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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%
no fills yet. i will work on tweaks, but it all seems already sound to me:)
Nothing done today.
For tomorrow 6/4/09...
ZN LONG @ 8.25 above open. Target +16.50.
ES LONG @ 5 above open. Target +10.
NQ LONG @ 7.50 above open. Target +15.
got long NQ -8
not filled ES yet
had to leave early.
nothing yesterday as you said
quote:
Originally posted by PaulR

Nothing done today.
For tomorrow 6/4/09...
ZN LONG @ 8.25 above open. Target +16.50.
ES LONG @ 5 above open. Target +10.
NQ LONG @ 7.50 above open. Target +15.


Hi Paul,

Thanks for sharing this. It is very generous of you to share your work with us. (I have just started following this thread.) I could suggest one note to improve the clarity, well at least for me.

For today
"ES LONG Entry=open+5. Target=open+15. Stop=Open or MOC"
that is if I have understood page 1 posts


I do not know how to download past data so I am not able to do back testing for you. However, I did have a thought for refining your system. You have been tracking your results I believe.
Perhaps breaking your results into longs and shorts and time periods.
e.g. Wins long = 6, wins short=7
Losses long 3, losses short 2.
If you also track the dates, then you can group trades into sections of time several days per section (uptrend, flat, downtrend).

So you might find the win/loss ratio is high for long trades in an uptrend and not as good in a downtrend.

Just a thought.

Just a quick and easy Position calculator, saves some key strokes. Just put in previous days ATR and the current open and the entry and target are calculated for you.

Click link to access uploaded file:
Position_Calculator.xlsx
quote:
Originally posted by PaulR

Nothing done today.
For tomorrow 6/4/09...
ZN LONG @ 8.25 above open. Target +16.50.
ES LONG @ 5 above open. Target +10.
NQ LONG @ 7.50 above open. Target +15.



NQ -7.50
ES +1
ZN - nothing done
Thanks Blue. I like your format and will try to use it. As for the backtesting slicing and dicin, while see a good deal of potential value in your suggestions, my backtesting options are limited as its done manually and not automated. Was hoping someone with more technical skill might help in that regard. Nevrtheless, I will see what I can do. Thanks again.

Paul
quote:
Originally posted by blue

quote:
Originally posted by PaulR

Nothing done today.
For tomorrow 6/4/09...
ZN LONG @ 8.25 above open. Target +16.50.
ES LONG @ 5 above open. Target +10.
NQ LONG @ 7.50 above open. Target +15.


Hi Paul,

Thanks for sharing this. It is very generous of you to share your work with us. (I have just started following this thread.) I could suggest one note to improve the clarity, well at least for me.

For today
"ES LONG Entry=open+5. Target=open+15. Stop=Open or MOC"
that is if I have understood page 1 posts


I do not know how to download past data so I am not able to do back testing for you. However, I did have a thought for refining your system. You have been tracking your results I believe.
Perhaps breaking your results into longs and shorts and time periods.
e.g. Wins long = 6, wins short=7
Losses long 3, losses short 2.
If you also track the dates, then you can group trades into sections of time several days per section (uptrend, flat, downtrend).

So you might find the win/loss ratio is high for long trades in an uptrend and not as good in a downtrend.

Just a thought.



By the way Target should be = Entry + 15!
You had Open + 15. Just wabnted top clarify.
quote:
Originally posted by PaulR

Thanks Blue. I like your format and will try to use it. As for the backtesting slicing and dicin, while see a good deal of potential value in your suggestions, my backtesting options are limited as its done manually and not automated. Was hoping someone with more technical skill might help in that regard. Nevrtheless, I will see what I can do. Thanks again.

Paul
quote:
Originally posted by blue

quote:
Originally posted by PaulR

Nothing done today.
For tomorrow 6/4/09...
ZN LONG @ 8.25 above open. Target +16.50.
ES LONG @ 5 above open. Target +10.
NQ LONG @ 7.50 above open. Target +15.


Hi Paul,

Thanks for sharing this. It is very generous of you to share your work with us. (I have just started following this thread.) I could suggest one note to improve the clarity, well at least for me.

For today
"ES LONG Entry=open+5. Target=open+15. Stop=Open or MOC"
that is if I have understood page 1 posts


I do not know how to download past data so I am not able to do back testing for you. However, I did have a thought for refining your system. You have been tracking your results I believe.
Perhaps breaking your results into longs and shorts and time periods.
e.g. Wins long = 6, wins short=7
Losses long 3, losses short 2.
If you also track the dates, then you can group trades into sections of time several days per section (uptrend, flat, downtrend).

So you might find the win/loss ratio is high for long trades in an uptrend and not as good in a downtrend.

Just a thought.





Was away June 5 & 8. Results would have been as follows:

For 6/5/09 : ZN +19, nothing done on NQ & ES
On 6/8/09 : ZN+7.5 (exit was MOC 4pm), ES was BE, NQ -1.75
Today 6/9/09
ES LONG Entry=open+4.75. Target=entry+9.50. Stop=Open or MOC
NQ LONG Entry=open+7.25. Target=entry+14.50. Stop=Open or MOC
ZN Short Entry=open-9.5. Target=entry-19 Stop=open or MOC
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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