Countertrend ES System

Discussion in 'Automated Trading' started by ghetto808, Feb 8, 2008.

Would you trade it?

  1. Yes

    6 vote(s)
  2. No

    5 vote(s)
  3. Test it with real money and see if the results match

    10 vote(s)
  1. By looking at these stats, would you put money into this system? I am tempted to try soon. I back and forward tested this properly, but for simplicity, the data shows 10 years of ES data on a 12 minute bar chart. Commissions and slippage of 1 tick on both the entry and exit are in the data.

    Any comments/suggestions are greatly appreciated.
  2. Oh, heres the ridiculous looking equity curve. I really dont think its over optimized though because the system is relatively simple.
  3. man


    looks fine. though i again and again find these trade station
    reports distorting the picture. misguiding detail, not getting
    the real point. however ...

    put it on paper, wait until it has at least 20 trades.
    if stats are not worse than 80% of the backtest, trade
    it. if they are: back to drawing table.

    if it is really "simple" it's quite good. i never think in ticks
    in terms of commission and slippage ... this could be a
    hurdle. and which next price you think you could get.

    overall: nice.
  4. Average time in trades is 11 minutes. If you can manage such a short trading window then fine. It is too short and fast for me but you are the trader this instance.

    How much risk are you using? I can not tell if your annual growth rate of 18.58 % is associated with a high risk level or low risk level.
  5. man


    average holding period 11min on 12min bars ... i overlooked that.
    correct my comments: most likely a fluke.
  6. seems odd that w/ > 1000 trades and >60% profit over ~ 6 years, it only nets 27k.
  7. The system is useless.

    Lets put it this way, if this backtest were correct, then every good setup that these guys here take would have worked out for them.

    We all know that isn't true

    Also, your commission and slippage are very optimistic ... yep, very optimistic indeed.
    OK, now that we've tossed out what doesn't work, put in some screen time and start to figure out what does.

    Good luck.
  8. This system trades only 1 contract. It doesnt use any money management in the sense of scaling up as profits grow. It uses a targeted limit order for entry, and a profit target for its exit. Oh, and i dont understand the tradestation report either. It says the average trade time is 11 minutes, but I always enter on one bar, and exit on the next bar(s) depending if my profit target or stop is hit first.

    As for my optimistic commission and slippage, I guess I am coming to everyone here for advice now since i scanned the archives and found it difficult to determine exactly what i should use. I trade the ES, so i figured a commission of $2.5 per trade and slippage of two ticks for the profit target/stop order. My biggest worry is the no-fills that come with using a limit entry, since i know that all the losers will be filled, but winners will be missed. What do you suggest I use for the slippage if it seems unrealistically optimistic?
  9. If you are buying with a limit order and selling with a limit order then slippage might work in your favor.

    Stopping a loss is where you might encounter a big slippage problem. Consider what happens if you buy when price values are decreasing. If price values continue decreasing then you might stop the loss. You end up selling at a time when selling dominates. Slippage could be big in this case, and in some futures markets could be limit down and you are trapped.

    You might be able to estimate the effect of no fills by randomly removing some percent of your trades from the results. Maybe remove 5 % of the trades and see if it makes a big difference.

    I define my money management as what percent of account equity to risk on a trade. If my account equity decreases then my risk per trade also decreases. That's what I do. There are other ways to manage money.
  10. Speaking of what does work, give this guy a holler:


    If you do a search on his name you will see that he designs indicators with the same concept in mind that you have, which is looking at multi-fractral timeframes to determine the best trade entry.

    A lot of people like'em, others don't believe he's giving his stuff away for free.

    It's just another shot at the brass ring.

    #10     Feb 10, 2008