days" in the recent period...

 

[simon2008]

Slippage probably wasn't the right word...I adjusted the data downward to be conservative, hence the two points.

 

[simon2008]

Not sure if I would agree with the comment about the last 43 days being atypical.

 

[ktm]

It looks like your data is using the index itself vs. the futures. It takes several minutes for the index to catch up to the futures at the open. In short, you cannot buy the SPX at or near the opening price if the futures have already moved.

 

[simon2008]

Great point, sorry about that...k it would be buying or selling the futures based on the price movement in the underlying.

 

[science_trader]

Quote from simon2008:

Not sure if I would agree with the comment about the last 43 days being atypical.

They are, believe me. Just backtest it.