Simple System for Beginners Monthly Results

Quote from AnomalyResearch:

FWIW I used the same parameters on the S&P pit contract in 1989. There is no magic number of which I am aware. Varying breakout parameters yield a spectrum of results. A percentage of ATR or previous daily range also "works". Waiting for a consolidation or narrowing of the daily ranges as a filter has improved results in the past. Trailing stops tend to degrade the performance. Tight stops tend to degrade the performance. Waiting for a retrace after the breakout tends to degrade the performance. Unless you have some exceptional discretionary ability, taking early profits tends to degrade the performance. In the final analysis, if enough trending days appear and you catch and ride a significant percentage of them you may produce a profit. The ER2 is currently and recently a nicely trending market. Instruments which trend nicely come and go. In my opinion, when the market you are trading lacks trending movements you will get break even results from the trades and the loss of execution and transaction costs.
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Thanks
 
Quote from AnomalyResearch:

A peculiarity of Tradestation caused the very first trade of the month to be incorrect. Thanks to Manni0805 and Macaw for pointing out the mistake. The repost is attached.
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Hi Anomaly,

I don't get the same results in November. Have you checked the individual trades to see if they match the chart?

For example, on November 1, I get the following:

Opening Price: 584.80
Buy Price: 586.80
Sell Price: 582.90

On a 5 min chart (as you are using for your backtester), a trade should have triggered at the 13:35 bar (CST) at the buy stop and held until the open (I'm assuming) of the 15:00 bar exiting at 587.00 for a net profit of 2 ticks minus commission. You don't show a trade for that day.

On November 2, I get the following:

Opening Price: 588.50
Buy Price: 590.50
Sell Price: 586.60

A trade should have triggered at 14:05 when that bar dipped below the short sell trigger but at the price of 586.50 and held until the open of the 15:00 bar at 584.40 for a net profit of 21 ticks minus commission.

These are the results I get from my backtesting software and that I have verified by hand. Can you please let me know if there is an error in my system's logic or my understanding of the plan?


Thanks. :)
 
Quote from FuturesTrader71:



On November 2, I get the following:

Opening Price: 588.50
Buy Price: 590.50
Sell Price: 586.60

A trade should have triggered at 14:05 when that bar dipped below the short sell trigger but at the price of 586.50 and held until the open of the 15:00 bar at 584.40 for a net profit of 21 ticks minus commission.



Thanks. :)
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By hand I see price opening at 590.90 on Nov. 2 at 14:00 east coast time, so it would have activated an immediate buy over your 590.5 buy price. This would have actually resulted in a nice loss for this day.
 
Quote from tradersaavy:

By hand I see price opening at 590.90 on Nov. 2 at 14:00 east coast time, so it would have activated an immediate buy over your 590.5 buy price. This would have actually resulted in a nice loss for this day.
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You are right on that one. I am not sure what happened there. I think I spent too much time looking at charts that morning.

Did you get a trade trigger on November 1 at 13:35 CST for a 2 tick profit?
 
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