Something very simplistic

[Trend Fader]

Can someone post backtested results ?

--MIKE

 

[inandlong]

I just asked this on another thread, inappropriately so... but anyway...

how realistic is it to expect to get filled at the opening price of the appropriate bar using limit orders on the ES and NQ?

 

[dbphoenix]

Originally posted by inandlong
I just asked this on another thread, inappropriately so... but anyway...

how realistic is it to expect to get filled at the opening price of the appropriate bar using limit orders on the ES and NQ?

It shouldn't be that difficult. There's nearly always some "reflux", even in a trend. The problem is figuring out how to guess whether to go long or short.

--Db

 

[inandlong]

phoenix, thanks a lot for the post. Quah responded to my question about the stochastic setting that he uses. He said try 17-1-17. Using that setting and whether or not the fast was above or below the slow, my papertrade entries and direction choice were the same as the ones he posted this afternoon.

Btw, the NQ got hit twice again in the afternoon, and the ES did pretty well.

I am trying to tie up the loose ends on expectations in real time vs paper trade.

The other question I have is whether the profit stops are stop mkt orders, and as such, how reliable will the fill be relative to the "system" fill?

 

[jasper6]

Originally posted by dbphoenix


It shouldn't be that difficult. There's nearly always some "reflux", even in a trend. The problem is figuring out how to guess whether to go long or short.

--Db

Another good short term indicator might be trading the slope of a 15 period linear regression line on perhaps a 50T or 100T chart.

 

[Atlantic]

Originally posted by Quah


I'm not making 10 or 15 trades between 0930 and 1130 because that isn't the plan. Not trying to be a smart ass, but since this plan seems to work so far, I don't see any need to change it by adding more trades and thus more risk. One of the things I want to do is be out of the market as much as possible. The other thing is I don't want to be greedy. In my past experience, adjusting something to get more always results in less.

i understand - thank you for the answer.

 

[illiquid]

Originally posted by Quah
: 9min 30sec (!!!)

NQZ2:

10 Total Trades
7 Winners
3 Losers
Avg. Winner +3.07 / Avg. Loser -3.50
Gross 11.00 points - $220.00/contract
Commission $48.00
Net $172.00/contract
Total Time in trades: 58min 30sec

NQ Trades

9:33 L 880.50 +3.00 (4:30)
9:35 L 879.50 +3.00 (4:00)
9:38 L 881.00 +3.00 (2:00)
9:43 S 881.00 +3.00 (3:00)
9:51 S 879.50 -3.50 L 883.00 +3.50 (12:00)
10:04 L 886.00 +3.00 (4:00)
10:25 L 887.00 -3.50 S 883.50 -3.50 (24:00)
10:59 L 887.50 +3.00 (5:00)
11:54 (not taken)
13:23 (not taken)
15:47 (not taken)

Umm, how can this work out to 11 points/contract? Your first 3 trades captured the same 3 pts of movement, can't be counted as gain/contract

 

[Quah]

Originally posted by illiquid



Umm, how can this work out to 11 points/contract? Your first 3 trades captured the same 3 pts of movement, can't be counted as gain/contract

I don't understand your question. Each trade is separate and an individual contract on it's own. Those three trades produced a one point winner each. What do you mean by "the same 3 pts of movement"?

(editted to say: I mean "those three trades produced a three point winner each" - not a one point winner. Forgot we were talking about NQ and not ES)

 

[illiquid]

Originally posted by Quah


I don't understand your question. Each trade is separate and an individual contract on it's own. Those three trades produced a one point winner each. What do you mean by "the same 3 pts of movement"?

You got 11 pts/contract by netting out the winners and losers (+3, +3,+3,+3, -3.50, +3.50, +3, -7, +3 = +11) didnt you?

Were the first 3 trades 3pt winners each or 1 point each?

 

[Quah]

Originally posted by illiquid


You got 11 pts/contract by netting out the winners and losers (+3, +3,+3,+3, -3.50, +3.50, +3, -7, +3 = +11) didnt you?

Were the first 3 trades 3pt winners each or 1 point each?

Ooops. Not quite awake yet. I meant to say those first 3 trades were individual winning trades for 3 points each. Forgot we were talking about NQ and not ES.