Rules: Buy 1 tick below the low of the 845 CST 5 minute ES bar or Sell short 1 tick above the high of the 845 CST 5 minute ES bar. Take the first side to fill, cancel the other side. Set a stop loss at 1 point from entry and a profit target of 1 point. These rules are essentially OPPOSITE of those advocated on other threads here on ET. It shows a nicely upward sloping equity curve.
Thanks for sharing that. It is always nice to see people contribute results from testing rules. My questions are: 1) Why 845 CST? How's it perform at 840, 850, etc? 2) Did you test this on 1 minute data or tick data? If 1 minute, did you make sure the price went 1 tick past your entry price in the adverse direction to absolutely ensure a fill? If not, don't expect to be filled at all the trades in your backtest as you may not be first in line with your limit order in ES's thick book. 3) How did you model your stop fills? 1 point is a somewhat small stop.
Nice idea, but it will not work in real markets. We´ve tested something same in the german markets DAX and BUND. Forget all Profit-Stops and Stop-Losses with 1 point size. You will get stopped out faster than you could believe.... In backtest results this systems all look great - but in real .... Just try something like this : ( Tick by Tick ) Enter Long: Close(0)>Close(-1) -> Set BuyLimit at Close(0)-2 points and fire this limit into the market Enter Short: Close(0)<Close(-1) -> Set SellLimit at Close(0)+2 points and do the same as above and wait to get filled... The only exits are your stop´s: Profit and Loss - both 1 point Unrealistic nice equity curve .... The fills are no problem you´re early enough in the order book - but believe me - in opposite of the backtesting - your stop loss will get hit much much more often - and your equity curve will go south !