I have no expectations but do have some curiosity and hope,. Since it's no secret that on a historical basis the markets generally decline at about 10 a.m and 2:40 p.m I thought perhaps entering at the first low and exiting prior to the second might keep a guy from getting stopped out before reaching a profit. Assuming your long of course. Might want to run it the other way on a short i.e enter @ 2 pm exit 2:40 Probably nothing there but it would be fun to see what you come up with. Back during the bull in the 90's I made a habit of buying the 2:40 dip and holding overnight and hopefully selling on a gap up at the open. Talking options here but it shows in the futures very clearly.
Hi, White17, here is another set of runs for 2002 (backtest_2.jpg file) Entering every day at 10.00 (instead of 9.30) and then having as latest possible time exit 14.00 (instead of 16.00), if no stop or target were hit. Otherwise same stop/target level as before, ie testing the impact of an initial stop vs a trailing stop of 6 point. Results : between long and short trades, the split is no more 50/50. Using this entry time, you see market clearly had a short bias this year. In this configuration, the trailing stop had a slightly negative impact on shorts while having a huge positive effect on long trade⦠Eddy Erratum : For the run included in the earlier report (backtest.jpg), the drawdown was incorrect : one should consider half of the value initially reported. Indeed, I ran these backtests with 2 lots, but reported in the overview as done with one single lot (for simplification), however, I just forgot to divide by two the drawdown value as well...
So for my pea brain to understand....am I reading it correctly that run D produced smaller losses ? When you say the trailing stop had a HUGE positive impact are you comparing that to your original runs or the other three here? Is the time change worthwhile on a real dollar basis? Thanks very much.
White17, my comments were indeed on a relative basis, ie when replacing the initial stop by a trailing stop, the avg profit per trade decreases for the short positions (while staying in the positive range). So the introduction of trailing had a slight negative effect for short trades. On the other hand, trailing stop helped improve the avg $ per trade for the long trades (from -43 up to -16.6 $). Eddy