yellow jacket trading strategy

Discussion in 'Trading' started by trader999, Jul 30, 2019.

  1. Bum

    Bum

    Before testing many years of data, test your own computer backtest by manually testing the last 10 days & compare to your computer backtest.
    Sorry, I think too many computer backtests aren't tested very accurately. :)
     
    #21     Jul 31, 2019
  2. Just looking at weekly data 2018 was not profitable lost 213 ES points, 2019 so far made 92 points using 1 lot. looks like works better with smaller weekly ranges. I will backtest it but any suggestions as far as stops? low of opex week? fixed stop? test with ES or SPY? anything else? this backtest will be done as strategy with optimization of inputs.
     
    #22     Jul 31, 2019
  3. Overnight

    Overnight

    Backtesting using any data before Jan 2018 is invalid on the ES. Utterly.
     
    #23     Jul 31, 2019
  4. why?
     
    #24     Jul 31, 2019
  5. MKTrader

    MKTrader

    That's cool that you're willing to do this. However, I can say with near certainty that any strategy this simple either (1) never worked or (2) may have been profitable at one time but was arbitraged out of any profitability long ago. There are too many traders--let alone quants with massive data mining capabilities--to not discover something this simple. I knew of a seasonal strategy that performed quite well through 2008 (it actually made money that year, going long-only). There was even a top-ranked newsletter that promoted it. Since then, it's performed terribly. That was the longest-running "stupid simple" system I'm aware of that beat the S&P 500...for quite a few decades.

    It's nice to think something really simple could work (and many gurus and trading coaches tell you this), but trading just isn't that easy. Maybe it was in the 70s and early 80s, but back then only a handful of people did any backesting with computers, and they were much more cumbersome and limited...so it kind of washed out unless you were Ed Seykota or something.
     
    #25     Jul 31, 2019
    ironchef likes this.
  6. ironchef

    ironchef

    I found that generally true on my backtest results, especially strategies that depends on technical analysis like SMA, MACD, RSI.... Usually worked short term but going out a decade or more, their results tended to be mediocre.

    As I said many times, for us mere mortals making money trading is really hard. :banghead:
     
    #26     Aug 1, 2019
    MKTrader likes this.
  7. ironchef

    ironchef

    Been there done that.

    I tested the following, from 1993 to 2019, ignoring commissions, bid/ask:

    1. Sell at open today, buy at close yesterday

    2. Sell at close today, buy at close yesterday

    3. Sell at close today, buy at close a week ago

    4. Sell at close today, buy at close a month ago

    5. Sell at close today, buy at close a year ago

    6. Buy in 1993, sell in 2019

    6 > 5 > 4 > 3 > 2 > 1
     
    Last edited: Aug 1, 2019
    #27     Aug 1, 2019
    Bum likes this.
  8. Bum

    Bum

    #1 on your list is what the article was referring to.
    Just make sure you're testing this as a LONG-ONLY strategy.
    BUY at the close of today then close the position @ the open tomorrow.
    Basically "LONG" the overnight session & no position during regular trading hours.
     
    #28     Aug 1, 2019
    ironchef likes this.
  9. ph1l

    ph1l

    Using yahoo's S&P 500 data (yahoo symbol ^GSPC), I ran a test with the logic for this strategy as:

    If (today is the third Friday of the month) or (today is the day before the third Friday of the month and the market is closed tomorrow),
    Then enter long at the close today. Exit at the close the following Friday or the next trading day if the market is closed the following Friday.

    The results were not good. For July 15, 1983 through July 26, 2019, some statistics on the simulated trade results in S&P 500 points without accounting for trading costs were:
    numValues 433
    sum -90.5598780000002
    prod -Inf
    min -163.75
    max 96.209961
    mean -0.209145214780601
    sampleStdDev 24.3658056373813
    median 0.19000299999999
    medianAbsDev 8.40000800000001
    geomean NaN
    skewness -0.981992731872224
    excessKurtosis 7.2990019077746
    >Thresh_0_Pct 51.27


    The attached enter_long_optexp_one_week.xls has individual trade results.
     
    #29     Aug 1, 2019
    ironchef and MKTrader like this.
  10. ironchef

    ironchef

    Wow, this is way more sophisticated than my simple excel spreadsheet calculation. :thumbsup::thumbsup::thumbsup:
     
    #30     Aug 1, 2019