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7am-9am ES breakout


5 points which ever comes first. I am going to run 2.5points later.

10/06 +5
10/07 +5
10/08 -5
10/09 +5
10/12 +5
10/13 +5
10/14 -5
10/15 +5
10/16 -5
10/19 -5
10/20 +5
10/21 +5
10/22 -5
10/23 -5
10/26 +5
10/27 +5
10/28 +5
10/29 -5
10/30 -5
11/02 -5
11/03 +5
11/04 +5
11/05 +5
11/06 +5
11/09 -5
11/10 -5
11/11 -5
11/12 +5
11/13 +5
11/16 +5
11/17 -5
11/18 +5
11/19 -5
11/20 +5
11/23 +5
11/24 +5
11/25 -5
11/26 +5
11/27 +5
11/30 -5
12/01 +5
12/02 -5
12/03 -5
12/04 +5
12/07 -5
12/08 -5
12/09 +5
12/10 +5
12/14 -5
12/15 +5 (filled at the end of the next day)
12/16 -5 (trade went in the opposite side of the previous days signal, while still in the trade)
12/17 trade open



29 winners
22 losers

gross profit of $1,750.00 per contract.

largest draw down was 15points.

Largest string of profits was 20 points.

Conclusion is this would have to be traded with a fairly large number of contracts since its less than 60% accurate. Looks like is going to be a nice addition to the automated group.
Great strategy, CJ. Looks good on TF also, with a 2 point target.
Was 12/17 a winning day in your test ?
I am getting it as a losing day in my backtest.

I want to make sure my logic is correct for the test - I am buying at 1 tick +/- the High/Low set between the 7 - 9 am ESt time.

12/17 ( Losing day )

Sell Short 12/17/09 09:58 1,095.50
Buy to Cover 12/17/09 10:57 1,098.00


Thanks
In all actuality you would probably not have been executed @ the +2.5. The back testing was to see what a move is good for. I don't know your entry skills you could suck really bad and slip a point thats beyond my knowing And I really couldn't care less. If you don't like it then post more then give me the thumbs down...I am tired of these one post wonders who just want a hand out. I am looking for ways to make this better not criticize.
I've asked management to delete this thread, its really sad folks have to create new avatars (single posts) and then give themselves kudos, to hype there ego. Thanks to those who offered meaningful thoughts and comments many trading profits to ya
Joe, I'm not sure you're reading this one right. I think he was just asking if that day wasn't in fact a losing day, because if he had it as a losing day and it should have been a winning day, maybe he doesn't understand the concept correctly. I also had that as a losing day by my data, and after looking it over like ten times could not figure out what I was doing wrong, so I just gave up. Now I see perhaps I did understand the concept and could follow it, and that maybe there was an error or a data difference or something. I think this was intended as a legit question, one I would have asked myself if I wasn't worried people might slam me :-)
My data shows this moved 2.50 points from the low of the range to the the low it hit before moving up enough to stop it out. With a fill at one tick below that low and a buy to cover at 2.50 points, it didn't trade that level, so it would have been a stop out, even with a perfect fill one tick from the range low. This is by eSignal data. I'm just posting this for those that care why I had the results that I had.

It's still appears to be a great technique, a true gift from Joe, and free at that, but I need to understand something fully before I'd consider trading it, so that's why I was curious about this, too, when I came up with the same thing.
You really need to relax a bit - not sure why you think someone can lose 1 full ES point when entering using a stop order causing the gap between the results.

It was generous of you to share the method but the backtest has to be accurate, as traders we make our living in a region that at times can span a few ticks. Making sweeping assumptions by eyeballing the chart is not good enough. There are people who might be tempted to put their hard earned money to follow this system and they will learn some expensive lessons.

A thorough backtest taking into account limit fills actually reveals that this system in it's current form has no statistical edge of any kind over a longer period of time.

Since you are keen on making this better with your very positive and receptive attitude, here are some thoughts

1. A day of week analysis might shed some light on workings of the system. Days of week have range expansion patterns and it can impact such a system.
2. Overnight gaps/range can be used as well to filter trades.
3. Instead of buying at the initial breakout , you can test buying/selling at the first pullback to the hi/lo channel or a percent retracement into the channel.
4. Plotting the 7 - 9 range on a scatter plot for the winning/losing trades can also give interesting clues.

And finally, if this is how you deal with problems you Sir are in the wrong business ( assuming you are in the business though it's beyond my knowing And I really couldn't care less ) . If an honest enquiry can get you to start jumping up and down, I can imagine what you are like when you are trading.

You are kind enough to share ideas, all you have to do is accept all feedback with an open mind which can lead to constructive collaborative efforts and we can all come out ahead.
This is a great thread & system Joe has shared with us, it would be a shame not to continue with it. People on this board have some really good ideas that work.

For example someone might back test the 7-9 breakouts & post what percentage of the time the direction of the breakout will be in the same direction of the first 5 / 15 or 30 mins of the day. That's just one thing that popped in my mind when I read this, a trade & a possible advantage trading the open. I'm sure others smarter than me are thinking about how to use this system in their trading & will share with it us. Many heads working together are better than a 1 or 2.
Originally posted by pularis


A thorough backtest taking into account limit fills actually reveals that this system in it's current form has no statistical edge of any kind over a longer period of time.







where's the proof? I provided proof...I am human what are you?? Since your so kin on logic wheres your results? Either put up or shut up
I'll keep this short since you in no mood to listen

You have 11/7 as a + day in your result - it happens to be a Saturday.

The fillowing were losing days

11/12/2009
11/10/2009
11/9/2009
11/5/2009
11/4/2009
11/2/2009
10/30/2009
10/29/2009
10/28/2009
10/27/2009
10/26/2009

Out of 13 days on which you got fills, only 2 were winning days. - 11/3 and 11/11.
thank you very much