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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%
I guess between the different data feeds we all have and the various charting packages and calculations...we will have minor variations between our respective numbers. But I do think they are minor. We're all pretty close. I use Ensign and have data feeding from IB. How 'bout you guys?
JBUX...sorry I didn't answer your question from earlier re: MOC exit time. I prefer 3:59 - 4:00 PM ET for NQ & ES. I use the same time for ZN too.
Paul, sorry I missed that you are using the 5 day ATR. Do you calculate that by taking the previous 5 days range add them up and divide by 5? Then divide by 4 to get your number? I was just using the previous days range. I took 6 quick handles this morning guys. Thanks again Paul
The previous 5 days Avg True Range divided by 5.

Yes, this morning was nice, moving to the target area quickly.

You're welcome.
quote:
Originally posted by PaulR

I had 12.25 1 day true range...for the 5 day ATR I have 13.78/4 = 3.44 rounded to 3.5...and got 7 points this morning. Got amnother 12.50 on the NQ as well.



Good work Paul!

I went to the TradeStation website and emailed them to double check things in case you are interested for yourself - I can't take it on at this time.

Basically you have to pay for the feed unless you trade enough - though for you that would be easy. What you get is their charting software and their engine for back testing=Radar Screen (the later is what seems to make them unique). You can't day-trade unless you have $25,000 on account and to open an account is $5,000. But futures are not considered daytrading so 10 round turns with them and you've meet the minimum.

--------here's the emails:
For the Base Platform and for Radar Screen if I want both and I trade 10 round-turn futures or 5,000 shares of equities, then is there no monthly charge?
Example 1: If I trade 100 Shares of SSO on a Per-share commission plan, that would be $1 commission and if I make 50 trades that would be 5,000 shares, would that qualify?
Example 2: If I trade ES mini futures and I do 10 round turns on a Per-share commission plan, that would be $1.20 commission per side or $2.40 per round-turn for $24 of commissions, would that qualify? Is there any other charges or fees? Will IB data feed work with TradeStation? Thank-you
---------------
Ian,
Thanks for your interest in TradeStation. There are 3 main areas of fees for TradeStation.
1) Base Platform Fee- http://www.tradestation.com/brokerage/platform_fees.shtm
2) Real Time Data- http://www.tradestation.com/brokerage/market_data.shtm
3) Commission of the Trade-- http://www.tradestation.com/brokerage/commissions.shtm

If you trade 20 contracts (same as 10 round turns) OR 5,000 shares, we will waive the following month’s Base Platform Fee. The cost for the e-minis is $2.35 per side per contract and will reduce after 300 contracts are traded. I have attached the links above outlining these costs for you. The IB Data feed will not work, you would need to subscribe to the data with TradeStation to have real-time on your charts, etc.

________________________________________
John Naab
Registered Representative
TradeStation Securities, Inc.
Member NYSE, FINRA, SIPC, & NFA
Phone: (954) 652-7423
Toll Free: (800) 981-2693
UK Phone (0808) 234-1049 x 7423
Fax: (954) 652-5423
E-Mail: jnaab@TradeStation.com
www.TradeStation.com

--------------------------------------------------------------------------------
John,

Thank-you for your reply.
So the fee for Radar screen is also waived?

Ian


------The Radar Screen is free for your first 30 days and if you trade the threshold to waive the platform fee, then the radar screen is also waived.
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Anyone with Tradestaion that can plug this system in. Im looking into purchasing the software but not trading with them(I like my broker) but Im wondering... Does anyone know if they help you out with their easy language? I think I would be lost trying to plug a system in myself.
Got stopped out of todays ES trade -3.75
Anyone know why exchange fees would be different?

When I looked a the link above http://www.tradestation.com/brokerage/commissions.shtm posted by blue they listed $1.14 in exchange fees for Emini contracts.

The statements I receive from my broker show the fees somewhere around 0.38 cents.

With commissions and fees my round turn is $3.23 per ES contract and that's not a volume discount nor am I an exchange member or lease a seat or anything else, but I'm just confused as to how exchange fees can differ like that.
myptofvu--who is your broker? Those are very attractive rates.
With such simple parameters, it seems to me this system can easily be back and forward tested.

Has anyone done it?
quote:
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?



hi,
you please check if my levels are correct?

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