Backtest this strategy

Discussion in 'Index Futures' started by Sashe, May 12, 2004.

  1. Sashe

    Sashe

    Found this strategy on Wealth Lab site, but dont have enough ES data to backtest it.
    Settings:
    3 min chart
    SMA 150
    RSI(5)
    Rules:
    For longs Entry: Price above SMA 150 and RSI(5) closes <30--->go long
    For longs Exit: RSI(5) closes >70 or 2 stop loss

    For shorts Entry: Price below 150 and RSI(5) closes >70---->go short
    For shorts Exit: RSI(5) closes <30 or 2 stop loss

    Please, backtest this as far as possible.
    Thx in advance
     
  2. sammy12

    sammy12

    If this is your holy grail, you need to look more ...


    inputs: Price( Close ), RSILength( 5 ),SMALength(150), OverSold( 30 ), OverBought( 70 ) ;
    variables: MyRSI( 0 ) ;
    variables: Counter( 0 ) ;


    MyRSI = RSI( Close, RSILength ) ;


    if Currentbar > 1 and MyRSI crosses under OverSold
    and Price > AverageFC( Price, SMALength ) then

    Buy ( "Buy" ) next bar at market ;

    If MyRSI crosses over OverBought Then
    Sell ("Sell") next bar at Market;



    if Currentbar > 1 and MyRSI crosses over OverBought
    and Price < AverageFC(Price, SMALength) then

    Sell Short ( "Short" ) next bar at market ;

    If MyRSI crosses below Oversold Then
    Buy cover ("Cover") next bar at Market;



    This is quickly written code, ask the experts regarding correctness of the code. Did not include stop limit in the code itself, but there is in-house tradestation _stop strategy is used for $100 stop.

    $2.5 Comsn and $12.5 slippage is assumed
     
  3. Sashe

    Sashe

    Sammy, can you post the results here, i am having trouble opening your file
    thx
     
  4. sammy12

    sammy12

    Results for 2 years of back testing.

    Total Net profit : (63,870.00)
    Profit Factor: 0.60

    Total Number of Trades: 2084
    Percent Profitable: 42.08%


    Ave. Trade Net Profit: (30.65)
    Ratio of Ave. winning/ Avg losing: 0.82

    No. of consecutive wins: 8
    No. Consecutive losses: 16

    Return on Account: (99.94%)

    Max. Trade Draw down: (837.50)


    As you can see, it is not worthwhile strategy, unless you come up with some kind of filters to weed out the bad trades.

    Good luck
     
  5. Sashe

    Sashe

    Thx a lot, sammy, thats all I wanted to see