Simple Intraday Trading System

Discussion in 'Strategy Development' started by steve.k.tang, Dec 22, 2007.

Will this system work?

  1. Yes

    14 vote(s)
    34.1%
  2. No

    27 vote(s)
    65.9%
  1. Hi,

    I've been reading posts for a long time but never contributed. Here's my futures trading system. Hope it helps - Feedback welcome :)

    A Trigger level is defined as a new intraday high/low. As long as prices trade through or reverse from the trigger, the trade should be profitable. The system would be unprofitable whenever prices trade to the intraday high/low and stick there for a long time.

    Bullish Trade

    - Buy above trigger level
    - Once the 1-minute bar has completed after going long, place a Stop & Reverse at the low of the bar which crosses the trigger
    - Place profit stops only when stop level is above trigger level
    - If the market trades higher than the high of the previous bar, place the stop 1 point below the low of the previous bar
    - If a Stop & Reverse is triggered, place the buy stop 3 points above the initial trigger and use trailing profit stops (i.e. If the market trades lower than the low of the previous bar, place the stop 1 point above the high of the previous bar)

    Bearish Trade

    - Sell below trigger level
    - Once the 1-minute bar has completed after going short, place a Stop & Reverse at the high of the bar which crosses the trigger.
    - Place profit stops only when stop level is below trigger level
    - If the market trades lower than the low of the previous bar, place the stop 1 point above the high of the previous bar
    - If a Stop & Reverse is triggered, place the sell stop 3 points below the initial trigger and use trailing profit stops (i.e. If the market trades higher than the high of the previous bar, place the stop 1 point below the low of the previous bar)
     
  2. buying and selling is OK

    but your stops are all wrong, your trail stop is too tight

    you just read a comment by the expert huuraaaa :D
     
  3. Thanks. What would u suggest ?
     
  4. You are making this much harder than it needs to be.

    Watch the overnight market, Asia then Europe. You want to see both markets open and trend up strongly, closing on the highs.

    Then simply watch the ES market open. if it opens and moves down, wait and watch the first half hour. Then simply enter long or short with a five point stop and hold on to the end of session
    If the market closes on its highs, hold overnight as well. Take profits the next session on the open.

    In the meantime, you need to get a hot tub installed on your patio deck (no deck? get one put in immediately). After your long or short entry, roll a nice fact doobie and head out to the hot tub. Stay there until just prior to the market close. I suggest listening to some Bob Marley and perhaps invite some babes over.

    About 1 hour before close of market, get up from the hottub and check on your position. If you have big profits, take enough to pay your expenses and buy some more rolling papers, and leave the rest to run with a 2 point stop.

    Good luck
    Steve
     
  5. Steve, wouldn't the investment in a good quality bong be a more prudent use of his potential profits than the rolling papers?
    Your system is flawless, I'm just a more durable goods kind of guy.
     
  6. I leave these minor details to the individual
     
  7. {Not a bad system for a human mind to have conceived}

    The reversal seems to cause to many failed trades. The reason for this is that you are buying and selling on a show of strength in a direction. That strength is what makes the trigger buy and sell. So it is not to confident that you can expect the market to show equal strength to just up and reverse. Had you been buying and selling on weakness, anticipating a reversal, a sar would have made more sense perhaps.

    As is I tested it every which way and found that the system works better without the stop and reverse. I think is is better to just stop and wait for the next setup trigger to happen. Hopefully it will be in the opposite direction, as this seems to produce the better trades. When a market has enough strength to execute a trade on both sides of a system like this usually it's a home run.

    Also it must be noted that in order to make sizeable money more risk must be taken this system is no different, the more risk you assume the more money you make.

    {Original Code by Mark Brown}


    input:smrisk(450);

    if t>=900 and t<=1505 then begin {filter out the opening and the close}

    if c>=idhigh[1]and l>=idhigh[1]then buy;
    if c<=idlow[1]and h<=idlow[1]then sell;

    if marketposition=1 then exitlong("exitlong")entryprice-(smrisk/bigpointvalue)stop;
    if marketposition=-1 then exitshort("exitshort")entryprice+(smrisk/bigpointvalue)stop;

    if t>=1505 then setexitonclose; {if 10 minutes prior to close get ready to stop trading}
    if lastbaronchart then setexitonclose; {if last bar on the chart for the session then stop trading}
    if t=sess1endtime then setexitonclose; {if time=session end time and in a position then exit on close}
    end;
     
  8. Thanks for your feedback :)
     
  9. btw on a scale of one to ten - i would rate your idea as a "core" meaning conceptually you are getting there a solid "seven" which means you could make a living at trading.

    i would suggest you study gaming theory as a mix to an already solid base. also note anything equal to or greater than a five in systems rating can be real successful, so your up there.

    the sar is a great tool if applied at the right time, it should be implemented on weakness not strength.

    mb
     
  10. The first step to finding out whether a trading system might work or not is to automate it and backtest.

    MetaTrader 4 platform is free &Mql is quite similar to C++.
    Tradestation is probably a better choice but its not free.

    After backtesting with 90% modelling quality, forward test it at least a quarter before putting the program/Expert Advisor EA on a real account.

    Put up your idea at forexfactory & forextsd forums where the real experts might program and further optimise it's parameters.
     
    #10     Dec 25, 2007