Thanks, Natalie. Much appreciated. So far, by making this as mechanical as I can tolerate, I'm getting a 65% W/L rate and a P&L ratio of 4:1. With a bit of brains, it comes to 71% and 5.4:1, so it's definitely worth investigating further. --Db
This is the best combination of W/L and P/L that I have ever heard of... congratulations... you are undoubtedly the top trader here at Elitetrader ... please trade some of my funds... I am wiring you a trial $50k as soon as possible... on a more serious note, you are probably using too restrictive a sample data set, resulting in these Holy Grail results...
You're welcome. I wonder how many other people are trying to code this right now and test it??? The problem is, you can't code intuition and experience of using a method, hence what you say, with a bit of brains the rate goes up. I think part of it is knowing when to walk away and do something entirely different or having that feeling that something is deffinitely not right and passing on a trade or whatever. Those things more than any have increased my ratio. Natalie
Which is why I said "so far". These results only encourage further study. I don't plan on beginning to trade it today. Don't assume that everybody started trading just last week. --Db
I agree. Not trading days that gap 3% or more is a simple rule that anyone can follow, though Trap Gap days may be an exception (though I can remember only one in recent memory, so it's not much of an issue). But then there are days that just don't feel right. These were traded like any other day so that the results wouldn't be compromised, but in real life, I'd most likely pass on them. We'll see in a couple of weeks. One potential problem is boredom. There were a number of breakeven and no-trade days. But with TCM at hand, perhaps the boredom can be held at bay --Db
I didn't state any assumption about you starting to trade last week ... I simply suggest to you not to get too carried away with that W/L and P/L combination... it is literally too good to be sustainable... but keep at your strategy backtesting, and remember to try and find something that not only has reasonably consistent W/L and P/L numbers, but also something that you will be comfortable trading (to ensure that the numbers actually manifest themselves)... good luck! I look forward to reading of your further exploits...
As I said, I'm not new at this. I was merely pointing out that the results encouraged further study, unlike the last system I tested which was only 43% and 3:1. I should have given the results to Natalie and Mike by PM. --Db
Fun to be watching this as it's going on. Maybe I can pick your brains live. Right now, I've got a line drawn at the high of 890.00 and at the low of 883.75. The bars are hanging in the middle of this range. What's going through your minds at this point? Just waiting for a breakout above or below? Does the day "feel" right for trading? At what point will you enter the trade? Where will initial stop loss be? What will maximum point loss allowed be? Thanks again, it's cool to be able to think along with you.
Just some quick thoughts Soph: I think the CME is closing at midday for Vets Day. Thus, breakouts might not follow thru as nicely as on another day. If this were another day, my feeling is you would be sitting on a sweet looking profit opportunity. Why? So far the ES has about a 7-8 point range. The average daily range of the ES is...empirically...about 20 points. One can expect that range to occur routinely. As this is a project I am working on also, where to put the stop I have not defined for myself as yet. But again, be careful today because this is a short futures day.