macaw, that sort of large reversal in the last 20 minutes of trading is pretty rare, obviously a reaction to the sustained down move over the last 3 days. If we added a target to the system we could have taken more profit from this particular day but we need to look at the effectiveness of this target over all of the data sample. Overall, using a target with this sort of system will diminish returns as found in the original article. Days like today are frustrating, when so much profit is given back in the last few minutes. However, we have to remember the objective of this particular system is to capitalise on strong trend days where the market closes at or close to the high/low of the day. This just wasn't one of those days. Our filters did anticipate that it was unlikely to be a solid trend day and kept us out of all but YM. No one system can profit from every situation and market condition - that's why you need a few different ones!
Sid, Thanks for that and thanks for this thread. I have been following it with interest since the beginning. I was thinking of something more like a trailing stop once a certain target is reached or the use of some technical indicator when the trend is very clearly going strongly in the other direction. You're probably right though, finding something that would actually inrease the overall profit is difficult. I have tried backtesting a number of things without success. If I come up with something, I'll post it!
you can try taking a tick or two at least when a trade has become favorable and then reverses...i.e breakeven + 1 tick
I don't understand. I looked at the results from the web site on YM for 2005 in the "<1.6" column and I see +732 points. Even after commissions this is a nice return. Are you looking at it as if trading all of the futures instruments as a combined total ?
True to recent form, a losing week was followed by a winning week last week. Turning in a combined profit of $1,320 before commissions and slippage.
Oct 18, 2005. A mixed day with YM and NQ going long while ER2, EMD and ES went short. Overall a profit of $685 for the day.
Sidinuk, on your website you show a profit for YM of 72 points for yesterday, mon oct 24th. Yet on that day our website announced a NO TRADE TODAY. Did I miss something? Best wishes and thanks for your nice system and hard work Hittfeld
Sorry, Hittfeld. I didn't update the 'to trade or not' table by mistake so it still showed Friday's information. Thank you for your kind comments.