I wrote a program to backtest this system using 1 minute bars. I only had data for about two weeks from 4/30/09 through 5/15/09. Depending on the commissions and slippage I used, the system produced from break-even to 1% gain through that period of time. I suspect that actual trading might have been closer to the break-even mark. For $20,000 per symbol, $7.00 per side commissions, and zero slippage, the backtest yielded profit of $1004, or about 1% on the $100,000 capital. I am looking for 1-minute bar data from 2/17/09 through the present for the 5 symbols HCBK, MRVL, RIMM, JNPR and SCHW. If someone could send that data to me, or point me to another source, I would be happy to run the backtest and post the results. Thanks.
2009-06-24: HCBK : L5 = 1,6393% MRVL: L5 = 2,0123% RIMM : L5 = 1,383% JNPR : L5 = 1,1806% SCHW : L5 = 1,5808% FSLR: L5 = 1,7359% SKF : L5 = 2,671%
7$ per order...We can do better ! 2009-06-25: HCBK : L5 = 1,6393% MRVL: L5 = 2,0123% RIMM : L5 = 1,383% JNPR : L5 = 1,1806% SCHW : L5 = 1,5808% FSLR: L5 = 1,7359% SKF : L5 = 2,671%
2009-06-26: HCBK : L5 = 1,6393% MRVL: L5 = 2,0123% RIMM : L5 = 1,383% JNPR : L5 = 1,1806% SCHW : L5 = 1,5808% FSLR: L5 = 1,7359% SKF : L5 = 2,671%
2009-06-30: HCBK : L5 = 1,6393% MRVL: L5 = 1,7206% RIMM : L5 = 1,383% JNPR : L5 = 1,1806% SCHW : L5 = 1,5808% FSLR: L5 = 1,7359% SKF : L5 = 2,671%
Emintrader,you must charge for this thread,otherwise before you know I will be rich.Thanks buddy from the bottom of my heart.
Yeah ... in the 1st post the L5 was 10 (10%). How did we get into the thousands (with 4 digits after comma) immediately after that? Edit: Also is the stop always .07, or 7%?