ES Volatility Study

Discussion in 'Index Futures' started by aphexcoil, Oct 30, 2002.

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  1. dottom



    The point is Alphe already backtested a 100% mechanical system, and gave us blow-by-blow commentary on his siulated trading, to the tune of >1000 posts.

    We all warned him about the challenges of real trading (not simulated) with real money on the line, both psychological and from a systems trading perspective.

    That's why we're on his case now. He didn't trade his plan. I wish Alphe would trade his plan. I'd like to see the results of that very short-term system, backtested with slippage & commissions factored in on real-time simulation.
    #41     Oct 31, 2002
  2. I went to your site Aphie and checked out your Rap "song". :eek: I think you should give up any hope of being a professional trader and stick to writing Rap! I was trying to imagine what it would sound like with music but then I remembered that this artistic genre doesn't involve music. Good luck at whatever it is you are really trying to do.

    #42     Oct 31, 2002
  3. jaan


    ...unless you fully automate your system, which aphie is perfectly capable of doing.

    whether you want to call a few excel graphs a (useful) study, is of course another question.

    - jaan
    #43     Oct 31, 2002
  4. For the month of October, out of 13,392 2 minute candles, the following statistics apply.

    If the high of the second candle is .50 ES points or GREATER than the previous candle and a long position was initiated and an initial stop-loss of 1.25 was set:

    885 Events occured (discounting events while in a trade):

    Of which:

    482 trades were stopped out.

    403 trades reached a profit target of +1 ES points.
    256 trades reached a profit target of +2 ES points.
    179 trades reached a profit target of +3 ES points.
    129 trades reached a profit target of +4 ES points.
    90 trades reached a profit target of +5 ES points.
    70 trades reached a profit target of +6 ES points.
    57 trades reached a profit target of +7 ES points.
    51 trades reached a profit target of +8 ES points.

    (I'll stop here, but suffice to say that even 13 trades were able to make it +15 ES points. I did not check anything higher)

    These are inclusive. This means that all +8 ES points (51 trades) are also included in the +7 ES point category.

    Using a trailing stop loss, it should be possible to average 2.5 ES points per successful trade.

    The simulation was very liberal with slippage, allowing .50 in slippage and .25 additional for "imperfect" timing of trades.

    482 trades stopped out at 1.25 ES loss = 602.5
    403 trades successful at an average gain of 2.5 ES points = 1,007.50 ES points

    90 ES points for commission for a NET total of +315 ES points during the 28 day trial.

    An average of +2 ES points per successful trade would give a NET of 113.5 points.

    As you can see, letting profits run is critical. If you had set a limit of 1.25 ES points, you would have lost.
    #44     Nov 1, 2002
  5. Using same number of candles as before -- If the high of the next candle is 3.5 ES points or greater than the high of the previous candle, and a LONG trade is initiated, the following stats apply:

    Stop Loss = -1.25 ES points

    23 Events Occured during the time-frame:

    With a target of 5.00 ES points, 16 trades were stopped out and 7 trades were successful for a NET gain of 12 ES points (3 points used for commission costs).
    #45     Nov 1, 2002
  6. You better check that for sure. Trailing vs hard fixed.

    It comes down to 3 choices

    1. Fixed stop with target

    2. Trailing stop with target

    3. Trailing stop no target.

    Which tests out the best?
    #46     Nov 1, 2002
  7. Then you can also test, of the 7 that made it, how many could have been entered on a pullback from the 3.5 trigger.

    Is this long only? If so, then that's a problem. Since probably in Oct. any system which favors long would test out better than average.
    #47     Nov 1, 2002
  8. dottom



    How are you handling consecutive signals bars in your trailing stop model? For example, if you have:

    bar 1: +5.00 pts
    bar 2: +5.00 pts
    bar 3: +5.00 pts
    bar 4: -whatever (stops you out)

    Does your analysis consider that one trade or 3 separate trades?
    #48     Nov 1, 2002
  9. yenzen


    haha, i red yur journal. you sound like crazed cocaine monkey jumping up and down, crying like little baby if market move 1 tick and u lose. now u going to try and trade crazy market that zig zag up and down all day long. u shewld start website like a guru but charge lot of money, sound like real pro, fleece sheep for living
    #49     Nov 1, 2002
  10. Good question. Obviously the dynamics of backtesting can easily get very complicated. If we assume that 13 trades are successful at +15 points out of 88 trades, I assume that, during the duration of that trade, we ignore any signals that would qualify for another trade.

    This is where the math and statistics and start to get heavy, and where I must be extra alert that the outcomes of my trials to not "feed back" to the initial events themselves (which is almost impossible to control, but somewhat manageable).
    #50     Nov 1, 2002
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