Mechanical ES system

Discussion in 'Journals' started by jboydston, Apr 9, 2003.

  1. The purpose of this journal is to explore wether or not a simple mechanical system, profitable on paper will produce in the real world.
  2. My last trade log ended when my system finaly evolved into something that worked. Fear of losing that edge motivated me to stop posting my trades on ET. I am not yet prepared to share this system, but I will be the first to admit that it is not original at all.

    I intend to make a career of trading. If this is going to happen I want to find out sooner rather than later if I am on to something or just delusional.

    I will fully disclose a mechanical trading system, and trade it activly in this log. I will post all trades as quickly as possible. I encourage all comments and criticism and hope we all learn something from this exercise.
  3. ES is the biggest liquidity futures contract in the world. Please don't worry about losing edge by sharing your system. You are gonna disclose the system that you found out worked in your last journal or this is another system that you will disclose? In any case, big props for deciding to share, looking forward to it.
  4. I am keeping my "main" system under wraps for now. But, as I said, it's not at all original.

    I am expecting to prove to myself here, that a mechanical system that works on paper will work for real. Provided that it is traded mechanically.
  5. I'll start with this and elaborate as needed.


    es daily data (no after hours to throw off charts)
    30 minute bars
    Long = open of first bar preceding price breaking up through 63MA

    Short = open of second bar preceding price breaking down through 6MA

    Stop $1000, 20pts

    Long / Short signals reverse each other. Always in the market.

    $25 per side slippage

    $2.80 per side commission
  6. Ditch



    the only reason you're showing up here again, is because it doesn't work. LOL.:p
  7. gms


    Reflecting on your question, the difference between backtested results and trading realtime includes all the natty little nuances of living in an imperfect world as an imperfect person, some of which are, but not limited to:

    lost connectivity
    passing the wrong trading parameters
    bad feed
    temp computer problems
    not getting filled at the price the system thinks it got filled at
    tweaking your system (changes everything)
    Your nerves and quality of life

    Can it work nonetheless? Sure, why not? May it not work nonetheless? Certainly.
  8. good call gms. A real system developper develops an edge not only in designing a positive expectancy system but has an edge in everything else as well (best brokers, double§triple redundancy, UPS, you name it.)
  9. You never said how much money it takes to trade this system... $5,000 ... $10,000 ... $20,000.

    You may have a great system, but if I only have $5,000 I wouldn't feel comfortable risking ($1000) 20 percent of my account.

    #10     Apr 9, 2003