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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 think that by using "inside the bar backtesting" it catches the intraday action.
JB
ibux,

I don't know how "inside the bar backtesting" works. It may be a good idea to look to see if in fact that is what it is doing before relying on the results.

Thanks for you efforts.
Russ
John:

Ensign, my charting package calculates the 5 day ATR, which is what I currently use.

I noticed for ZN you are using a start time of 8:20...I use 9:30 with the same close you have of 17:00...5PM

Good work here. Thanks. Will look over ZN results.
Today's numbers.

ES long @ Open + 3.25 target 6.50.

NQ Long @ Open + 6 target 12.

ZN Short @ Open - 7 target 14.
Here is a calculator for different products. Excel File
(Inputs are in yellow boxes only)

Click link to access uploaded file:
JB_ATR_Calculator.xls


JB
Both ES & NQ hit their targets. Zn triggered just a little bit ago. Even if it loses we'll have a nicly green day. If it wins, we'll have a very nice day!

John that calculator is really convenient. Lots of good work there. Very much appreciated.
My NQ and ES got Long but since my ATR's are much larger than yours
(NQ = 27.80 ES = 15.60 ) the profit targets (1634.6 + 995.45) have not been met. I can't figure out why our ATR's differ by so much.
I am using the Tradestation ATR (5 period).
My average ranges for today are also large ( NQ 27.4 ES 15.3)
John
John:

We have different data feeds, so things may be different due to that, and just to confirm, I only look at RTH numbers trading from 9:30 to 4:15 on ES & NQ. Let's start by comparing the High's & Lows on ES for the last 5 days, 7/29 - 7/23, that I have. In that order my numbers are: 975.25/965.25, 979.25/966, 980/969, 979/962.50, 976.50/950.75. Adding those up and dividing by 5 gave me 15.3...not the 13.3 that shows up on my chart. So, I checked further in Ensign and found that it calculates the ATR as an exponential moving average, as opposed to a simple moving average. Does TS calculate ATR as a SMA or EMA? Maybe that's the difference.
PaulR,

I agree with all of your High Lows for the last 5 days.
Also, I can duplicate your ATR using this formula:
ATR = XAverage(ATR(ATRLength),AvgLength)
ATRLength is 1
AvgLength is 5 (to compute XAvg)

My ATR's for the last 5 days :
7/29 13.29
7/28 14.81
7/27 15.34
7/24 17.51
7/23 18.01

Does this make any sense ?
What are your settings for the ATR ?

John
John & Paul,
If you add the price ranges that Paul posted (same as mine) it comes out to 78.
78/5 days= 15.6

15.6 range/4= 3.9
ES opening + 3.9= Enter Price
ES opening + 2(3.9)= Target Price.

I don't know where Paul got 3.25 when the ranges he posted adds up to 78.

Russ


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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