NPP builds a Emini system

Discussion in 'Journals' started by no_pm_please, Dec 8, 2006.

  1. Fully disclosed of course. lol.

    So, I was flipping through the Dec./Jan. issue of Trader and came across this quote "Trade with a trend, ride the winners, cut the losers. How you do it doesn't matter" from a past market guru.

    What the hell I thought, I can do that in my sleep. Let's see if it can be made into a trend following system for the emini market.
    Should also work on NQ and ER2 (at least in theory).

    To start out, here's the idea.

    1). Use RSI as the indicator for the trend. A 50.5 reading and we should be long. A 49.5 reading and we should go short. So the risk is the maximum of the length of time between bars and a range of 1.0 on the RSI.

    2). If the market rises above 52.5 and then crosses below it, then exit any long trade. If the market drops below 47.0 and then crosses above it, then exit short trades. As long as the market runs it'll just stay in the trade. As time goes on the RSI will move in the direction of the move so it's just like having a trailing stop.
    I made the short side a little lower due to short trades moving faster than long trades.

    Now, the only 2 pieces left to figure out are:

    - how many periods to use with the RSI ?
    - what timeframe to select to base the periods on ?

    I plan on testing 15 min., 30 min., 60min., 120 min., 180 min., and 240 min. bars for each year from 2003 - 2006. One year at a time and optimize the number of periods to figure out what was optimal for that year. This should take a couple of days. Then lets see if there's anything worth trading.
     
  2. Here's the tradestation 2000i code for those interested in trying it for themselves.
     
  3. If you want to check your results against mine, here's a example:

    Here's a test run on 15 min. ES data for 2003. I used 100 bars for the max lookback, 43 bars was the optimal per. I assume no slippage or comm. costs. You can see the basic idea follows the trendfollowing idea.
     
  4. Schaefer

    Schaefer

    Hi, NPP,

    It's good to hear from you, and to have you back again.

    I would like to say "Thank you", for your past contributions here on ET. They have helped me become a better trader.

    Now back to your regularly scheduled programs :D

    Schaefer
     
  5. Same here..I will hang up the phone now and wait for your posts...
     
  6. bidask

    bidask

    my results are a bit worse than yours.

     
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  7. NPP..........glad to see you back and hopefully aok.......
     
  8. bidask

    bidask

    here are my results for 2003 to 2006.

    the numbers mean the optimal # of bars to use.

    Edited
     
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  9. 653.90% & 492.40%
    sounds pretty "not worse" to me...they are both good!


     
  10. So it looks like the optimal time in the trade would be 30-48 minutes? Help me out a little with the interpretation...


     
    #10     Dec 10, 2006