2 to 1

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%

The NQ Long triggered around 12:27 at 1372 and exited at 2:48 at 1388 for +16 points or $320 per contract. Neither the ES, nor the ZN has triggered today.

Here are today's entries and exits. ZN short @ 120-105. Stop @ 120-170. Target 119-295. NQ Long @ Open + 8.5. Stop @ Entry -8.5. Target @ entry +17.
ES Long @ Open +5.50. Stop @ entry -5.50. Target @ entry +11.

CORRECTION! NQ is Short not Long. Short @ Open -8.5. Stop @ entry +8.5, Target enrty -17.

Took a 5.50 loss on the ES. Nq and ZN never hit their entry points.

Thanks Paul,

I was wondering if you ever looked at a weekly chart, atr combo for signals or even better combining them both....or maybe a monthly and a weekly for longer term signals...

Thanks for sharing this here

Bruce

Hi Bruce:

Have recently begun to look at weekly data using the same parameters on SPY. Thinking of applying the same ATR approach off the open of the week and based on the 2 SMA's for direction taking the trade using options. But..haven't done any backtesting yet. If you do, please let me know what you find.

Paul

Here are today's trades.
ZN Short open - 5.5. Stop is open. Target is entry -11.
NQ Long open +8.25. Stop is open. Target is entry +16.50.
ES Long open +4.50 Stop is open. Target is entry +9.

All three triggered and I got slammed on all three. -5.5 on ZN, -8.25 on NQ and -4.5 on ES.

Here are trades for 5/21.
ZN Short open - 5.5. Stop is open. Target is entry -11.
NQ Long open +8.5. Stop is open. Target is entry +17.
ES Long open +5. Stop is open. Target is entry +10.

NQ loss 8.5 points -$170. ZN gained 11/32's +$343.75. Nothing done on ES.
Starting long weekend tomorrow. See you next week.

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?