Simple System for Beginners

is it me, or has anyone else noticed that this simple system also has a good chance at showing the direction for the next day. Long today, probably an up day tomorrow?
 
Thanks AnomalyResearch and DarthSidious. Today I made my very first fully automated trade using Tradestation 8.1. I went long one ES at 1199.75 and exited at 1201.50 for a 1.75 point gain.

I used TS 8.1 to optimize the DarthSidious code for entry time, exit time and stop loss parameters for the ES so that, on paper, it performs as well as the Russell. To get the 1.75 points though, I absorbed an almost 4 point dip at 1328, so it's nothing to brag about. Had I been watching the trade however, I would have bailed on that dip, and maybe not reentered. So you could say that the code made me a little cash today, once I removed myself from the equation.

I'm just celebrating the realization of automating something that seems to work, so that I can be free to do other things...something I've been looking foreward to for seven years now. It was a bit scary though cause someone at Tradestation called me at 1508 Central Time and says, "...Did you know your account has a margin call?" My heart almost stopped. Turns out the day rates are good only until 1500 Central Time, and I didn't have enough in there for an overnight position. So I says, "Can you take me out?". Then while he's about to take me out, he says, "Oh, you just got out! Must have been an automated strategy." I had optimized the system to take me out at 1510!

So what at first seemed like bad news turned out in my favor. Just celebrating. Thanks again.

JohnnyK
 
1. I hope you have cash in there for 10 stop-losses in a row
2. I hope you have back tested for at least 2 years

good luck! breakout strategies on the ES ain't the easiest (or maybe I have missed something)
 
Quote from mogul:


good luck! breakout strategies on the ES ain't the easiest (or maybe I have missed something)
More...

Thanks mogul. With a couple more tweaks I was able to match or beat the Russell in almost every category except Average Net Per Trade. The best I could do (not including commish or slippage) was $39 per trade, compared to $59 or so for the ER2. Though resembling the "simple system" less and less, the 1.70 profit factor and a good looking curve with max $1000 drawdowns over two years makes ES tempting. Nevertheless, I turned the system off for ES today to rethink because the slip and commish begin to kill it. None of my ES tweaks or optimizations improve the simple ER2 results.

Anyone know what I should estimate for slippage per side in my toying with ES?

JohnnyK
 
Quote from JohnnyK:

Thanks mogul. With a couple more tweaks I was able to match or beat the Russell in almost every category except Average Net Per Trade. The best I could do (not including commish or slippage) was $39 per trade, compared to $59 or so for the ER2. Though resembling the "simple system" less and less, the 1.70 profit factor and a good looking curve with max $1000 drawdowns over two years makes ES tempting. Nevertheless, I turned the system off for ES today to rethink because the slip and commish begin to kill it. None of my ES tweaks or optimizations improve the simple ER2 results.

Anyone know what I should estimate for slippage per side in my toying with ES?

JohnnyK
More...

Is that 1.70 with commish and slip? At least include 2xtick for entry and exit slip per trade.
 
Quote from mogul:

Is that 1.70 with commish and slip? At least include 2xtick for entry and exit slip per trade.
More...

It's 1.70 without any commish or slip. After $5 commish and $25 total slip per round turn, the deal is pretty much dead. I think it might be useful for a filter for some fading type stuff however. I'll see.

JohnnyK
 
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