working system, needs improvement

Discussion in 'Technical Analysis' started by traderkay, Feb 13, 2003.

  1. There was a post before in another tread , which was claiming that most profitable strategy was using just one previous bar opening range as an entry. It would be interesting if you can plug in one 15 or 30 min bar and see if it works for intraday also.
    Walter
     
    #41     Feb 20, 2003
  2. acrary

    acrary

    As I understand it, buy tomorrow at high of today or sell tomorrow at low of today. Use 50% or 70% of today's range as a stop loss point. Exit any open trades on the close.

    Here's the results of the idea using a 50% range for the stop from 1/1/96 - 6/30/2001. This is for the SP market. ES would be 1/5 this size.
     
    #42     Feb 20, 2003
  3. acrary

    acrary

    And here is the results of the test using 70% of yesterday's range for the stop. Doesn't look very encouraging.
     
    #43     Feb 20, 2003
  4. acrary

    acrary

    And here's the intraday test using 15 min. bars.
    Just so I've got it right:

    buy the high of the previous 15 min. bar and sell the low of the previous 15 min. bar. Use 50% of the range of the previous bar as a stop. Exit any open positions on the close.

    At best, this looks like a breakeven idea.
     
    #44     Feb 20, 2003
  5. Thanks acrary,
    for doing test on it. 200% over last 6 years would put this system right on the top. Time permitted, would you run the same test for 10 or 15 min intraday ? Meanwhile I will look at charts to see where the weakness is and will design few filters to make it more profitable.
    walter
     
    #45     Feb 20, 2003
  6. Was this test made on daily or 5 min bars ?
    Walter
     
    #46     Feb 20, 2003
  7. acrary

    acrary

    The first test was using daily data with 5 min. bars for execution.

    After the poor results using the 15 min. bars, I didn't go on to the 5 min. bars. I'm sure it would only get worse.
     
    #47     Feb 20, 2003
  8. Thanks acrary ,
    While ago I had tested 5min break out system on Bonds with similar results like the 15 min SP you just did. By introducing 3 filters system become profitable ( with 80/20 % win/loss ratio ) which made me to use one of the filters as primary entry tool .
    I believe that will be the same for any index system also.
    If you have a time to test it I can design few filters for initial daily data 5 min test you have done ( I feel that 200 % over 6 years is great ).
    Walter
     
    #48     Feb 21, 2003
  9. What are you talking about? That's NOT a 200% return! Its a return on DRAWDOWN, which let's say you had to maintain 3x in order to be certain of withstanding a more severe DD and in systems it usually happens, then your return would be more like 66% which probably works out to 10% a year on your account.

    Some of the other stuff Acrary has posted in the past looks a LOT more promising.
     
    #49     Feb 22, 2003
  10. What i am talking about is that NONE of the other configurations that acrary did tests on in this tread were profitable EXCEPT this one. So it is worth of looking into it. I am confident that I can make it into very profitable system .
    Walter
     
    #50     Feb 22, 2003