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Single Prints Forward Test - May 2005

I have been trying to back test single prints as high probability reversal areas but have been unable to do it so far. As a second prize I'm toying with the idea of forward testing this in simulated real-time using the ER2 contract and testing during the month of May 2005.

So far I've come up with the following rules. Jump in and add or question a rule if you wish:
  • 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.

  • 4 contracts will be traded.

  • Partial profits will be taken at 1, 2, 3, and 4 points.

  • Commissions will be $5 per contract.

  • Stop will be moved to break even after first partial profit has been taken.

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

  • No re-entries if stopped out but re-entries always taken if all 4 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 are closed out at the last traded price (not the settlement price) that is traded during RTH which in this case is usually at 16:14:59 or 16:15:00 EST. Although you would not be able to implement this in real trading it appears to be the fairest way to measure this strategy. In reality you will close the trade before this time and get a slightly more or less favorable price.

Yes diego - this is one of the trades that JP does but I don't believe that he uses the same rules that I've outlined here. His targets are very different for example. I would rather not outline the rules that he uses because that is his system and way of trading and I would like to respect that he may not want others outside his room to publish them publicly.
4 May 2005: Post Market Update

The ER2 created 2 new singles today:
588.5 in the E bracket
592.9 in the L bracket

Neither of these were retested after they were confirmed so no chance of a 'singles' trade.

The first single above us is 608.3 and now we have 2 below us so the ER2 is now bracketted by those singles so we should test one of them soon.
5 May 2005: Intra day update.

Long at 593.0 at 13:00 stopped out for a 1 point loss at 592.0 just 2 minutes after entry. Loss for trade is $420 which is 4 contracts X $100 per contract and $5/contract commission.
10 minute ER2 chart for 5 May 2005 showing the 2 single print "support" lines below the market. The upper of the 2 will be removed because we've "filled in" the single print and it's no longer visible. This single print failed according to the rules that I set out for trading single prints and we lost money on it.

Click image for original size
Single Print trade (short) in ER2 on 16 May 2005
any trades today?
5 May 2005: Update

No trades today phylup.

Pathetic start to the test - 1 trade in the first week. I was certainly not expecting that. I'm sure that there will be more next week.

We will also be able to keep an eye on the average number of trades generated by this system per week.
9 May 2005: Update

New single created at 598.1 but no single trades.

Click image for original size
Single Print trade (short) in ER2 on 16 May 2005
10 May 2005: Intraday Update

Long at 598.2 at 09:33 off yesterday's single in the G bracket. Stop is at 597.2

Stopped out at 597.2 for a 1 point loss on 4 contracts for a $ loss of $420
10 May 2005: Update

Running loss after today's losing trade is now $840. I've updated the spreadsheet:

Click here to download a spreadsheet holding the results of the forward test.
The White Board is a discontinued indicator because its functionality was automated through the use of the DVATool which is much faster and more reliable in managing Single Prints - which is primarily what the White Board was used for.