This Might Be Stupid???

[ZZZ]

Originally posted by wdbaker


It does seem fairly stable accross various changes, doesn't always make as much money but continues to work, seeing the equity curve is what suprised me, there aren't any huge dents in the curve like you would find if overfit or all the money came from one trade.

wdbaker

That is a good sign. How about if you remove one of the 3 filters in turn. does that aversely effect the system? e.g. does removing the 5 MA > 50 MA make a difference , maybe 5ma > 30 MA is good enough as a filter ... do the same with the ROC... this will determine if every part of the filter is essential to the system... but what you are saying about the equity curve sounds promising. good work.

 

[ZZZ]

another thing might be to test out on different symbols... not sure what you used but maybe try out several different markets to see if its success varies a lot...

 

[ZZZ]

Originally posted by wdbaker
All,
I have built a system and would like to have you all review and try to improve it. First I will post the results and then if there is enough interest we can all work on it.

This was based on 1 1/2 years of 5min ES data, acct size 5000, 1 contract with margin set at 2500(yes I know that isn't correct, should be around $1700). System used to test was amibroker, sytem is not complicated so you should be able to easily convert to easy language, wealth builder, etc...

Look forward to your questions
Please be patient for answers as I may not be able to respond right away.

wdbaker

OK i see you have used ES 5min data. is it possible for you to use 1min data for better resolution? also are all the signals based on a CLOSING BASIS or can it triggered anytime within the bar?

 

[wdbaker]

Originally posted by ZZZ


OK i see you have used ES 5min data. is it possible for you to use 1min data for better resolution? also are all the signals based on a CLOSING BASIS or can it triggered anytime within the bar?

All I have is five minute data, signals are triggered on close

wdbaker

 

[ZZZ]

Originally posted by wdbaker


All I have is five minute data, signals are triggered on close

wdbaker

Ok. one problem i find with signals on a closing basis is on the exit (entries are fine). what happens if you get a price spike in the bar that generates a huge loss? one way is to have a disaster stop loss (ie max amount you are willing to lose in one trade) but that would probably decrease the system profitability bc some winners would be turned to losers.....

 

[wdbaker]

Originally posted by ZZZ


Ok. one problem i find with signals on a closing basis is on the exit (entries are fine). what happens if you get a price spike in the bar that generates a huge loss? one way is to have a disaster stop loss (ie max amount you are willing to lose in one trade) but that would probably decrease the system profitability bc some winners would be turned to losers.....

I'll keep that in mind

wdbaker

 

[WarEagle]

wdbaker,

I'm coding this in TradeStation, but I'm confused on your short signal. You wrote:

test2=Filter AND MA(Close,5) Short=test2;

I understand the time filter, but what do you want the MA(Close,5) to do? Did you intend to enter the opposite of your long signal, i.e. "MA(Close,5) < MA(Close,30) and MA(Close, 5) < MA(Close,50) and ROC(MA(Close,50),2) < -.09" ?

Thanks.

 

[wdbaker]

Originally posted by WarEagle
wdbaker,

I'm coding this in TradeStation, but I'm confused on your short signal. You wrote:

test2=Filter AND MA(Close,5) Short=test2;

I understand the time filter, but what do you want the MA(Close,5) to do? Did you intend to enter the opposite of your long signal, i.e. "MA(Close,5) < MA(Close,30) and MA(Close, 5) < MA(Close,50) and ROC(MA(Close,50),2) < -.09" ?

Thanks.

WarEagle,
Sorry about that, some how the code got screwed up.

I think the message board thinks it is html or something, I will post it as a text file.

 

[wdbaker]

Originally posted by wdbaker


WarEagle,
Sorry about that, some how the code got screwed up.

I think the message board thinks it is html or something, I will post it as a text file.

Here it is, let me know if you have any trouble

wdbaker

 

[WarEagle]

Ok, here is my TS code. If any EL experts out there see any errors, please point them out. I've never been good at writing tight code, so there may be a short-cut that I missed. If the code looks correct, then I'll post some results.

Inputs: shortLen(5), exitLen(10), mediumLen(30), longLen(50), longROCval(.09), shortROCval(-.045);

Vars: shortMA(0), mediumMA(0), longMA(0), ROC(0), exitMA(0), MP(0);

shortMA = Average(close, shortLen);
mediumMA = Average(close, mediumLen);
longMA = Average(close, longLen);
exitMA = Average(close, exitLen);
ROC = RateOfChange(longMA, 2);
MP = MarketPosition;

If time >= 0800 and time <= 1500 then begin
If shortMA > mediumMA and shortMA > longMA and ROC > longROCval then buy at market;
If MP > 0 and longMA crosses above exitMA then ExitLong;
If shortMA < mediumMA and shortMA < longMA and ROC < shortROCval then sell at market;
If MP < 0 and longMA crosses below exitMA then ExitShort;
end;

If time > 1500 then begin
ExitLong;
ExitShort;
end;