I've programmed this into Ninjatrader and tested it for 10/05 to 10/07 (bull market, long trades only) and I get: 52.08% ratio win/loss 1.27 avg win: $20.65 Sharpe Ratio 0.45 Total net profit $2973.80 Max drawdown 2.61% Overall I don't think this is a profitable strategy. But if anyone has any suggestions on how to improve it, I can program it and report back with the results. BTW this is using a 50 tick stop, which comes out to be the best. Without it the strategy is barely breakeven.
Change the code, to not trade on Fridays. Also, set it to trade both long or short. Finally, set it to not trade on low volume and only when advances outnumber declines by a certain % for longs and reverse for shorts. If this works, please send me a copy of the code.
Thank you for your contribution. I added the a/d ratio (great idea). This makes the strategy positive: 1/1/08 - 9/1/08 (bear market) 71% 1.30 Avg Trade $157 28 trades total profit $4405 The only problem I see is that it has reduced the number of trades considerably. On the short side, from 80 to 20. I didn't see any trades on Friday during this testing period. I didn't test for volume, if I do there may not be any trades left. But I agree it could improve the results. Any other ideas? It's a shame to have a profitable system that doesn't have many trades.
I will let you know if I can think of anything else. Can you send me the code, and let me know if it works for example in tradestation, and/or what program I can put it in. Also, did it back test in prior years positively also? I may have a few more suggestions, but don't want to give my edge away here in public, so anything else I will send you in private. Thanks
Add some additional instruments to trade. Consider to trade YM, ES and other futures. If the strategy is good it will also perform well in the other markets. That will add some more trades. Daniel
FYI, you'll blow out quickly trying to buy highs or sell lows intraday without a stop in place. If your 'system' doesn't backtest profitably with stops, then you don't have a system that will permit you to survive huge drawdowns.
My experience is that stops usually hurt the overall performance but that they're necessary for me to have peace of mind. So I usually use stops that are very far and seldom hit. And I know what my grand maximum loss can be.