I'm just manually backtesting the open range breakout since I have no clue how to program anything on TS, but look at 12/30/05 in ES. If you picked anytime before noon as your opening range, you would probably end up committing suicide and chucking this system out the window, that is sick. It broke the low by a few ticks and then zoomed up to the high, broke the high by a few ticks and then went back to the low, broke it by a few ticks and then went higher again. I know it's just one day, but it's still not just an unfortunate coincidence. It's a clear indicator that this system is too popular, is it not? You see the market behaving in such a way that there is an obvious concentration of stops located near typical opening range highs and lows. I haven't looked at any data from, say 10 years ago, but I would make a bet that this sort of thing never happened back then. Any thoughts?
Have you considered that 12/30/05 was the last trading day for the US tax year? There were probably some strange moves in the stocks underlying the YM. It would be the index most easily perturbed by tax buying and selling in the underlying. Jack
No I'd have no reason to believe that tax buying and selling would dramatically affect the behavior around the opening range. Any conclusion made from that particular circumstance on that day would no doubt have been in hindsight.
Well, it would be interesting to see if the YM profits continued going down, or the drawdown was erased and more and more profits came to the system traders.. Updates anyone?
The backtest file on www.online-futurestrading.com has been updated for trades up to September 2006. In summary, in 6 months since April 2006: NQ made a profit of $680, YM lost $225, ES lost $950, EMD lost $920 and ER2 made a profit of $4,200 per contract. A total gain of $2,785.
I downloaded the PDF with the description of the system and thought this is a good opportunity to learn something but I'm already stuck with something simple. In the trade setup there is a table which shows for several opening ranges if the high or low for the day was established or not and how many times this happened for the examined period. How can I easily reproduce this with my own data? Would I do this in Excel? Do I need to use VBA? Or a specialist statistics application? In Tradestation? The way I tried to do it was to load the data in Excel took for example the high of the first bar as reference and then checked if the other bars where higher or not. If all remaining bars for the day where lower then I would count that day and then go on to the next day. The problem with this is I'm doing it manually. Why do I have a computer with Excel? Could somebody show me how I could automate this? Thanks