Simple System for Beginners Monthly Results

Date Entry Exit P/L(less commission) Trade

1 556.50 556.50 5.00- Long
2 558.50 564.20 565.00 Long
3 559.70 559.20 45.00 Short
7 566.80 566.90 5.00 Long
8 563.30 562.00 125.00 Short
9 564.20 566.00 175.00 Long
10 567.70 569.80 205.00 Long
13 573.10 572.50 65.00- Long
14 570.20 571.40 125.00- Short
15 568.10 567.80 35.00- Short
16 574.20 573.70 55.00- Long
17 572.70 572.30 35.00 Short
20 572.30 571.00 135.00- Long
21 575.20 577.00 175.00 Long
22 567.30 565.20 205.00 Short
24 568.90 566.30 265.00- Long
27 561.10 558.60 245.00 Short
28 562.20 565.80 355.00 Long
29 569.70 571.00 130.00 Long
30 572.70 572.10 65.00- Long

NET $1,570.00
 
Quote from AnomalyResearch:

The purpose of this thread is to present a simple system for beginners to trade stock index futures.

We will use the emini Russell2000 "ER2" Globex contract.
Its value to the trader is $100 per full point per contract.
It trades in .10 increments so each tick is worth $10.
If you trade with InteractiveBrokers your round turn commission is about $5.00.

To keep our risk low, we will only enter trades for the afternoon session. So Rule #1 is:

1). WAIT until 1:00 Central Standard Time.

The entry technique to use is a simple breakout method with which we look to catch an afternoon trend.
We will take a move either long or short whichever comes first.
The signals are derived by looking at moves AWAY from the day session opening price. This method is sometimes called "Opening Range Breakout". It has been "around" for many years. I first used a variation of it in 1989 on the S&P500 pit traded contract.
Larry Williams used a variation of it on the 30yrBonds and the S&P500 to pyramid $10,000 to over $1,000,000 to win the Robbins Trading Championship in 1986.

For this thread we will calculate the signals as follows:

2). Multiply the opening price of the day session by 1.0033 to get the buy signal.
3). Multiply the opening price of the day session by .9967 to get the sell short signal.

At 1:00 enter a buy stop at the buy signal price and a sell stop at the short sell signal price.
If the market is already past either signal it will become a market order with immediate execution. The remaining unexecuted stop is your stop loss. If the market is trading in a narrow range neither side may be executed and you may have no trade for the day. If your stop loss is hit you are done for the day. You will simply ride the position untill 3:00 pmCST and exit at that time.

4). Exit trade at 3:00pm if not stopped out.

Thats it.
More...
 
This is not a comment on how good/bad the system is. Simply the EL code and the results I obtained. My data is from CME's official T&S files, that I extract with a perl script. This data used is back adjusted. The latest contract obviously isn't adjusted, but still deviates from the results posted by AnomalyResearch.

Let me know if anyone disagrees with my data / code. Although the data for september / earlier is adjusted, and *would* have different entry / exit prices, the *net results in a given day are guaranteed to be the same*.

Commission is $4.80 r/t. Slippage is $5 to get in, $5 to get out. In effect, I am betting I would, on average get a hit of one tick on half my transactions. This is very close to what I actually see trading mechanical systems on ER2.

Enjoy! :)





EL Code:

Code: 
{********************************************************************************
* Tested working with ts2000i. Needs modification for TS 7/8 etc.
* Use on 1 min bars (Not necessary - I just coded this on 1 min bar
********************************************************************************}
input:
	{All times in CST}
	ETime(1300),
	CtxToTrade(1),
	MaxEntriesInADay(1), LastEntryTime(1459), EODExitTime(1500);

var:
	BuyStop(0), SellStop(0);
		
{*******************************************************************************}
if(Date <> Date[1]) then
begin
	BuyStop = 0;
	SellStop = 0;
end;

{***Entry***********************************************************************}
if(Time = ETime) then
begin
	{Round down to nearest valid tick - this needs to be changed for
	 contracts that doesn't trade in 0.1 tick interval, of course}
	BuyStop = floor((OpenD(0) * 1.0033) / 0.1 + 0.5) * 0.1;
	SellStop = floor((OpenD(0) * 0.9967) / 0.1 + 0.5) * 0.1;
end;

if(MarketPosition = 0 and Time <= LastEntryTime 
and EntriesToday(Date) < MaxEntriesInADay and BuyStop <> 0 
and SellStop <> 0) then
begin
	Buy ("LE") CtxToTrade contracts next bar at BuyStop stop;
	Sell ("SE") CtxToTrade contracts next bar at SellStop stop;
end;

{***Stop************************************************************************}
if(MarketPosition = 1) then
	ExitLong("LX") CtxToTrade contracts total next bar at SellStop stop
else if(MarketPosition = -1) then
	ExitShort("SX") CtxToTrade contracts total next bar at BuyStop stop;

{***EOD Exit********************************************************************}
if(Time = EODExitTime) then
begin
	if(marketposition = 1) then
		ExitLong ("EODLX") next bar at market
	else if(marketposition = -1) then
		ExitShort ("EODSX") next bar at market;
end;

SetExitOnClose;


===============

=====Monthly=====
May ($1,256.00)
June $1,249.20
July ($556.40)
August $2,654.40
September 784.00
October 405.20 (till today; day not over yet)
===============

=====Trades=====
See attached spreadsheet
===============
 

Attachments

Quote from DarthSidious:

............
Let me know if anyone disagrees with my data / code. Although the data for september / earlier is adjusted, and *would* have different entry / exit prices, the *net results in a given day are guaranteed to be the same*.

.....
More...

Nice job. I enjoyed looking at the spreadsheet.
 
Are you accounting for stops?? Looking at the spreadsheet it looks like it is ignoring the rules put forth. For example, the day of the largest drawdown (in your spreadsheet) 5/12/2004 you state that the short signal was entered at 531.50 so the stop would be ruffly in the 535 area (long signal) yet your exit was way past the stop at 544.90 resulting in a huge loss. Using the parameters in the system the largest loss should be capped to around 3.8 pts max (not accounting for slippage) this figure is the total range between the two signals respectively. Please explain those results, maybe I am missing something here, thanks. :)
 
Quote from zman7854:

Are you accounting for stops??

Looking at the spreadsheet it looks like it is ignoring the rules put forth. For example, the day of the largest drawdown (in your spreadsheet) 5/12/2004 you state that the short signal was entered at 531.50 so the stop would be ruffly in the 535 area (long signal) yet your exit was way past the stop at 544.90 resulting in a huge loss. Using the parameters in the system the largest loss should be capped to around 3.8 pts max (not accounting for slippage) this figure is the total range between the two signals respectively. Please explain those results, maybe I am missing something here, thanks. :)
More...

There is no stop after you enter the position. The stops are only to enter. On 05/12, Open was 543.10. So the sell stop was at about 541.30. But we enter the position only after 1300 CST. So the entry was 532 ish. After entry, there is no stop. There is no cap for losses - none. According to the rules anyways..

Review the system rules, and it would be clear.

BTW, I didn't put together the spreadsheet by hand - it's what TradeStation spits out. But it should be alright, mostly.

I am not aware of any bugs in my coding.

If anyone haven't guessed already, it's a very good base for a workable system. I have modified it a bit, which goes live with a few contracts next month. But I wouldn't trade this as is. What you have here is a set of rules. A set of rules is not a strategy. If you modify this rules to something you can live with + put in money management, and make sure it complements your other systems, that is something you can call a "system" :)
 
Quote from DarthSidious:

There is no stop after you enter the position. The stops are only to enter. On 05/12, Open was 543.10. So the sell stop was at about 541.30. But we enter the position only after 1300 CST. So the entry was 532 ish. After entry, there is no stop. There is no cap for losses - none. According to the rules anyways..

Review the system rules, and it would be clear.
More...

Perhaps you need to review the rules.

"The remaining unexecuted stop is your stop loss."

:)
 
Quote from Shreddog:

Perhaps you need to review the rules.

"The remaining unexecuted stop is your stop loss."

:)
More...

Sigh... that's what you get posting at dead of night... I need more sleep. You are right, and my code posted earlier in this thread reflects that. My code & posted results are right, but my post on 10/28 night re:stops is wrong.

My apologies.
 
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