Trading on "Instynct" (NQ)

i've been doing some coding lately, and decided to try to develop a naive backtesting strategy on NQ.

- calculate standard deviation of NQ on day i
- calculate median of first 30 minutes of NQ day (i+1)
- add and subtract standard deviation above to median
- if NQ goes above (below) this threshold, we sell (buy).
- exit at the median

other notes,
- i use close of minute data only
- if there is an open position at day's end, it executes at the last print of the day
-i use a minimum of 20 for the standard deviation

using the first standard deviation and exiting at the median produced poor results. using the second standard deviation and exiting at the first standard deviation produced OK results.

some results over the last month (could have used more data, but i did this on the fly and didn't want to stay too long after the 3pm CDT equity close)

Total PnL 38.66
Max Daily Win 20.00
Max Daily Loss -17.00
Avg Daily Win 11.56
Avg Daily Loss -9.56
Num Days Win 5.00
Num Days Loss 2.00
Total Trading Days 7.00
Winning Percent 0.71
Expectation 1.84



The following data is per trade,

NumBuys 4.000000
NumSells 3.000000
numWins 5.000000
numLoss 2.000000
winPct 0.714000
avgWin 11.557447
avgLoss -9.562500
maxWin 20.000000
maxLoss -17.000000
Exp 5.523177
 

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Hmmmm.... looks like today was a difficult day for others... interesting. The reason I am "guessing" is trying to fade levels but price just blew through..
 
Quote from jack411:

You end up ahead more days than not. From what I can tell about you, greed is what gets in your way. You've mentioned it before too - wanting to catch every move up and back down. Are you trading 1 contract? You're consistent enough to trade more, regardless of your account size. Everyone on this website will go on forever about having enough capital to trade with. If you're confident with your trades and you have an actual edge, meaning you can consistently come out ahead after commissions, then account size doesn't matter at all. I know this for a fact. It only matters if it would drastically change how you trade in a negative way - which means no confidence. You had $100/contract when you posted this (I just saw your recent post, you're down on the day now - just making a point here though. You'll either climb your way back to green or make up for it the rest of the week. You typically do). If you used a little more size, it may help with the "greed factor". At $100/contract, just 1 or 2 more contracts can add up to some decent money each week. I noticed Instynct mentioned something similar the other day as well. Just amazes me to see some of you guys netting 20+ points a week and still being disappointed in your performances. Everyone has their own threshold for risk though. This is just my opinion based on what I've read from you. Enjoy seeing you (and the others) post here.

Take care and keep at it!
More...

Basically by the time I recovered mentally from the poor executed trade in the morning I should have stayed away as I usually do..

My wife makes average income.. 42k/yr... $160 day... 8 NQ points. Whenever I remember this I think what a paradise trading can be if I can focus on what's in my bucket rather than the ocean... It is my Achilles heel.. a huge one.

Thanks...
 
Thanks Instynct. I have not been happy either tradewise or logic wise with my methodology as of late. I have taken a couple of que's from you and am trying to incorporate them into my trading. On paper it looks ok. We'll see how it plays out.
 
I just wanted to share this. It does not happen that often, but the Dragon bottom happened today. There was a 3 level increase in selling, a huge spike in volume and then a higher low, followed by several tradable buy setups. Of course it looks pretty good in hindsite, but they happen from time to time. They are hard for me to catch as the strong selling tends to give you a negative bias and makes it hard to buy, but I have found that seeing 3 levels of selling activity, a volume spike and s/r setups following are often good signals. FWIW.
 

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