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working system, needs improvement
- Thread starter traderkay
- Start date
Quote from Walther:
There was a post before in another tread , which was claiming that most profitable strategy was using just one previous bar opening range as an entry. It would be interesting if you can plug in one 15 or 30 min bar and see if it works for intraday also.
Walter
As I understand it, buy tomorrow at high of today or sell tomorrow at low of today. Use 50% or 70% of today's range as a stop loss point. Exit any open trades on the close.
Here's the results of the idea using a 50% range for the stop from 1/1/96 - 6/30/2001. This is for the SP market. ES would be 1/5 this size.
Attachments
And here's the intraday test using 15 min. bars.
Just so I've got it right:
buy the high of the previous 15 min. bar and sell the low of the previous 15 min. bar. Use 50% of the range of the previous bar as a stop. Exit any open positions on the close.
At best, this looks like a breakeven idea.
Just so I've got it right:
buy the high of the previous 15 min. bar and sell the low of the previous 15 min. bar. Use 50% of the range of the previous bar as a stop. Exit any open positions on the close.
At best, this looks like a breakeven idea.
Attachments
Quote from acrary:
As I understand it, buy tomorrow at high of today or sell tomorrow at low of today. Use 50% or 70% of today's range as a stop loss point. Exit any open trades on the close.
Here's the results of the idea using a 50% range for the stop from 1/1/96 - 6/30/2001. This is for the SP market. ES would be 1/5 this size.
Thanks acrary,
for doing test on it. 200% over last 6 years would put this system right on the top. Time permitted, would you run the same test for 10 or 15 min intraday ? Meanwhile I will look at charts to see where the weakness is and will design few filters to make it more profitable.
walter
Quote from acrary:
As I understand it, buy tomorrow at high of today or sell tomorrow at low of today. Use 50% or 70% of today's range as a stop loss point. Exit any open trades on the close.
Here's the results of the idea using a 50% range for the stop from 1/1/96 - 6/30/2001. This is for the SP market. ES would be 1/5 this size.
Was this test made on daily or 5 min bars ?
Walter
Thanks acrary ,
While ago I had tested 5min break out system on Bonds with similar results like the 15 min SP you just did. By introducing 3 filters system become profitable ( with 80/20 % win/loss ratio ) which made me to use one of the filters as primary entry tool .
I believe that will be the same for any index system also.
If you have a time to test it I can design few filters for initial daily data 5 min test you have done ( I feel that 200 % over 6 years is great ).
Walter
While ago I had tested 5min break out system on Bonds with similar results like the 15 min SP you just did. By introducing 3 filters system become profitable ( with 80/20 % win/loss ratio ) which made me to use one of the filters as primary entry tool .
I believe that will be the same for any index system also.
If you have a time to test it I can design few filters for initial daily data 5 min test you have done ( I feel that 200 % over 6 years is great ).
Walter
Quote from Walther:
( I feel that 200 % over 6 years is great ).
What are you talking about? That's NOT a 200% return! Its a return on DRAWDOWN, which let's say you had to maintain 3x in order to be certain of withstanding a more severe DD and in systems it usually happens, then your return would be more like 66% which probably works out to 10% a year on your account.
Some of the other stuff Acrary has posted in the past looks a LOT more promising.