Single Prints Forward Test - June 2005

The rules will change this month so I will be outlining the new rules here.

General changes so far:
Starting capital of $10,000 instead of $20,000.
Trade 2 contracts per trade instead of 4.

• 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.


• 2 contracts will be traded.


• First target is 2 points.


• Second target is 6 points.


• Commissions will be $5 per contract.


• Stop will be moved to break even after first target has been reached.


• Stop will not be trailed after moved to break even.


• No re-entries if stopped out but re-entries always taken if both 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/strategies are closed out at 16:10 EST. The first trade price on or after 16:10:00 will be used as the closing price.


• Positions that are triggered before 16:00:00 will be opened but not on or after 16:00:00 EST.


• Positions will be opened on or after 09:30:00 EST. If we open in a single trade we will assume an entry price of the first price traded on or after 09:30:00

7 June 2005: Update

1 long trade at 629.1 was stopped at 1 point loss for $210 cash loss.

Spreadsheet updated - click here.

Monthly cumulative loss at this point is $390

This commentary from the room today was interesting:

[10:22:24] <guy> In the ER2 there is a single 1 tick above the current HOD
[10:22:30] <guy> from about 2 or 3 months ago
[10:22:33] <signal> [img] http://share.esignal.com/ContentRoot/T1/charts/20050607_3.png
[10:23:01] <guy> so that single doesn't form part of the Single Print strategy that I'm forward testing because it's older than 20 trading sessions
[10:23:11] <guy> you can see it as the cyan line at the top of that chart
[10:26:19] <guy> Here is a chart showing the formation of that single that I've just mentioned
[10:26:23] <signal> [img] http://share.esignal.com/ContentRoot/T1/charts/20050607_4.png
[10:26:36] <guy> It formed on 03/15
[10:27:00] <guy> And as you can see there's another one above it at 634.3 which was formed on the same day


Even though that single fell outside of our rules I'm making a note of it here because it may prove to be profitable to use all singles and not just singles created in the recent past.

8 June 2005: Update

No trades today.

2 new singles formed above us at 621.7 and 623.5

Monthly cumulative loss at this point is $390

Here is the Market Profile graphic for the ER2 today: (the IB is in bold)

[626.90] D [DVAH]
[626.80] D
[626.70] D
[626.60] DEI
[626.50] DEIJ
[626.40] DEHIJ
[626.30] DEHIJ
[626.20] DEFHIJ
[626.10] DEFGHIJ
[626.00] DEFGHIJ
[625.90] DEFGHIJ
[625.80] DEFGHIJ
[625.70] DEFGHIJK
[625.60] DEFGHIJK
[625.50] DEFGHIJK
[625.40] DEFGHIJK
[625.30] DEFGHIJK [DPOC]
[625.20] DEFGK
[625.10] DEFGKL
[625.00] DEFGKL
[624.90] DEFGKL
[624.80] DEFGKL
[624.70] DEFKL
[624.60] DEFKL
[624.50] DEFL
[624.40] DEFL
[624.30] DFL
[624.20] DFL
[624.10] FL
[624.00] FL
[623.90] FL
[623.80] FL
[623.70] FL
[623.60] FL
[623.50] L
[623.40] L
[623.30] L
[623.20] L
[623.10] L
[623.00] L
[622.90] L
[622.80] LM
[622.70] LM
[622.60] LM
[622.50] LM
[622.40] LM
[622.30] LM
[622.20] LM
[622.10] LM
[622.00] LM
[621.90] LM [DVAL]
[621.80] LM
[621.70] M
[621.60] M
[621.50] MN
[621.40] MN
[621.30] MN
[621.20] MN
[621.10] MNQ
[621.00] MNQ
[620.90] MNQ
[620.80] MNQ
[620.70] MNQ
[620.60] MNQ
[620.50] MNQR
[620.40] MNPQR
[620.30] MNPQR
[620.20] MNPQR
[620.10] MNPQR
[620.00] NPQR
[619.90] NPQR
[619.80] NPQR
[619.70] NPQ
[619.60] NPQ
[619.50] NP
[619.40] P
[619.30] P
[619.20] P

9 June 2005: Update

2 losing trades today.

The 2 new singles formed above us at 621.7 and 623.5 yesterday were for the old (June) contract. Because we rolled onto the new (September) contract today, the DVATool recalculated the singles using the data for the September contract and the Single Print strategy took 2 shorts at:

624.0 and 625.6

Both shorts stopped out a 1 point point loss for a total point loss of 2 and a cash loss of $420.

We also created 2 new singles today (again on the new September contract) at 622.3 and 624.3

Spreadsheet updated - click here.

Monthly cumulative loss at this point is $810

10 June 2005: Update

No single trades and no singles formed.

13 June 2005: Update

1 losing trades today which was off a single that was formed today.

Spreadsheet updated - click here.

Monthly cumulative loss at this point is $1,020

14 June 2005: Update

No single trades and no singles formed.

A very old single from 15 March worked very well. This was the other single formed on the same day that worked a few days ago and mentioned in this topic. This brings into question the age of the single prints that are being used.

At the moment (this month) the entire strategy is being brought into question with a string of losses.

I hope that you notice that I'm not trying to defend this strategy (even though I would like to see it work) but I am being as objective as possible and documenting its success of lack thereof.

15 June 2005: Update

1 losing trades today which was off a single that was formed today.

Spreadsheet updated - click here.

Monthly cumulative loss at this point is $1,230

16 June 2005: Update

First good winner this month.

There were 2 singles formed today. Both of them filled but the second single did not qualify because it filled just after 16:00 ET.

The winning trade today made $530.

Spreadsheet updated - click here.

Monthly cumulative loss at this point is $700

Buzz: Just looking at the single trade yesterday and notice that if the single print is created on the same day that it's triggered then there is no VA to compare the opening price against. You will notice that I put N/A in that column in the spreadsheet that I updated today for yesterday's single print trade in the ER2.