Example Trading System

jonny,

Sid may as well be promoting his website. I don't care really as the information he posted on the website is very helpful, at least to me. The information is free to me, as he did not charge me any money for it. There are banners there, and maybe that is Sid's source of income. However, as long as I don't have to pay a subscription fee for a site that he has advertised here, I see no problem with it.

Just my opinion of course, and it maybe opposite from what you have. That is not a problem to me.

Again, Sid, please keep up the good work.

Maji

 

I understand your point of view, I think, jonny. I just think that you've picked an _extremely_ unfortunate example to demonstrate it! No way Sidinuk can be considered a "spammer"!

 

Thanks to Sidinuk for providing a link to an infomative article. Unfortunately these informative discussions are rare on ET as of late, with most discussions turning into juvenile flame wars; it always seems at least one person has to turn up pissed off because someone posted a link to his own site. Who cares, it was free information to the ET community.

I feel I must point out, however, there were a couple of problems with the information, mostly involving the 'expectancy'. The expectancy was defined as a function of the probability of the high or low holding in the OR and the percentage of the daily range consumed by the OR. I interpret this to mean the percentage of the daily range we should expect to capture.

This is an inaccurate use of expectancy in trading. Typically, expectancy is used to calculate the expected profit of a system per trade. In this case, the given expectancy is not so useful in trading. This number does not take into consideration price action after breakout. While we may expect to capture 20% of the daily move following this equation, we may find we rarely make a decent winning trade, as we bounce hard off of the highs and, depending on the exit strategy, tend to hold into the close and exit at a poor price.

When you read something like this, you need to think about exactly what these figures are implying. If the exit was MOC, we may expect to capture 20% of the daily range, but in the end only make 10% while risking 40%. This is, at least in my opinion, not a very good risk/reward ratio.

The opening range breakout is an interesting concept, however anyone who would think about using a system like this should do their own research before inception.

Good luck.

 

Thanks for the nice comments I'm glad people find the information useful.

I also understand peoples suspicions - forums are an easy way to promote commercial websites. I run my website as a hobby - I wanted to mess around with Frontpage and trading is what I know! I am not selling anything. There are google ads which pay about enough to cover the hosting fees and a pint of lager at the end of the month!

If the mods are unhappy with anything that I have posted please let me know and I will cease.

 

hanseng1,

Thanks for you comments and yes you are completely right in that in that particular part of the article I did not use expectancy as we would be more familiar with it. I used it to produce a comparison between different variables rather than as the expectancy for the whole system which, of course, would be far lower given that the market will rarely close at the extreme.

 

Mine's a half, thank you. Thought you'd never ask.

 

I'll put it in the mail!

 

sidinuk,

Do you actually trade this system?

Or perhaps you trade something better.

Im curious, as most traders probably wouldnt publish a
system they trade. Afterall you dont want the extra orders
going off around yours.

 

Businessman,

There are very few variables in this system and those there are work for a wide variety of values. For example the open range was set at 135 mins but in the article anything from 45 minutes to 3 hours has the potential to be the basis of a positive system. 135 mins was marginally the best during the test period so that was chosen. The future is unlikely to exactly replicate the past so any value could be the best performing, we just don't know. What we do know is that whatever value we choose we have positive expectancy. The success of the system is not dependent on exact variables - so there is plenty of room for variations.

For this reason it is wise to trade 2 or 3 variations of the system over several different markets - this will help to smooth the equity curve.

 

Are the results posted considered good/tradeable.....

By this I mean can you trade 5-10-20 contracts of the Dow mini's with relative ease ie. not to much slippage?

I was considering trying the dow (not this system in particular) and was wondering what a decent month/quarter should yield point wise trading this product? 100 points a month...200..???

Any all comments would be appreciated?

Thanks for the posts sidinuk..well done...great discussion