Sidinuk, I would join this request as well. Also, when are you going to update the spreadsheet? Thanks for all your work and all the best for this year Hittfeld
I'll try and get the spreedsheet updated this week and then I'll post a summary of how the system performed last year.
After our very profitable start to the year, making 3,347.50, we didn't have such a good week last - giving back 1,202.50 across the 5 contracts that I study. I appologise if anyone is receiving popups when they visit my website it looks like one of the free services (the mini poll, probably) that I use has decided to be a little more intrusive than I would like. If this is the case then their services will no longer be required!
Two losing days on Tuesday and Wednesday last week were offset by two winning days on Thursday and Friday to produce an overall profit of $487.50 for the week before commission costs. The nasdaq (NQ) was our best performing contract making a profit of $350.
We started the week with a couple of small losing days on Tuesday and Wednesday but Thursday produced a nice profit of $855.00 across the 5 different contracts. Friday lost $20. Overall 3 losing days and 1 winning day managed to produce a profit for the week of $425.00.
Hi Cheese, Thanks for your posts on this system. Below are some (edited) comments of yours I found thought provoking. "means of validly recognizing or predicting " "appears to use available raw data and is only on a backtested basis" "real understanding of the context" The context comment I think is really interesting / useful. How can one improve the system? In essence, I suspect by filtering out losers more effectively. Better filter development or an a understanding of the "context" may come from some of the, untested, suggestions below. - A brute force, qualitative analysis of the system's 10% biggest losers. - An analysis of opening gaps and/or opening prices relative to yesterday's OHLC data versus the subsequent ORB price action. - An analysis of the dynamics of volatility breakouts, ala Crabel. - Development of a scoring system for tomorrow's range's likely direction/magnitude. Possibly in conjunction with candlestick analysis, volatility, new highs/lows? - A move towards risk-adjusted dollar exposures per market. (ticks values for the mini Dow and mini Nasdaq are not the same) - Applying the system to futures in other sectors, specifically FX and FI futures. - Superior, dynamically adjusting money management and bet sizing techniques. - Analysis of profitability versus the size of the breakout range. - Analysis of profitability versus the size of the ATR. Perhaps one should implement any new filters/understanding as unobtrusively as possible. In other words, keep the system as free from parameters as possible and become able to estimate when the edge is greatest/weakest. One can then bet accordingly. Any thoughts? AM
Another quick thought... I recall the risk taken by the system, the stop level, varies according to the size of the opening range each day. This might not be optimal. Would it be better to calculate market-calibrated stop levels, relative to volatilty perhaps, to be applied individually to all markets each day? i.e. rather than 30 ticks one day/market, 40 the next day/market, the system takes x ticks per market per day. (Risk could be spread evenly between markets or in some weighted fashion, according to money management rules.) P.S. This is an interesting link on risk. http://www.seykota.com/tribe/risk/index.htm