3 to 1 Ratio

Discussion in 'Strategy Building' started by DraXon, Nov 22, 2002.

  1. You can approach it differently too. The ES ATR range is approximately 25 pts. What you can consider a random fluctuation would be the square root of 25, meaning 5. Add one point for additional safety and you get 6. 1.5*6=9 and 9 is 1% of SP value, again approximately. You can easily get deviations of 1% in SP if you choose the direction and time properly, which of course can be tough. 3, 4, 5, 6 and so on means too much optimization to me. I prefer to approach it from basic principles.
     
    #11     Nov 22, 2002
  2. acrary

    acrary

    I noticed in setting up for the test, that you wanted emini data before the open till the stock close. I don't have that. These tests are on the SP futures market beginning with 9:30 and ending at 4:15 pm. The results assume no slippage or commissions. I ran the tests from 1/1/97 - 7/31/2001 as that's the upper limit of the data I have in my continuous contracts.

    Here's the results of your original idea:
     
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    #12     Nov 22, 2002
  3. acrary

    acrary

    Here's the second test results. Since you only had one variable to check I just reversed it. A random test would be meaningless as we'd need to run it hundreds of times to get a distribution of returns and then figure the mean to compare with the original test.
     
    #13     Nov 22, 2002
  4. acrary

    acrary

    Here's the TS code for the first test in case anyone else wants to compare results.
     
    #14     Nov 22, 2002
  5. acrary

    acrary

    And last, here's the equity curve over the 4 1/2 period for the first test. You can see the behavior has been consistent throughout the test period. It not very strong, but it is consistent.
     
    #15     Nov 22, 2002
  6. acrary

    acrary

    Here's something that may be a bit interesting to those using profit targets. How about a test with a 3 point stop and NO profit target. If not stopped out, just exit on the close. Once again, the old cut losses short let profits run.
     
    #16     Nov 22, 2002
  7. vleaps

    vleaps

    What happens if you target 12 instead of 9?
     
    #17     Nov 22, 2002
  8. What if you had a 6 pt stop-loss and MOC exit? I use it in one of my systems, works good, perhaps it would work here too.
     
    #18     Nov 22, 2002
  9. acrary

    acrary

    Here's another twist. The one day std. dev. has been about 15 pts. since 1997. Here's what happens when you truncate the loss to 1/2 of a std. deviation instead of a fixed # of points.
     
    #19     Nov 22, 2002
  10. acrary

    acrary

    Here's the results
     
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    #20     Nov 22, 2002