Potential Strategy

Discussion in 'Strategy Development' started by simon2008, Jul 19, 2006.

  1. simon2008

    simon2008

    Seeking feedback...the S&P Futures close at the high or low of the day about 20-30% of the time...what would happen if a person bought or sold at the open (on first uptick or downtick), put a stop above or below accordingly, and closed positions if they hit the stop or at closing time. Here's an example of the expected profit, with -2 points for slippage on days the strategy does not work. Cum profit over this 43 day time span would be 172 points less maybe another 24 for slippage...thoughts as to if this would work?

    Open High Low Close Expected Profit
    1,234.48 1,239.86 1,224.54 1,236.86 -2.00
    1,236.20 1,240.07 1,231.49 1,234.49 -2.00
    1,242.29 1,242.70 1,228.45 1,236.20 -2.00
    1,258.58 1,258.58 1,241.43 1,242.28 16.00
    1,272.39 1,273.31 1,257.29 1,258.60 -2.00
    1,267.26 1,273.64 1,259.65 1,272.43 -2.00
    1,265.46 1,274.06 1,264.46 1,267.34 -2.00
    1,274.08 1,275.38 1,263.13 1,265.48 -2.00
    1,270.58 1,278.32 1,270.58 1,274.08 4
    1,280.05 1,280.05 1,265.91 1,270.91 10
    1,270.06 1,280.38 1,270.06 1,280.19 10
    1,272.86 1,276.30 1,270.20 1,270.20 -2
    1,245.94 1,272.88 1,245.94 1,272.87 27
    1,238.99 1,247.06 1,237.59 1,246.00 -2
    1,250.55 1,253.37 1,238.94 1,239.20 -2
    1,244.50 1,250.92 1,243.68 1,250.56 -2
    1,245.59 1,253.13 1,241.43 1,244.50 -2
    1,251.92 1,251.92 1,241.53 1,245.60 6
    1,240.09 1,257.96 1,240.09 1,252.20 17
    1,240.12 1,249.01 1,238.87 1,240.12 -2.00
    1,251.54 1,255.93 1,237.17 1,240.13 -2.00
    1,256.16 1,256.27 1,246.33 1,251.54 5.00
    1,230.01 1,258.64 1,230.01 1,256.16 26
    1,223.66 1,231.46 1,219.29 1,230.04 -2.00
    1,236.08 1,243.37 1,222.52 1,223.69 -2.00
    1,252.27 1,255.22 1,236.43 1,237.44 -2.00
    1,257.93 1,262.58 1,250.03 1,252.30 -2.00
    1,256.08 1,259.85 1,235.18 1,257.93 -2.00
    1,263.61 1,272.47 1,255.77 1,256.15 -2.00
    1,265.23 1,269.88 1,254.46 1,263.85 -2.00
    1,288.16 1,288.16 1,264.66 1,265.29 23
    1,285.71 1,290.68 1,280.22 1,288.22 -2.00
    1,270.05 1,285.71 1,269.19 1,285.71 -2.00
    1,259.38 1,270.09 1,259.38 1,270.09 21.00
    1,280.04 1,280.04 1,259.87 1,259.87 20.00
    1,272.71 1,280.54 1,272.50 1,280.16 -2.00
    1,258.41 1,273.26 1,258.41 1,272.88 24
    1,256.56 1,264.53 1,245.34 1,258.57 -2.00
    1,262.06 1,273.67 1,256.15 1,256.58 -2.00
    1,267.03 1,268.77 1,252.98 1,262.07 -2.00
    1,261.81 1,272.15 1,256.28 1,267.03 -2.00
    1,270.25 1,274.89 1,261.75 1,261.81 -2.00
    1,291.73 1,291.73 1,267.31 1,270.32 21
     
  2. What's the criteria for going long or short?
     
  3. rosy

    rosy

    where are you putting your stop?
     
  4. simon2008

    simon2008

    Criteria for going long or short is first tick of the day...first tick pos trade is long, first tick neg trade is short. If I'm long stop is below the opening price, if I'm short stop is above the opening price. If stop is not hit, trade is exited at the end of the day.
     
  5. I'm missing something. What does the first tick have to do with HOD or LOD at the close? How high/low do you set the stops?

    Have you tested this with more than 43 days of data?
     
  6. simon2008

    simon2008

    Pattern seems to hold for more than 43 trading days. Stop is placed immediately above or below opening print. One tick above or below, and trade is exited.
    It's not that the closing price has to do with the open, it's just a pattern that seems to hold.
     
  7. If the data supports it then go for it. I would want to see it work for several years worth of data, if not decades.
     
  8. cashonly

    cashonly Bright Trading, LLC

    Let me get this right...

    1. With The first tick after the open, you go with that tick.
    2. If price crosses back over the open then you bail.
    3. If price goes more than 2 points in your favor, then you use a 2 point trailing stop.
    4. If by the close, you are still in the position, you cover the position on the closing print.

    Is that it?

    It seems like you would get a lot of whipsaws. So, if it opens, ticks up, then you go long, and then it ticks down twice, you cover with a two tick loss. Would you re-enter that day?
     
  9. simon2008

    simon2008

    No trailing stop. No rentry.
     
  10. simon -

    looking at your 43 days data, i think u meant to say "the S&P Futures open at the high or low of the day about 20-30% of the time"
     
    #10     Jul 19, 2006