Candle, welcome to the thread. I don't mind skepticism. I too am a skeptic. That's one of the reasons why I prefer posting in realtime. The only withdrawls in my past results were for withholding (taxes). Up until now it hasn't been much money. Since I don't know what future profits will be, I just estimate the taxes on my earnings up to that point YTD at the end of the quarter. If there's a better way of doing it, I like to hear about it. Since I'm getting into some serious money now, I think my compound rate will slow because of the increased taxes. Remember this method accounts for about 1/2 my profits. The double tops/bottoms in your second post is the second method I also trade. My goal is to reach 600k. At that point I plan on putting 300k in a bond type account of 5%. That'll give me 15k of cash per-year. I plan to put 100k of the remaining 300k in a checking account to live on for two years and the remaining 200k will be my trading account when I switch to fulltime trading. It's my dream and by my figuring, I should reach it sometime in the next year (as long as future is about as good as the past...unknown). I've tried to program this method in the past and haven't been able to get it to work like I trade in realtime. I can usually find 1 out of 6 or 7 trades, but the rest seem to get lost. Maybe somebody on this board can figure it out. I'll be happy to verify the trades. To get an idea of how this method does over time with 2% risk I've made a table with the trades. I'll post it at the end of each month and somebody with Excel can import it and create a equity curve. It should be fun to watch. Here's a example with the trades so far this month with 2% risk per-trade and including commissions for my more expensive account.
Magna might be able to help. I think he found E-Sig had the slow and fast reversed in their Chaikin Osc.
It's because you know when to trade the system. The computer does not. Another reason is your brain's "bullshit filter" on divergences. When you see one you can think about if it's "real". To a computer they are all real.
Hello all, I've been lurking at ET for several months but this is my first post here. By way of introduction, I'll disclose that I'm a newbie to futures trading - I have a little less than a year's experience. I have relatively little experience with any type of trading (about 5 years). Trading is not my profession. I have not been consistently profitable in my futures trading as of yet, but I have gotten to where I am treading water and not losing money. Having said all that, I'd like to thank no_pm_please for posting his method and allowing us all to test it for ourselves. I have backtested 60 days worth of data (back to around the beginning of June). I realize this is not as extensive as OffshoreTrader's testing, but I did all testing manually in order to more closely simulate actual trading conditions (and also because I don't have a team of guys to do a more extensive mechanical backtest ). I will post my results here because they are significantly different from OffshoreTrader's. I donât know why my results are so different but I could speculate that itâs because a manual backtest allows for more discretion, or because market conditions over the past 60 days have been more conducive to NPPâs method as compared to market conditions during the previous 21 months or whatever. A few caveats: I, like some others here, notice differences between my Chaikin Oscillator and NPPâs. I use eSignal and I found a Chaikin Oscillator file that claims to measure the difference between the EMAâs of a fast and slow Acc/Dist line (I set the fast at 3, and the slow at 10). I have found that while the values of my oscillator do not match NPPâs, the signals generated are nearly the same. I compared all the August trades with those of NPP and found 2 times where his oscillator showed a divergence, but on mine the divergence had not quite developed yet. Because I saw no divergences, I didn't take the trades. One of his trades was a loser and one a winner. The winner was larger than the loser by 0.5 or 0.75 points ES. Other than these 2 trades, other signals matched up well. Also, while my Keltner channels are very close to NPPâs, Iâve noticed that they are not exactly the same. Sometimes this has caused my stop loss to be 0.25 points different from NPPâs. My Keltner numbers are close enough to NPPâs that the difference could be explained by using a different quote vendor. I am at a loss as to why my Chaikin values sometimes differ by a factor of 2 (even though the overall shape of the line looks very similar). One more thing: I made two entries which could be said to fall outside of NPPâs methodology. Both were double tops/bottoms where the price did not quite make a new high/low, but came very close to doing so. The Chaikin, however, made a much lower high or higher low, and I read this as a clear divergence. Both double tops/bottoms occurred at what I considered significant resistance or support (IIRC, the R or S was provided by the previous dayâs high or low in both cases). Both trades were winners. Some may argue that these trades shouldnât be included in the test because no new high or low was made and, therefore, they do not fall within the bounds of NPPâs system. I claim that this is where the discretionary part of the system comes in and that these were valid trades. Maybe NPP can address this point. In any case, taking these trades better simulates the way I would use this system in realtime trading, so it makes perfect sense to me to include them in my personal backtesting results. All trading signals were generated by the SP. I looked at using ES, but saw enough differences between it and SP that I ended up canceling my subscription to CBOT (I no longer look at bonds or notes regularly), and subscribed to the full CME data for only $5 extra per month. I did not look at ES to get the actual entry and exit prices; I assumed that these prices would match those of SP closely enough to not be a problem. To reduce/avoid bias, I scrolled forward on the chart slowly once I saw ADX approaching 30. I made all entry and exit decisions while on the right edge of the screen, so I couldnât see the result of a decision before making it. Because discretion is involved in this system, everyone will get different results from backtesting. As I said before, I offer my results to the thread because they are wildly different from OffshoreTrader's. Here they are: Total number of trades: 35 Total number of winners: 22 Total number of losers: 13 W:L ratio = 1.7:1 (or 63% winning trades) Total profits for winners = 106.75 points = $5231.90 per contract, including commissions Total losses for losers = -33.25 points = -$1600.10 per contract, including commissions Average profit = $237.81 Average loss = $123.08 Profit:loss ratio = 1.9:1 Net profits overall = $3631.80 per contract Net profit per trade = $103.77 If anyone finds any errors in my calculations, please speak up! Regards, Jason Edit: I should have mentioned that I use Interactive Brokers, so my commissions were estimated at $4.80 round trip.
I plugged it in to my system. I only see the 8/8 trade for August on the short side (prior to today). It seems to have missed 5 of the 6 short trades for the month. If you can fix it, I'd love to see the results for the past few years.
No__pm, I appreciate that you're sharing your method with us. You mentioned in a previous post about having problems with being awake during trading hours. For instance you found it difficult to wake up early to trade when you had to work late the night before. I too, have to work odd hours which is nice in that you have time off during the day to trade. However it can be difficult to stay awake during the day because you're not keeping regular hours. Whenever I have a hard time to stay awake at the computer I usually try to do something physical. For example I'll exercise by the computer or if I'm not in the middle of a critical part of a trade I'll go and take care of some small chores around the house. I find that works a lot better than taking a nap during the day. I've read that the best way to keep your body adjusted to stay awake during the day is to keep active during those hours. They've done studies of people suffering from jet lag. They found that the ones who were physically active during the new daylight hours they had to change to, adjusted much quicker than the ones who were inactive.
Thank you for your ideas. If I could backtest the exact method in a systematic way and I found it to be a disaster, I wouldn't trade it either. In reality, whether it hits one band or the other isn't of much concern. If I saw the method bouncing at say the 20 period ma and then making new highs everyday, then I'd switch to exiting at or near the 20 period ma or coming up with another target exit approach. I'm using the indicators and charts to help me understand what the market is doing. If I make changes to the method (which I do often), then I just upate it for those market conditions. I don't feel comfortable with mechanical methods, but I'm sure others do. The value of this journal to me is the discipline of getting my lazy butt out of bed to trade the whole day. The value to others may be in just learning that money can be made using divergences over time. By following in realtime maybe they'll catch a little of what I'm looking at and develop their own way of analyzing market conditions. At the very least, it's entertainment for those people hanging around all day and waiting for their signals. Thanks again