Camarilla Equation

Discussion in 'Strategy Development' started by ig0r, Dec 14, 2003.

  1. ig0r


    Just thought I would post this equity curve. This is a system trading ZB (30 year tbond futures, will also work on ZN) using my own version of the famed camarilla equation, I figured out what I have on my own and it turns it gives very similar results to the real thing (couresy of my friend who subscribes to This system is contrarian in nature and pretty much scalps reversals off of what would be the HL3 and LL3 levels. It trades 3-5 days a week, not everyday. It is not optimized in any way, only values used are the previous days OHLC, only variable is a fixed profit target, picked this out of thin air. Stops are calculated based on HL4 and LL4 levels. This equity curve is starting with 3000$ and trading 1 contract at all times. It uses a 5min chart but I believe it would generate almost double the profits on a 1min (increased surface area helps here, since in certain situations it trys to enter every bar). Max 1 position open at any time. $2.40 a side IB commissions have been added along with 1 unit (1/32 of a point) of slippage each way. I finalized my version of the camarilla eqn friday night and so wrote this system over the weekend, plan to start trading it in a week or so, after I add some money management code. As far as performance data...

    Starting Capital: $3000
    Ending Capital: $42090.15
    Net Profit: 1303.01%
    Annualized Gain: 106.75%
    Exposure: 0.67% (due to 1 contract traded at all times)
    2657 Total trades, $14.71 profit/loss, 2.88 average bars held
    1993 winning trades, 664 losing trades
    $71.59 average profit, $156.01 average loss
    Max Drawdown: -$2610.19
    Wealth-Lab Score: 9295.14 (for you WL users, heh)
    Profit Factor: 1.38
    Recovery Factor: 14.98
    Sharpe Ratio: 1.72

    Posted this to show first of all that the camarilla eqn has some merit, and second of all to show that systems/mechanical trading has some merit :)
  2. ig0r


    What do you guys think? Any comments?
  3. rather good idea. thanks.

  4. funky


    looks like a hefty drawdown in there, would never be able to start trading with 5k....

    that curve looks nasty :O
  5. ig0r


    Which curve? The blue line is buy and hold (the movements of ZB), the dark green is the cash level
  6. funky


    ooops my bad! :)
  7. Interesting, but have you tried it on ES or NQ? Or perhaps both?
    Also, what is your fixed target?

    I understand that you short/buy when the HL3/LL3 are crossed and your stop loss is at HL4/LL4, right? So what is your average profit/loss ratio with your fixed target? Is it the profit factor?
  8. ig0r


    I tried it on ES and NQ but they didn't lend as well to the quick scalping nature simply because of range/movement. 0.05 is the fixed profit target, $50 on ZB, the range on most 5 min ZB bars is closer to 0.2, on ES I would need a point to get that same $50, not to mention that the ES range is usually around 10 points, ZB range can be 20+ times the profit target. win loss ratio is around 4:1.
  9. Am I reading this right? If you just bought and held during that same period, you would have around $37,500?
  10. It is true that ZB have good ranges and they tend to trend better than ES and even NQ. But because of this I would think that the Camarilla formula should work well when aplied to trends starting at HL3 and LL3. Have you tried a trending system like that for bonds?
    #10     Dec 14, 2003