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%

Couldn't open in xl.

quote:

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Originally posted by teflon

Just a quick and easy Position calculator, saves some key strokes. Just put in previous days ATR and the current open and the entry and target are calculated for you.

Click link to access uploaded file:
Position_Calculator.xlsx

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6/9/09
ES -4.75
NQ -5.75
ZN no action.

Tomorrow 6/10/09
ES Short Entry=open-4.25. Target=entry-8.50. Stop=Open or MOC
NQ LONG Entry=open+6.50. Target=entry+13 Stop=Open or MOC
ZN Short Entry=open-8. Target=entry-16 Stop=open or MOC

Nothing so far on ZN or NQ. BUt picked up a nice 8.50 ES points off the short.

quote:

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Originally posted by PaulR

Tomorrow 6/10/09
ES Short Entry=open-4.25. Target=entry-8.50. Stop=Open or MOC
NQ LONG Entry=open+6.50. Target=entry+13 Stop=Open or MOC
ZN Short Entry=open-8. Target=entry-16 Stop=open or MOC

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Has anyone successfully written code on TS for this strategy ?
I have been trying , but it keeps buying or selling on the open each day instead of waiting for the target price. Thank You for sharing your ideas.

I use Ensign. Sorry, can't help you there.

quote:

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Originally posted by jbux

Has anyone successfully written code on TS for this strategy ?
I have been trying , but it keeps buying or selling on the open each day instead of waiting for the target price. Thank You for sharing your ideas.

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6/11/09
ES Short Entry=open-4.75. Target=entry-9.50. Stop=Open or MOC
NQ LONG Entry=open+7.50. Target=entry+15 Stop=Open or MOC
ZN Short Entry=open-7.50. Target=entry-15 Stop=open or MOC

Only NQ triggered for -6.

quote:

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Originally posted by PaulR

6/11/09
ES Short Entry=open-4.75. Target=entry-9.50. Stop=Open or MOC
NQ LONG Entry=open+7.50. Target=entry+15 Stop=Open or MOC
ZN Short Entry=open-7.50. Target=entry-15 Stop=open or MOC

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thanks for keeping us up to date on this and keeping it honest Paul...

Happy to share. Was hoping someone might see a way to improve results. Will post for s few more days then stop. No point in continuing same old stuff without any adjustments.

Thanks Bruce and all who contribute in these forums. They really are a great help, and its nice to have colleagues willing to share.

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?