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Old Sep 11th, 2002, 05:46 PM   #1
Quah
 
 
Join Date: Aug 2002
Posts: 1,073
I'll take a shot at posting a journal of a very simple system that I'm trading. (trading e-mini SP's - should work on NQ's also)

Here are my goals for a system:

1. Make a consistent profit.

2. Rules that are repeatable. I don't want to have to think too much while trading. That always gets me in trouble.

3. Doesn't require me to remain in the market with an open position for for than a few minutes if possible. So I guess by definition this will be a "scalping" system.

4. Doesn't require me to be glued to the PC, waiting for signals, interpreting signals, and making decisions. I want to be able to walk away at any time and come back later and not feel like I don't have a feeling for what is going on.


Here is the system:

1. Use a minute bar chart

2. Trades will be entered only at specific times - they will be entered at the opening price of the following bars after the open - 3, 5, 8, 13, 21, 34, 55, 89, 144, 233, 377. So, on a normal 9:30 open, trades would take place at 9:33, 9:35, 9:38, 9:43, 9:51, 10:04, 10:25, 10:59, 11:54, 13:23, and 15:47.

3. Use any indicator you like to decide if you will go long or short - doesn't really matter - I use stochastics. Almost anything will work - even something as simple as going in the direction of the previous bar.

4. Once you are filled at the opening price of the bar, enter a limit order to close your position +1.

5. Enter a stop at -1.25. You can reverse at the stop and enter a limit order to close that position at +1.25, leaving you at B/E for that bar's trade (less commish of course).

That's about it. I'll post today's results in a separate post.
 
Old Sep 11th, 2002, 05:58 PM   #2
Quah
 
 
Join Date: Aug 2002
Posts: 1,073
Today's shortened session only left room for 10 trades. The results are:

12 Total Trades

10 Winners

2 Losers

Avg. Winner +1.05 / Avg. Loser -1.25

Gross 8 points - $400/contract

Commission $57.60

Net $342.40/contract


12:03 L 924.75 +1
12:05 S 924.00 -1.25 L 925.25 +1.25
12:08 S 924.75 +1
12:13 S 922.50 +1
12:21 S 919.25 +1
12:34 L 920.50 +1
12:55 S 917.25 +1
13:29 S 915.00 +1
14:24 S 911.75 -1.25 L 913.00 +1.25
15:53 S 909.00 +1
 
Old Sep 11th, 2002, 06:04 PM   #3
TonySanDiego
 
 
Join Date: Jan 2002
Location: San Diego CA
Posts: 588
Interesting system you have there.
 
Old Sep 11th, 2002, 06:04 PM   #4
marketsurfer
 
 
Join Date: Apr 2002
Location: NYC
Posts: 6,845
quah,

that is a very unusual system you are trading. i am curious on how you calculated the exact times to enter a trade.

best wishes to you,

surf
 
Old Sep 11th, 2002, 06:06 PM   #5
mccmatthew
 
 
Join Date: Jan 2002
Location: Tampa,Fl
Posts: 40
Very interesting idea using time like that , have you traded this system that long , and what have your results been?
 
Old Sep 11th, 2002, 06:08 PM   #6
hybridmachine
 
 
Join Date: Aug 2002
Location: Austin
Posts: 43
I'm very curious to watch this system play out. If you can average 3 to 5 points a day, you will watch your profits sky rocket. On top of this, this type of system appears easily programmable (IB java interfaces for example). You could do this sort of thing on the NQ's as well. My question is, what happens on trades where they become a loss, so you close out at -1.25, then reverse trying to get another 1.25 to cover, but then the market trend goes against you again. How do you manage these trades? (IE when do you decide to just take the loss)
 
 
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