Will this ER2 system work?

Will this backtested ER2 system work going forward?

  • Yes

    Votes: 10 52.6%

  • No

    Votes: 9 47.4%
  • Total voters
    19
DerferMark,
I´m german and i live more or less in the middle of germany. Some years ago i decided to start with good old Tradestation 2000 i, not cause it is the best, other progs can do more tricks, but you find the most discussion and files for it. Meanwhile i saw some cracked versions on emule for download, but that would be illegal of course ;-)

In the long run i suggest you look for any software able mixing timeframes/symbols and testing positionsizing stuff, there are a lot of progs available nowadays, i heard nice critics about wealthlab, me i don`t want to change, i had a hard enough time to check the EL code stuff to some degree...

And again, if you did not yet, check out the Fixed Fraction Moneymanagement stuff, here is the key to make the big money with a system. Larry Williams did his record, trading a 10.000,-$ account in one year up to 1.100.000,- $ with an aggressive 20% FF MM and some kind of breakoutsystem. Of course you need nerves of steel for 20% FF MM, 5-10% is not too bad either...

greetings, Michael
 
DerferMark,
Yes i know this document, it started on the trade2win Site, and i was surprised to see the nearly same Volatility Filter i used in my openrangebreakout-system.

I found the stop on just the opposite of the openrange to tight, a trace more is better, seems that they fake sometimes the high/low out to fish stops.

I never found a thursday effect, but thursdays are sometimes known for a late afternoon reversal, may be this happend in the first backtest over a shorter samplesize. I found mondays worse, historically have most indices the smallest range on mondays, so no surprise.

135 min I find a little bit to long, 105-120 Min is good, 60-90 min is a bit to short, but works to, if you wait 2 hrs before activating your entrystops, means if you use the range from 0930-1030(first hour) wait till 1130 to activate your entrystops, that means not to jump in at market if prices are already flying, price have to go through your entrystop.

Openrange Breakout is a sound principle and as a kind of volabreakout a more stable system, but is just marginal profitabel with the simple original rules. The very low volatility nowadays with the absence of 2 or 3% days is the reason that the mentioned system had a flat equitycurve over the last 12 months.

The ER2 should perform better with the originalsystem than the YM, cause the better trendiness.

I suggest to give it a try, esp. on ER2, ES and NQ are bad choice, but with some effort it`s possible to find solutions to trade both profitabel. ZN, ZB I don`t know, have no Data, would be interesting.

nice week, michael
 
Quote from mechtrader41:

DerferMark,
Yes i know this document, it started on the trade2win Site, and i was surprised to see the nearly same Volatility Filter i used in my openrangebreakout-system.

I found the stop on just the opposite of the openrange to tight, a trace more is better, seems that they fake sometimes the high/low out to fish stops.

I never found a thursday effect, but thursdays are sometimes known for a late afternoon reversal, may be this happend in the first backtest over a shorter samplesize. I found mondays worse, historically have most indices the smallest range on mondays, so no surprise.

135 min I find a little bit to long, 105-120 Min is good, 60-90 min is a bit to short, but works to, if you wait 2 hrs before activating your entrystops, means if you use the range from 0930-1030(first hour) wait till 1130 to activate your entrystops, that means not to jump in at market if prices are already flying, price have to go through your entrystop.

Openrange Breakout is a sound principle and as a kind of volabreakout a more stable system, but is just marginal profitabel with the simple original rules. The very low volatility nowadays with the absence of 2 or 3% days is the reason that the mentioned system had a flat equitycurve over the last 12 months.

The ER2 should perform better with the originalsystem than the YM, cause the better trendiness.

I suggest to give it a try, esp. on ER2, ES and NQ are bad choice, but with some effort it`s possible to find solutions to trade both profitabel. ZN, ZB I don`t know, have no Data, would be interesting.

nice week, michael
More...

if one develops a sustainable edge in orb trading, i would think it makes sense to test/deploy it across other markets. have you backtested your stragegy on electronic futures in other sectors? i.e.

fi - bunds
energy - brent
fx - eurusd
softs - london cocoa
metals - gold

that said, any theories why ES and NQ perform poorly? would the same reasoning preclude trading futures in other sectors, as suggested above? i unfortunately don't have the data to find out.

AM
 
AM,
I would also be interested in some tests in other markets esp. the bonds, but also don`t have data to do. Would be of only academic use the next time, cause i have not the accountsize to trade a portfolio of markets, that`s the reason i`m reduced on just the YM. If you go through the literature you find Openrange Breakout a very old principle used in Commodities in the first place, so i have no doubt to work in those markets you mentioned.

The ES is simply the most noisiest market to choose with a lot of chop and retracements, this in every timeframe. I did some tests about the "trendiness" of common indices like Dow, German DAX, and S&P over some years of sample and the worst is the S&P. If you ever tried to develop a daily trendfollower on indices you get the same results, S&P does not work, on the other hand, i don`t like countertrend systems, but the best results you get in the S&P with so called Overbought/sold systems. The less noise, the more "trendy" a market behave, the better i also expect an Openrangebreakoutsystem to work.

The NQ behave`s more trendy on daily base, daily trendfollowing works, but on intraday timeframes may be also to much chop and noise, i did not look to deep into the reasons why exactly...I`m quite satisfied with the knowledge that the YM and ER are the better choice, but in the case of changing marketbehavior i like to see at least a weak positive performance in the other indices too.

So, a good idea is some kind of analysis about the noiselevel or trendiness of a chosen market over a larger sample to define if this market is a good or bad choice for the princible of the used system.

You can use an afternoon breakout instead or you trade a break of the Openrange only in the afternoon, i just found the most netprofit ( of my YM system )was made in the timeframe between 01.30 and 02.40 for entries, the other times plays a more marginal rule, the reason may be the higher activity of "professionell money" in the afternoon, you find trends more consistent after Lunch, but that me be not the same in other markets like FX, Bonds etc.

I think some "intelligent" kind of breakoutsystem will behave most robust over most markets over time, i`m completely off those countertrend stuff, that`s something for quick scalpers or the guys with the very deep pockets.

Uuh, if anybody has data from ZN,ZB for me I would enjoy to public some tests...

Michael
 
Just a quick update since I started this thread in Feb. I have been trading this system and am glad it is still working. Up about $7,000 in 8 months on a $10,000 account. Hitting the bottom (hopefully) of a drawdown now. I'm still reluctant to scale up my size and am trading just 1 lots...
 

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Quote from frostengine:

Congrats on the good system....

This gives me a lot of movitivation for going live shortly with my own system.
More...

Thanks frost... Good luck with your system! :)
 
Congrats on the system! I would love to learn how to write some type of system, though I have no idea where to even start! (I guess there is some book I could read)lol.

Hey I'm in Chicago too maybe you can teach me! J/K I wish you continued success!
 
DeferMark,

A suggestion... acording to your system your largest draw down is somewhere in the neighborhood of 1k per contract correct, and you are currently up 7K from this system.

You should begin trading 2 contracts. If your equity drops by more than 3k from where your at go back to 1 contract. This gives your system 1.5k of wiggle room per contract which is 1 and 1/2 times your biggest draw down to date. That should be more than enough room incase your edge hits a bad period. If this draw down happens, at that point you will still be 4k in the green, and if you have faith in your system you can go back down to 1 contract... If it doesnt happen you will start making money at 2X's the rate.....
 
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