Single Prints Forward Test - May 2005
I have been trying to back test single prints as high probability reversal areas but have been unable to do it so far. As a second prize I'm toying with the idea of forward testing this in simulated real-time using the ER2 contract and testing during the month of May 2005.
So far I've come up with the following rules. Jump in and add or question a rule if you wish:
So far I've come up with the following rules. Jump in and add or question a rule if you wish:
- The single print must be less than a month old to be used.
- The single print must be a confirmed single print.
- The entry price is one tick inside the single print and an entry will only be recorded if the price touches the single.
- A stop of one handle will be used.
- 4 contracts will be traded.
- Partial profits will be taken at 1, 2, 3, and 4 points.
- Commissions will be $5 per contract.
- Stop will be moved to break even after first partial profit has been taken.
- Stop will not be trailed after moved to break even.
- No re-entries if stopped out but re-entries always taken if all 4 contracts are taken off profitably and re-entry is then only allowed on that day. (This is logical because single tick will not be there on subsequent days.)
- All single trades will be taken irrespective of other news items or announcements that are being made at that point.
- If multiple singles created in same day or time period then all of them will be traded using the same stops and targets and rules.
- No overnight carry. Any open contracts are closed out at the last traded price (not the settlement price) that is traded during RTH which in this case is usually at 16:14:59 or 16:15:00 EST. Although you would not be able to implement this in real trading it appears to be the fairest way to measure this strategy. In reality you will close the trade before this time and get a slightly more or less favorable price.
20 May 2005: Update
We came within 4 ticks of triggering a long trade near the LOD but no trades today and no single prints created.
We came within 4 ticks of triggering a long trade near the LOD but no trades today and no single prints created.
23 May 2005: Update
Today a single was formed during the M bracket. This single was confirmed once the N bracket closed and then a long trade was triggered during the P bracket. The strategy took off a single contract at a 1 point profit and the remaining contracts were stoppped out at breakeven. Entry was at 614.0 (1 tick inside the single print) and the stop was at 613.0 with the first target at 615.0. Here is a chart showing the trade. The spreadsheet has been updated (see one of the posts above for the link to the spreadsheet).
Cumulative profit this month is $720
Today a single was formed during the M bracket. This single was confirmed once the N bracket closed and then a long trade was triggered during the P bracket. The strategy took off a single contract at a 1 point profit and the remaining contracts were stoppped out at breakeven. Entry was at 614.0 (1 tick inside the single print) and the stop was at 613.0 with the first target at 615.0. Here is a chart showing the trade. The spreadsheet has been updated (see one of the posts above for the link to the spreadsheet).
Click image for original size
25 May 2005: Update
2 trades executed today.
1st trade made net $980.
2nd trade lost net $420.
spreadsheet has been updated.
If you followed these trades yesterday you would have noticed that the second trade was short while the last contract in the first trade was still long. So we were both short and long the same strategy. This may seem contradictory but it is not. Furthermore, if you are using a good trading platform then this will often be able to manage long and short strategies simultaneously but netting off contracts for you.
Cumulative profit for this month $1,280
2 trades executed today.
1st trade made net $980.
2nd trade lost net $420.
spreadsheet has been updated.
If you followed these trades yesterday you would have noticed that the second trade was short while the last contract in the first trade was still long. So we were both short and long the same strategy. This may seem contradictory but it is not. Furthermore, if you are using a good trading platform then this will often be able to manage long and short strategies simultaneously but netting off contracts for you.
26 May 2005: Update
1 long trade executed today.
trade made net $870.
Spreadsheet has been updated.
This is the first time that the 'single print' strategy has carried a trade all the way through to the close.
Cumulative profit for this month $2,150
1 long trade executed today.
trade made net $870.
Spreadsheet has been updated.
This is the first time that the 'single print' strategy has carried a trade all the way through to the close.
27 May 2005: Update
Another single created and triggered today. Single was created at 616.4 during the K bracket so the long was entered at 616.5 which was triggered during the Q bracket with just 24 minutes of trading left.
The first 2 contracts hit their targets and the second 2 contracts removed at last traded price of 618.8
Profit for this trade was $740.
Spreadsheet updated
Cumulative Profit this month is $2,890
(almost 15% so far)
1 trading day left with this strategy. Next month I will change the rules to make this more accessible to the smaller trader and trying forward testing this with new rules. I will halve the starting capital to $10,000 and reset the account to zero.
Another single created and triggered today. Single was created at 616.4 during the K bracket so the long was entered at 616.5 which was triggered during the Q bracket with just 24 minutes of trading left.
The first 2 contracts hit their targets and the second 2 contracts removed at last traded price of 618.8
Profit for this trade was $740.
Spreadsheet updated
1 trading day left with this strategy. Next month I will change the rules to make this more accessible to the smaller trader and trying forward testing this with new rules. I will halve the starting capital to $10,000 and reset the account to zero.
31 May 2005: Update
No singles trades today.
No singles trades today.
This concludes the May 2005 forward test of the singles print. In June we will continue the test but with slightly different rules. Here is the link for the June test: June Single Print forward testing
Summary:
13 trades taken:
5 short and 8 long.
3 winning trades (23%), 5 partial winners (38%) and 5 losers (38%) so by implication 62% of traders we winning trades.
The winners made 70% of the cash won/lost.
Summary:
13 trades taken:
5 short and 8 long.
3 winning trades (23%), 5 partial winners (38%) and 5 losers (38%) so by implication 62% of traders we winning trades.
The winners made 70% of the cash won/lost.
The White Board is a discontinued indicator because its functionality was automated through the use of the DVATool which is much faster and more reliable in managing Single Prints - which is primarily what the White Board was used for.
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