Odds Czar: Simple Biases In the Futures Market: 2008

Art,
I have an idea for a mechanical system that might have some value in itself or combined with some filters. I wish that I had the skill to program it myself into easylanguage so I can test it. I've just started to use Multicharts which uses easylanguage but I have quite a bit of learning to do yet. I know you like a challenge so I thought that perhaps you might be interested in looking at it. It's not that easy to describe in words, I've attached a picture with it. Here is a description of it:

The system uses 30 minute bars.
Use 30 minute bars
Start at 9:30 EST
Use NQ emini futures (or any other equity)
The high of a bar must be higher by at least one point, than any one of the bars before and at least one point higher than any one of the closed bars after. Call that high, the high breakout point.
When that high breakout point is exceeded in a bar at least two bars later, enter a long trade.
Only one trade is taken each day, long or short.
A trade setup couldn't occur before 11:00 est. The reason for that is that you need at least 3 closed bars to establish a breakout point. The second of the three could be at least one point higher than the first or third bars.
Exit at the end of the day.
Vice versa for shorts.

 

Heres another picture of the method to help explain it.

 

Art's futures biases for Dec 12.

A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long bias. A negative sum will be a short bias. A sum of zero will be a neutral bias.

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The two day slide in the equities should reverse on Thursday. The CzarCharts are all registering solid buy signals.

 

Art's futures biases for Dec 15.

A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long bias. A negative sum will be a short bias. A sum of zero will be a neutral bias.

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Solid buy signals are suggesting that the indices should continue ther ascent through Monday.

 

Art's futures biases for Dec 16.

A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long bias. A negative sum will be a short bias. A sum of zero will be a neutral bias.

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The indices project higher for Tuesday, particularly the S&P and Nasdaq.

 

Art's futures biases for Dec 17.

A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long bias. A negative sum will be a short bias. A sum of zero will be a neutral bias.

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For Wednesday, the CzarCharts project lower in the bond complex and also the continental currencies.

 

Art's futures biases for Dec 18.

A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long bias. A negative sum will be a short bias. A sum of zero will be a neutral bias.

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For Thursday, sells are appearing in both major signal groups in all three currencies.

 

Art's futures biases for Dec 18.

A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long bias. A negative sum will be a short bias. A sum of zero will be a neutral bias.

 

Art's futures biases for Dec 22.

A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long bias. A negative sum will be a short bias. A sum of zero will be a neutral bias.

 

I am going to do end-of-year evaluations about a week early this year. I customarily spend the last week in San Diego in a home that has no Internet access. (Neanderthal parents). I then have to bop back and forth to a Starbucks after figuring out their system for accessing the Internet. It’s not free, it’s not as easy as you’re led to believe it is (it never is) and you have to re-navigate vacation activities with loved ones around the postings and you sometimes don’t get access to a convenient table or an outlet—all kinds of little mundane things that can add up to a not-so-little pain in the tush.
What follows are results for the same methodology that I post every year (attachment) as well as details of exactly how it’s constructed but first, a little well-deserved crowing. Once again, this past year proves to be a most impressive winner to the point where I’m wondering why I don’t just trade in this fashion with no other systems. Consider what we have—all results for single contracts. Solid performance in the three indices that vault past the $20-per-trade we customarily apply against a mini contract. The other markets may not yield enough to overcome trading costs, but they do verify the concept. There was only one near break-even loser. The 30-year bond actually exceeded the customary $100-per-full-sized-contract barrier.
Again, with all due modesty, I’m offering a kind of “transparency” I never see anywhere else. This is a winning methodology that has proven itself in real time for the last three years. That’s on top of how it theoretically performed in all the prior years used to develop the system. My Internet associate has urged me to never take the bait when someone is being jerky online. (It does happen). I think it’s good advice and I’ve tried to follow it. But I might suggest that if you like what you’re seeing here, you’ll rate me so as to water down that sole “1 out of 5” somebody tagged me with awhile back. Again—high road—God bless you Mr. or Ms Subscriber whoever you are. I’d be interested in knowing what superior information you’re accessing elsewhere.
My daily postings include two different signal category boxes for the bonds and currencies. Sesaonals are particularly repetitive in the indices, so that complex uses three boxes. I’m offering the top one which is the easiest for me to summarize.
The system contains six indicators. Each one signals long (1) or short (-1) every day, barring the rare instance where a number is exactly tied. The positive and numbers are then added together. Sometimes the cumulative total is zero in which case no action is called for. When the total is positive, the idea is to buy the next day on the regular session open and then exit on the close. For a negative reading, you sell short the open and buy it back on the close. No stops are included in the results although as I’ve mentioned, 66 percent of the previous three day average range can be an historically effective stop. (At the very least, it doesn’t make the results significantly worse). When the 66 percent distance is determined, it is subtracted from any long entry price (or the opening price—same number in this instance). That new point is the long stop exit. For shorts, you add the number to the opening-entry.

The six individual components within are:
1. A bullish reading (+1) if the close was above a 40 day average close.
2. Bullish if the 2 day average close is lower than the 5 day.
3. Bullish if within the last 50 closes, the highest occurred before the lowest.
4. Bullish if the range was smaller than the 10 day average range and the close was higher OR the range was larger than the 10 day average range and the close was lower.
5. Bullish if the close is greater than 15 days worth of highs and lows averaged out.
6. Bullish if at least two out of the last three closes were lower than the opens.

Anything opposite the above conditions are negative(-1). Results reflect going in the direction of the simple majority.
I’ll be using the next couple days to ponder what, if any changes I’ll be making for the new year. I’ll have additional material on traderinsight.com, which I share with Dr. Adrian Manz and tom Incorvia.
This posting will also appear in the 2009 thread as well as a summary to follow that further encapsulates what I’m about. I love sharing ideas and as always, I encourage feedback. I try to answer all correspondences. (I have occasionally let some get by during particularly harried times. I apologize for that—it was inadvertent. I’ll do better).
There’s an old expression “May you live in interesting times.” They may be even more “interesting” than we’ve bargained for, but at any rate, they have and will present enormous opportunity. Here’s hoping we all stay on the right side of it. Happy (and prosperous) New Year a tad early.