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Wanted to offer the following in the hope that others might review with a constructive eye and, perhaps, conduct additonal backtesting. My technical abilities are limited, so I backtest manually.

The results for the 28 trading days between Apr 2 - May 12 on NQ June show 19 trades. 13 W 164 points 5L 29.75 points 1 BE. Gross of 134.25 points - $2685 before commission

Methodology

Chart set up: On a day session chart plot the 5 period average true range. Also plot a 5 period simple moving average of both the close and the open. Longs are taken only when the 5 period SMA of the close is above the 5 period SMA of the open. Shorts only when below.

Entries and Exits: If taking longs, add 50% of yesterday's ATR to today's open. This is the entry. Exits are either - a stop order at today's open, limit order at 50% of yesterday's ATR added to today's open, or MOC. For shorts simply reverse.

Having a target that is twice the stop really helped when I manually tested this for the same period as above on the 10 yr note (ZN June). 18 trades were taken. 8 W 83.5 points 10 L 47.5 points Gross of 36.5 points - $1140.62 before commission.

Thanks in advance for your constructive ideas for improvement and any additional backtesting you might undertake.



edit - 25% atr changed to 50%

Agree Liz. Was hoping someone could backtest this properly for a year or 2 to really make sure this works and what the draw down and profit factor works out to be. Unfortunately, I don't have those skills. Will be happy to work with whoever would like to do that to make sure the parameters and variables are correct.

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Originally posted by LIZMERRILL

has anyone programmed this as a strategy in tradestation yet? the final acid test is to see its performance for the last 2 years at least.

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Paul, Thanks for sharing this with the board. I have a couple of questions... 1. when you guys are talking about the ATR do you mean the RTH(real trading hours 9:30-4:15 EST) range? If so, can you tell me if I ahve this correct? Todays ES had a RTH range of 15 and the MA's are pointing up. So is this the calculaton?..
Range= 15 divide by 4= 3.75
Buy tomorrows open +3.75 with a 7.5 profit target
Set stop at open or set stop -7.5 of fill
Is this correct? Thanks

Correct. Not sure though about your stop. The stop is the open....3.75 away from long entry, thus maintaining the all important 2 to 1 target to stop ratio.

Today worked out well with the ES and NQ hitting their targets (ZN did not trigger) for $375 and $250, respectively, for 1 contract each.

Take care rainman99.

quote:

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Originally posted by rainman99

Paul, Thanks for sharing this with the board. I have a couple of questions... 1. when you guys are talking about the ATR do you mean the RTH(real trading hours 9:30-4:15 EST) range? If so, can you tell me if I ahve this correct? Todays ES had a RTH range of 15 and the MA's are pointing up. So is this the calculaton?..
Range= 15 divide by 4= 3.75
Buy tomorrows open +3.75 with a 7.5 profit target
Set stop at open or set stop -7.5 of fill
Is this correct? Thanks

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I ran the strategy on a daily chart . Yesterday's ATR = 16.25
Today's open was 945.25 . This triggered a Buy order at 949.25
( 945.25 + (.25 * 16.25)). Today's profit target = (.50 * 16.25) = 8.125
949.25 + 8.125 = 957.375 . Today's high was 951 . Do you exit on close at 1600 or 1615. 950.75 or 950 ? Profit target was not hit . Am I doing this correctly? My strategy bought at 949.25 and sold at close 950.
Profit of .75 ( I have attempted to automate the strategy on TS)

Thanks
John

Sorry I have today's high incorrect at 951 . Should be 956.75
However Profit target price of 957.375 was not reached. Am I missing something . Maybe my ATR is off.
John

Thanks Paul(Gotcha on the stop).

Jbux, See my post above for todays trade set up, Your alittle off on your numbers. Todays Es trade hits its profit target of 7.5 handles

Heres tomorrows ES Trade
Range= 12.25 divide x 4= 3
Profit target is +6
Trade, Buy tomorrows open + 3 with a 3pt stop and a 6 pt profit target

Are you using the Average True Range (5 Period)or just the range of the previous day ? Todays setup = yesterday's range of 12.25 or yesterday's ATR which I get as 12.85 .
Thanks

I had a 5 day ATR of 14.54/4 = 3.63 rounded to 3.75 + open of 945.25 = entry of 949 + 7.50 = tqarget of 956.50. Target achieved. High of day was 956.75. Whew! Just did make it.

quote:

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Originally posted by jbux

Sorry I have today's high incorrect at 951 . Should be 956.75
However Profit target price of 957.375 was not reached. Am I missing something . Maybe my ATR is off.
John

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I had 12.25 1 day true range...for the 5 day ATR I have 13.78/4 = 3.44 rounded to 3.5...and got 7 points this morning. Got amnother 12.50 on the NQ as well.

quote:

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Originally posted by rainman99

Heres tomorrows ES Trade
Range= 12.25 divide x 4= 3
Profit target is +6
Trade, Buy tomorrows open + 3 with a 3pt stop and a 6 pt profit target

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quote:

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Originally posted by PAUL9

that's OK daytrading, I just have to make a few more posts. But when I saw that RUSS had 9 I wondered, how many do you need?

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hi,
you please check if my levels are correct?