Diversified Day Trading System

Discussion in 'Journals' started by seleukos, Feb 28, 2006.

  1. seleukos

    seleukos

    Sorry that was a little obscure....the forecast is for today. Based upon (among many other things) yesterdays data.
    The columns 1 - 3 indicate the weighted performance of each instrument from 1 - yesterday, 2 - two days ago & 3 - three days ago. 15/22/44/66 figures are the cumulative % performance of each instrument over the last 15/22/44/66 days.

    Hope thats a little clearer.

    regards
     
    #11     Mar 6, 2006
  2. seleukos

    seleukos

    Tue 07 Mar 2006 08:33:44 Forecasting Pilot NIC
    The forecast is calculated on data of 20060306
    So the forecast is valid for the day: 20060307
    -----------------------------------------------------------------------------
    Inst [1] [2] [3] [15] [22] [44] [66] Today: S.Loss
    -----------------------------------------------------------------------------
    FFAG +0.00 +0.34 -0.90 -11.43 -18.02 -30.00 -4.60 ----- -0.9%
    FFAU +1.89 +0.00 +0.00 -34.49 +9.90 -10.58 +18.43 Short -1.1%
    FFCA +0.00 -0.80 -0.80 -48.56 -22.81 -14.09 +0.92 ----- -0.8%
    FFCC +0.00 +0.00 +0.00 +0.00 -3.67 -16.65 +2.98 ----- -1.0%
    FFCL +1.25 +0.90 -0.90 +145.38 +75.41 +64.09 +88.23 Short -0.9%
    FFDA +0.93 -1.00 -1.00 +47.90 +42.71 +43.23 +37.85 Long -1.0%
    FFDJ +0.59 +0.22 -0.07 +49.02 +25.17 +27.57 +18.84 Short -1.4%
    FFEB +0.01 -0.15 +0.43 +18.83 +15.68 +8.73 +6.04 Long -0.6%
    FFFT +0.07 +0.17 -0.32 -1.01 +15.14 +7.88 +10.41 Short -1.1%
    FFHO -1.40 +0.57 +2.38 +12.33 -5.61 +73.89 +90.76 Long -1.4%
    FFJU +0.09 +0.06 +0.00 +0.29 +2.98 +16.52 +20.79 Long -0.7%
    FFKC -1.20 -1.20 +0.88 -21.07 -28.00 -9.65 -9.41 Short -1.2%
    FFNA +0.00 +0.00 +0.00 -46.67 -55.68 +20.72 -0.37 ----- -0.7%
    FFND +0.00 +0.00 -0.44 -38.20 -32.53 -10.47 +3.41 Short -0.9%
    FFSM -0.70 -0.70 +2.53 +95.82 +59.79 +36.89 +60.85 Short -0.7%
    FFSO +0.00 +0.85 -1.10 -32.02 -21.83 -19.28 -10.98 ----- -1.1%
    FFSP +0.54 +0.40 +0.00 +15.25 +27.58 +22.70 +17.92 Short -0.8%
    FFSS +0.00 -0.33 -0.90 -63.10 -35.89 -2.22 +11.92 ----- -0.9%
    FFUE -0.01 +0.07 +0.92 +24.84 +2.65 +7.05 +7.09 Long -0.6%
    FFUG +0.00 +0.00 -0.70 +48.20 +9.00 +50.86 +25.09 Short -0.7%
    FFUK -0.25 -0.12 +0.48 +14.87 -3.58 +12.87 +14.93 Long -0.7%
    FFUS +0.00 +0.00 +0.00 -29.14 -21.38 +4.70 -2.08 Long -0.6%
    FFWH -0.70 +0.00 +0.00 +20.79 +102.52 +50.47 +49.65 Long -0.7%
    FFZZ -0.70 -0.70 -0.70 +39.13 +48.50 +48.93 +72.63 Long -0.7%
    -----------------------------------------------------------------------------
    NIC +0.02 -0.06 -0.01 +8.62 +7.83 +16.01 +22.14 Instruments: 24
    -----------------------------------------------------------------------------
    Columns [1] to [3] denote the absolute gain% of last 1st,2nd and 3rd day.
    Columns [15] to [66] denote the YEARLY compounded gains% of the
    respective periods. Note that 22,44,66 are about 1,2,3 calendar months.
    All periods are in working days: so, a month has 22 working days about.
    1) Open on open.
    2) Close if stopped out or on close.
     
    #12     Mar 7, 2006
  3. seleukos

    seleukos

    As before no profit target for this system but FFAU (front mth Gold) is showing good sht term support here and profits could be taken.
     
    #13     Mar 7, 2006
  4. Prevail

    Prevail Guest

    Interesting, thank you. Unfortunately I missed the information at the bottom.

    Have you found daytrading a basket to be successful over the last 10 years? Is it the same trading model on all markets? Are CTA's using this model? I see trades are not taken everyday by every market, what kind of filter is used? Thanks.
     
    #14     Mar 7, 2006
  5. seleukos

    seleukos

    Yes, the diversification has been extremely successful over the long term. The same model is used on each individual instrument although the parameters for each are slightly different. Hence the signals generated are instrument specific so we are not long the metals or short the energies as a group.
    The model and variants thereof are currently being used by a couple of well known CTA's.
    Like I touched on before the signals generated are instrument specific and are actually a composite of numerous micro systems, thus if the model feels that for example the price patterns or probabilities do not warrant a position it will not generate a signal for the sake of it.

    regards
     
    #15     Mar 7, 2006
  6. seleukos

    seleukos

    Wed 08 Mar 2006 08:40:00 Forecasting Pilot NIC
    The forecast is calculated on data of 20060307
    So the forecast is valid for the day: 20060308
    -----------------------------------------------------------------------------
    Inst [1] [2] [3] [15] [22] [44] [66] Today: S.Loss
    -----------------------------------------------------------------------------
    FFAG +0.00 +0.00 +0.34 -3.34 -18.02 -24.89 -1.54 ----- -0.9%
    FFAU +0.27 +1.89 +0.00 -39.46 +12.96 -7.87 +17.52 Short -1.1%
    FFCA +0.00 +0.00 -0.80 -46.88 -22.81 -16.80 +2.14 ----- -0.8%
    FFCC +0.00 +0.00 +0.00 +0.00 -3.67 -18.87 +5.07 ----- -1.0%
    FFCL +1.39 +1.25 +0.90 +183.60 +91.24 +72.00 +94.08 Short -0.9%
    FFDA +0.32 +0.93 -1.00 +53.28 +44.39 +44.24 +37.26 Long -1.0%
    FFDJ -0.40 +0.59 +0.22 +26.78 +28.85 +27.74 +16.10 Short -1.4%
    FFEB -0.08 +0.01 -0.15 +16.59 +14.82 +6.15 +5.47 Short -0.6%
    FFFT +0.14 +0.07 +0.17 +10.46 +15.61 +7.31 +9.02 ----- -1.1%
    FFHO -1.40 -1.40 +0.57 -6.87 -20.49 +57.14 +87.64 ----- -1.4%
    FFJU -0.13 +0.09 +0.06 -0.11 +5.13 +15.79 +20.29 Short -0.7%
    FFKC +1.72 -1.20 -1.20 +7.59 -8.46 +6.94 -0.52 Short -1.2%
    FFNA +0.00 +0.00 +0.00 -46.67 -47.73 +24.70 -0.37 Long -0.7%
    FFND +0.27 +0.00 +0.00 -18.71 -29.47 -15.31 +4.43 Short -0.9%
    FFSM +0.68 -0.70 -0.70 +107.21 +67.56 +40.77 +66.09 ----- -0.7%
    FFSO +0.00 +0.00 +0.85 -32.02 -21.83 -19.28 -6.81 ----- -1.1%
    FFSP +0.14 +0.54 +0.40 +17.59 +23.46 +25.51 +18.69 Short -0.8%
    FFSS +0.00 +0.00 -0.33 -63.10 -54.54 -5.11 +15.33 Short -0.9%
    FFUE -0.11 -0.01 +0.07 +21.76 +8.22 +4.13 +6.10 Long -0.6%
    FFUG +0.40 +0.00 +0.00 +66.57 +21.53 +53.15 +29.26 Long -0.7%
    FFUK +0.05 -0.25 -0.12 +15.83 +4.90 +13.13 +14.13 Long -0.7%
    FFUS +0.45 +0.00 +0.00 -24.37 -12.45 +7.59 -0.15 Long -0.6%
    FFWH +0.33 -0.70 +0.00 +26.28 +106.26 +54.32 +48.27 ----- -0.7%
    FFZZ -0.70 -0.70 -0.70 +39.13 +43.49 +25.18 +62.10 Long -0.7%
    -----------------------------------------------------------------------------
    NIC +0.14 +0.02 -0.06 +12.96 +10.37 +15.74 +22.90 Instruments: 24
    -----------------------------------------------------------------------------
    Columns [1] to [3] denote the absolute gain% of last 1st,2nd and 3rd day.
    Columns [15] to [66] denote the YEARLY compounded gains% of the
    respective periods. Note that 22,44,66 are about 1,2,3 calendar months.
    All periods are in working days: so, a month has 22 working days about.
    1) Open on open. .
    2) Close if stopped out or on close.
     
    #16     Mar 8, 2006
  7. seleukos

    seleukos

    As before with FFAU (front month gold future) we see good support around these levels (540.5) and would suggest profits to be taken.

    regards
     
    #17     Mar 8, 2006
  8. seleukos

    seleukos

    FFCL (front month Crude)is also showing good support just below here and we would sugest taking profits out at these levels (59.75)

    regards
     
    #18     Mar 8, 2006
  9. Prevail

    Prevail Guest

    Thanks for the explanations. So what kind of actual performance do the dt systems and cta's put up?
     
    #19     Mar 8, 2006
  10. seleukos

    seleukos

    Thu 09 Mar 2006 08:36:02 Forecasting Pilot NIC
    The forecast is calculated on data of 20060308
    So the forecast is valid for the day: 20060309
    -----------------------------------------------------------------------------
    Inst [1] [2] [3] [15] [22] [44] [66] Today: S.Loss
    -----------------------------------------------------------------------------
    FFAG +0.00 +0.00 +0.00 -3.34 -18.02 -19.77 -7.31 ----- -0.9%
    FFAU +0.55 +0.27 +1.89 -11.99 +21.57 +1.49 +17.37 Short -1.1%
    FFCA +0.00 +0.00 +0.00 -33.55 -28.42 -15.81 -0.35 ----- -0.8%
    FFCC +0.00 +0.00 +0.00 +0.00 -3.67 -21.10 +5.34 Long -1.0%
    FFCL +1.69 +1.39 +1.25 +157.30 +120.64 +77.01 +99.58 Long -0.9%
    FFDA -1.00 +0.32 +0.93 +35.46 +29.93 +38.56 +33.47 ----- -1.0%
    FFDJ -0.34 -0.40 +0.59 +15.57 +25.12 +23.68 +15.03 Short -1.4%
    FFEB +0.19 -0.08 +0.01 +18.86 +16.36 +6.79 +6.95 Long -0.6%
    FFFT +0.00 +0.14 +0.07 +16.35 +14.72 +3.88 +10.46 Short -1.1%
    FFHO +0.00 -1.40 -1.40 -27.36 -39.32 +50.26 +89.14 ----- -1.4%
    FFJU +0.06 -0.13 +0.09 +5.17 +5.80 +16.91 +20.11 Long -0.7%
    FFKC -1.20 +1.72 -1.20 -12.41 -22.10 -34.79 -3.29 Short -1.2%
    FFNA -0.70 +0.00 +0.00 -58.33 -55.68 -2.29 -3.02 Long -0.7%
    FFND -0.15 +0.27 +0.00 -6.22 -31.18 -16.17 +3.20 Short -0.9%
    FFSM +0.00 +0.68 -0.70 +118.88 +75.52 +40.77 +66.09 Long -0.7%
    FFSO +0.00 +0.00 +0.00 -32.02 -21.83 -19.28 -16.97 ----- -1.1%
    FFSP -0.15 +0.14 +0.54 +20.20 +24.46 +24.66 +18.12 Short -0.8%
    FFSS +0.34 +0.00 +0.00 -42.41 -40.44 -15.40 +20.03 Long -0.9%
    FFUE +0.02 -0.11 -0.01 +24.97 +9.74 +3.62 +6.00 Long -0.6%
    FFUG -0.70 +0.40 +0.00 +66.57 +13.57 +53.15 +29.26 Long -0.7%
    FFUK +0.00 +0.05 -0.25 +18.22 +8.20 +13.52 +12.69 Long -0.7%
    FFUS -0.06 +0.45 +0.00 -24.85 -13.09 +7.11 +1.91 Short -0.6%
    FFWH +0.00 +0.33 -0.70 +26.28 +95.17 +48.69 +48.27 ----- -0.7%
    FFZZ -0.70 -0.70 -0.70 +39.13 +35.53 +25.18 +62.10 Short -0.7%
    -----------------------------------------------------------------------------
    NIC -0.09 +0.14 +0.02 +12.94 +9.27 +12.11 +22.26 Instruments: 24
    -----------------------------------------------------------------------------
    Columns [1] to [3] denote the absolute gain% of last 1st,2nd and 3rd day.
    Columns [15] to [66] denote the YEARLY compounded gains% of the
    respective periods. Note that 22,44,66 are about 1,2,3 calendar months.
    All periods are in working days: so, a month has 22 working days about.
    1) Open on open.
    2) Close if stopped out or on close.
     
    #20     Mar 9, 2006