What are the rules of your trading system?

Can anyone give examples of a set of rules they have tested, just for curiosity?

 

for oil. if the price goes through a whole number (ie. 86.00) fade it for a few cents

i used to monitor for one lot best bid/offer orders and hit them thinking that it was a retail order.

 

You do this automated? That must generate thousands of order per day.

 

used to be automated. but the whole number one is just the first time it crosses... trying to get stops.

I dont run either anymore. Do you really expect someone to tell you something that works?

 

No, nothing that isn't already in the public domain. However, arent there still some strategies that work that are in the public domain? For example some simple moving averages and stuff like that?

 

An old trend following system:

Buy if close > highest close over the past n bars

Trail a sell stop at 2.5 * the 14 bar average true range

 

How about this?

Buy - market order at the open on a friday, NYSE tickers starting in A
Short - market order at the open on a friday NYSE tickers starting in S

Sell open long position from above on monday market order at open
Cover open short positions from above on monday market order at open

Also, only stocks with average volume greater than 2 millon shares a day

What are the results of this strategy over the past 6 months? Anyone have the capability of backtesting this for us?

 

Not too tough with Amibroker. I randomly picked ten "A" and ten "S" stocks from NYSE with avg vol > 2M. Using IB's commissions for the whole year of 2012 this system returns:

-7.83%

Oh well. I've seen crazier ideas. I've seen better ideas lose more. The code is:

SetOption("CommissionMode", 3);
SetOption("CommissionAmount", 0.005);
SetTradeDelays(0,0,0,0);
marg = 1;
SetOption("AccountMargin", 100/marg);
SetOption("AllowSameBarExit", True);
SetOption("ActivateStopsImmediately", False);
nop = 20;
PositionSize = -100/nop*marg;
SetOption("MaxOpenPositions", nop);

Buy = ( DayOfWeek()==5 AND InWatchListName("A") ); //friday
BuyPrice = O;
Sell = ( DayOfWeek()==1 AND InWatchListName("A") ); //top
SellPrice = O;

Short = ( DayOfWeek()==5 AND InWatchListName("S") );
ShortPrice = O;
Cover = ( DayOfWeek()==1 AND InWatchListName("S") );
CoverPrice = O;

The stocks were:

A
AA
ABC
ABI
ABX
ACI
ACL
ACN
ADM
AEO
S
SAI
SAN
SCHW
SD
SE
SEE
SID
SKS
SLB

 

Hey thanks, since i posted this message ive come a long ways toward automating my ideas on ninjatrader.