"Stupid" system for ES

Discussion in 'Strategy Development' started by sunnyskies, May 14, 2005.

  1. Basically I thought of this system idea and asking someone here to test it.

    Here's a simple system for ES. It's a 5 minute chart. We enter on the open of 10AM bar. The direction is determined by whther the previous bar was an up or down bar (close > open criteria). Nextly, we exit at +2 points profit target or at -1 point loss. I'm really wondering what the backtest of this would look like.
  2. opw


    Instead of wondering, you might try backtesting...:D
  3. There is an underlying problem with your system - within 1 5-minute bar, at around 10 am ET, you can expect volatility of 2 to 3 pts, or even higher, due to econ news announcement.

    Thus older programs will not give you proper backtest result at all if the very next 5-min bar in your open position contains both +2 and -1 pts from your entry :)

    You need to use a lower time frame to test your idea.
  4. With Tradestation2000i, it takes signals on the
    Data1 if multidata chart used, Data1 is the lowest
    time frame and depand on you to make it 1 minute or
    5 minute charts.

    Now, you can have setup condition on Data2 (5 minute
    chart) on close of the bar, and entry on Data1 (1 minute
    chart) and when either +2 target or -1 loss comes first,
    then exit on close of same 1 minute bar or open of next
    1 minute bar.

    I think this test is useless, might work for while,
    but this is not a good strategy.
  5. I would be interested in these following parameters for the test:

    -1 stp +2 target
    -1 stp +1 target
    -2 stp +1 target
    -2 stp +2 target
    -2 stp +3 target
    -2 stp +4 target

    I would like to see this for the same direction as the previous 5m bar..and...contra to the previous....

    Please use tick data for your test and go back as far as the capacity of your compter allows.

    Michael B.

    P.S. If possible please include how long the trade takes...

  6. He can't backtest i think. I have ES 1 minute data,
    but don't know if thet can be converted to TS2000i
    XPO format. I have never traded ES before.

    optimization can find best parameters over the years,
    but little change in ES ticks, they won't be profitable
    again, any strategy that is fixed with parameter
    won't work
    I try to report the system performance tomorrow
  7. you jump on every sys bandwagon to come down the pike here

    i would be interested to know if you made any money -ever- trading

  8. You are rude enough. Are you saying anyone whoever
    don't pull money from market, should be discouraged
    and don't ask any question?
  9. It doesn't work. I tested it.
  10. ha ha ha! end of thread. bye bye
    #10     May 14, 2005