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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%

6/12/09
ES Short Entry=open-4.50. Target=entry-9. Stop=Open or MOC
NQ Short Entry=open-6.75. Target=entry-13 Stop=Open or MOC
ZN Short Entry=open-8.50. Target=entry-17 Stop=open or MOC

quote:

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Originally posted by PaulR

6/12/09
ES Short Entry=open-4.50. Target=entry-9. Stop=Open or MOC
NQ Short Entry=open-6.75. Target=entry-13 Stop=Open or MOC
ZN Short Entry=open-8.50. Target=entry-17 Stop=open or MOC

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NQ -6.75

6/15/09
ES Short Entry=open-4. Target=entry-8. Stop=Open or MOC
NQ Short Entry=open-6.50. Target=entry-13 Stop=Open or MOC
ZN Long Entry=open+7. Target=entry+14 Stop=open or MOC

quote:

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Originally posted by PaulR

6/15/09
ES Short Entry=open-4. Target=entry-8. Stop=Open or MOC
NQ Short Entry=open-6.50. Target=entry-13 Stop=Open or MOC
ZN Long Entry=open+7. Target=entry+14 Stop=open or MOC

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Nothing done so far on ZN. But both ES & NQ triggered and hit their targets. $400 and $260 per contract, respectively. Alaso started tracking this approach on YM. Today's successful YM trade is on chart (54 points)that follows.

Hi Paul,

From your messages it seems you wanted someone to review your
system and look for improvements.

I have made a start.
I keep the data for the ES
I updated my spreadsheet to compute ATR and
the 5 day ATR and then added in the 5 day
MA for the close and the open.

My calculation for the 5day ATR for June 22 (yesterday)
is 17.4 and one half would be 8.7

This didn't seem to match to your numbers so I went to a
website and found and Excel spreadsheet for ATR
and their answers
http://www.gstock.com/help/index.php/Help/TheAverageTrueRangeIndicator
match mine.

quote:

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Originally posted by PaulR


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.

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

edit - 25% atr changed to 50%

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quote:

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Originally posted by PaulR

The ATR and SMA's are applied to daily (day session charts). Then 25% of yesterday's 5 period ATR is applied to today's open. Added for a long entry and subtracted for a short. Going long/short for the day is dependent upon whether the 5period Close SMA is above or below the 5 period Open SMA on the daily chart. Entries and exits are intraday and can be followed within any time frame you like...1m, 3m, ...10m etc.

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These are both from page 1. I'm guessing you mean 25% and not the 50% that I read in the first post under "methodology". So if the 5 day of the 12 June 09 (the day prior to the 15th) was 16.8 then you subtracted 4.2 from the open on the 15th of 931.00 and went short at 926.75 (931-4.25). Your target was 926.75-8.50 or 918.50. The low on the 15th was 915.25 so you made the target 918.50 and closed with and 8.50 pt profit. Is that the math?

Blue
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quote:

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Originally posted by PaulR -page 9

6/15/09
ES Short Entry=open-4. Target=entry-8. Stop=Open or MOC
NQ Short Entry=open-6.50. Target=entry-13 Stop=Open or MOC
ZN Long Entry=open+7. Target=entry+14 Stop=open or MOC

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Hi All:

After observing Paul's method and taking a glace at some other markets to see if it may work there also, I went ahead and got some quotes from various programmers to program this strategy for backtesting on the Ninja platform. (Paul - I hope you dont mind!).

I have not decided as of yet to have it done, but if anyone who uses Ninja is interested in sharing the cost and use of the strategy with me, that would be fantastic.

Love the forum.

Regards,
Miller

Hi Blue & Miller:

First Blue...You got it right as far as taking 25% of the 5 day ATR and either subtracting it from today's open, or adding, based on whether the 5 day sma of close is < or > than the 5 day sma of the open. That's your entry...then 50% of the 5 day atr is the target. So your result for 6/15 is on target...you got 8.5..I got 8...depends on the atr calculation. I take it off the atr calc done in my software which is Ensign and my data feed which is IB. Also my daily calculation is on based on RTH only.

Miller that's great..if you can get some serious backtesting done. Please be careful though. Don't just look at the daily bars. While you need that for the atr calc...monitoring price on a smaller time for each day is important as many daily bars look like winners when in fact price dioes retreat back to the open to stop you out. If you just look at daily bars you don't see that.

For both of you and all...I have also begun tracking how this works with other items....CAD...ZC, etc. Since some have larger and more frequent gaps that don't close, atr may not be the best way to handle. Instead just a plain 5 day avergae range may be better.

Keep me posted on your testing and I'll do the same.

Best regards,

PaulR

HI Paul,

Tks for the confimation on the 25%.

I'll look at some things this evening after I do my end of the day calcs.

On a side question, I also use IB and noticed you connected the data feed to another software (Ensign). Was that hard to do?

Thanks

blue

Ensign is pretty EZ to use. And having the IB data feed into it is just a clicks worth of work. If I can do it anybody can. The Ensign people are very helpful.

Will check in tomorrow.

quote:

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Originally posted by blue

HI Paul,

Tks for the confimation on the 25%.

I'll look at some things this evening after I do my end of the day calcs.

On a side question, I also use IB and noticed you connected the data feed to another software (Ensign). Was that hard to do?

Thanks

blue

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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?