Simple System for Beginners Monthly Results

Discussion in 'Strategy Building' started by AnomalyResearch, Sep 30, 2004.

  1. mogul

    mogul

    I used DarthSidious original code, and modified to fit TS8.

    Might also be interesting to note that a basic stop-loss of say 3pts enhances the results and caps the risk (per trade)...trailing stop not as useful. True, since the system inherently brackets the price range, a stop loss is built in, BUT those days when the market trades above the initial stop-entry point, you could have a larger gap down to your exit...

    let's see if it stops working in 2005....

    Code:
    {********************************************************************************
    * Tested working with ts2000i. Modified for use with TS8
    * Use on 1 min bars (Not necessary - I just coded this on 1 min bar
    * Source credits: DarthSidious
    ********************************************************************************}
    input:
    {All times in CST}
    ETime(1300),
    CtxToTrade(1),
    MaxEntriesInADay(1), LastEntryTime(1459), EODExitTime(1500);
    
    var:
    BuyStop(0), SellStop(0);
    
    {*******************************************************************************}
    if(Date <> Date[1]) then
    begin
    BuyStop = 0;
    SellStop = 0;
    end;
    
    {***Entry***********************************************************************}
    if(Time = ETime) then
    begin
    {Round down to nearest valid tick - this needs to be changed for
    contracts that doesn't trade in 0.1 tick interval, of course}
    BuyStop = floor((OpenD(0) * 1.0033) / 0.1 + 0.5) * 0.1;
    SellStop = floor((OpenD(0) * 0.9967) / 0.1 + 0.5) * 0.1;
    end;
    
    if(MarketPosition = 0 and Time <= LastEntryTime 
    and EntriesToday(Date) < MaxEntriesInADay and BuyStop <> 0 
    and SellStop <> 0) then
    begin
    Buy ("LE") CtxToTrade contracts next bar at BuyStop stop;
    SellShort ("SE") CtxToTrade contracts next bar at SellStop stop;
    end;
    
    {***Stop************************************************************************}
    if(MarketPosition = 1) then
    Sell("LX") CtxToTrade contracts total next bar at SellStop stop
    else if(MarketPosition = -1) then
    BuyToCover("SX") CtxToTrade contracts total next bar at BuyStop stop;
    
    {***EOD Exit********************************************************************}
    if(Time = EODExitTime) then
    begin
    if(marketposition = 1) then
    Sell ("EODLX") next bar at market
    else if(marketposition = -1) then
    BuyToCover ("EODSX") next bar at market;
    end;
    
    SetExitOnClose;
    
    
     
    #21     Nov 13, 2004
  2. Thank you mogul! I was really wanting the TS8 code! This system really seems to work over the long run and has a lot of promise. Take care.
     
    #22     Nov 13, 2004
  3. Just curious on the reasons why it doesnt seem to work on any of the other emini contracts? Take care.
     
    #23     Nov 13, 2004
  4. Great job, mogul. I wanted to see something like that a long time ago, but somehow could not get anyone to post it and since I have no data for ER2 I could not do it myself.

    Now, have you checked how the system worked for ES, NQ2, and YM over at least the last 2 year period... Could you possibly post the results for these eminis too? That would be really appreciated.
     
    #24     Nov 13, 2004
  5. mogul

    mogul

    as requested...
     
    #25     Nov 16, 2004
  6. mogul

    mogul

    and....
     
    #26     Nov 16, 2004
  7. mogul

    mogul

    and...
     
    #27     Nov 16, 2004
  8. Many thanks for your work on other eminis...
     
    #28     Nov 17, 2004
  9. jbt

    jbt

    Fascinating. The clear conclusion is of course that this is a system designed for trending markets.

    The interesting question is are YM and ES simply in rangebound enviroment or are these instruments SO efficient that they retrace most of the gains one way or the other and wipe away the edge?
    Is this why so many traders lose money trading these particular instruments?

    Finally - would using a 30 pt (YM) 3 pt (ES) stop make these systems profitable? or will they just churn you?

    Let us know mogul if you can.
     
    #29     Nov 17, 2004
  10. Thanks Mogul.

    This is interesting.

    I was very curious to see the other instrument results because all of these instruments have similair behaviour with the post 14:00 eastern time moves.

    From the results of the other instruments, on the surface level, one might think that YM,ES and NQ don't move much post 14:00 eastern time.
    There are large moves in all of these instruments post 14:00 on many occassions.

    This system is tweaked to ER2.

    Now, why the 1.0033 and .9967 on ER2 and what would work on the other instruments ?
     
    #30     Nov 17, 2004