Trading on "Instynct" (NQ)

i've been doing some coding lately, and decided to try to develop a naive backtesting strategy on NQ.

- calculate standard deviation of NQ on day i
- calculate median of first 30 minutes of NQ day (i+1)
- add and subtract standard deviation above to median
- if NQ goes above (below) this threshold, we sell (buy).
- exit at the median

other notes,
- i use close of minute data only
- if there is an open position at day's end, it executes at the last print of the day
-i use a minimum of 20 for the standard deviation

using the first standard deviation and exiting at the median produced poor results. using the second standard deviation and exiting at the first standard deviation produced OK results.

some results over the last month (could have used more data, but i did this on the fly and didn't want to stay too long after the 3pm CDT equity close)

Total PnL 38.66
Max Daily Win 20.00
Max Daily Loss -17.00
Avg Daily Win 11.56
Avg Daily Loss -9.56
Num Days Win 5.00
Num Days Loss 2.00
Total Trading Days 7.00
Winning Percent 0.71
Expectation 1.84



The following data is per trade,

NumBuys 4.000000
NumSells 3.000000
numWins 5.000000
numLoss 2.000000
winPct 0.714000
avgWin 11.557447
avgLoss -9.562500
maxWin 20.000000
maxLoss -17.000000
Exp 5.523177

 

Unable to pull it off today after missing out on the big move down. Price action is brutal.

 

Hmmmm.... looks like today was a difficult day for others... interesting. The reason I am "guessing" is trying to fade levels but price just blew through..

 

Basically by the time I recovered mentally from the poor executed trade in the morning I should have stayed away as I usually do..

My wife makes average income.. 42k/yr... $160 day... 8 NQ points. Whenever I remember this I think what a paradise trading can be if I can focus on what's in my bucket rather than the ocean... It is my Achilles heel.. a huge one.

Thanks...

 

At first look I mistakenly read your "cum profit" in dollars, but realized its in points. Nice job!

 

Thanks Instynct. I have not been happy either tradewise or logic wise with my methodology as of late. I have taken a couple of que's from you and am trying to incorporate them into my trading. On paper it looks ok. We'll see how it plays out.

 

I just wanted to share this. It does not happen that often, but the Dragon bottom happened today. There was a 3 level increase in selling, a huge spike in volume and then a higher low, followed by several tradable buy setups. Of course it looks pretty good in hindsite, but they happen from time to time. They are hard for me to catch as the strong selling tends to give you a negative bias and makes it hard to buy, but I have found that seeing 3 levels of selling activity, a volume spike and s/r setups following are often good signals. FWIW.

 

That's a SERIOUS gap.. Volatility down the toilet for a while as next to nothing to worry the markets until next earnings season.

 

Looking to buy 70-72

 

That was my plan.. high 60's actually.. instead bought 77 pre-market. May get kicked out.. we'll see.