Single Prints Forward Test - June 2005

The rules will change this month so I will be outlining the new rules here.

General changes so far:
Starting capital of $10,000 instead of $20,000.
Trade 2 contracts per trade instead of 4.

• 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.


• 2 contracts will be traded.


• First target is 2 points.


• Second target is 6 points.


• Commissions will be $5 per contract.


• Stop will be moved to break even after first target has been reached.


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


• No re-entries if stopped out but re-entries always taken if both 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/strategies are closed out at 16:10 EST. The first trade price on or after 16:10:00 will be used as the closing price.


• Positions that are triggered before 16:00:00 will be opened but not on or after 16:00:00 EST.


• Positions will be opened on or after 09:30:00 EST. If we open in a single trade we will assume an entry price of the first price traded on or after 09:30:00

This strategy will continue to be tested during July in this topic: July Single Print forward testing

Hi Guy,
The results for June were disappointing. The strategy for this month should have been modified. Here is a suggestion. Can you sort out the trades where the current market opens within the MP range where the single was created. I would like to see how many of these are winners. And also can you include the rotation factor for each trade.

Hi Buzz,

I completely agree - very dissappointing results for June.

I will see if I can include that information in the spreadsheet for you. I assume that you mean the Value Area when you talk about MP range right? And when you say that do you mean the VA for the day on which the single print was created?

Guy

quote:

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Originally posted by guy

Hi Buzz,

I completely agree - very dissappointing results for June.

I will see if I can include that information in the spreadsheet for you. I assume that you mean the Value Area when you talk about MP range right? And when you say that do you mean the VA for the day on which the single print was created?

Guy

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Hi Guy,
Precisely. Back testing some old MP data I find that these trades have a good success rate.

Buzz

That's a bit more tricky because then you have to record the VA from the day that the single was created along with the single print. I'll see what I can do (and I'm also curious about the success of that) but no promises.

So 2 new columns in the spreadsheet would be:
Opened in single VA: TRUE/FALSE
Rotation Factor when traded triggered: Integer

Right?

quote:

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Originally posted by guy

That's a bit more tricky because then you have to record the VA from the day that the single was created along with the single print. I'll see what I can do (and I'm also curious about the success of that) but no promises.

So 2 new columns in the spreadsheet would be:
Opened in single VA: TRUE/FALSE
Rotation Factor when traded triggered: Integer

Right?

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Hi Guy,
Yes. I am sorry for the trouble, but this is something which I always wanted to check out.
Thanks

Buzz

No problem Buzz - it's also stuff that I want to know the answers to so if I can do it I'll publish it here for everyone's benefit.

I'm getting ideas for the next phase of my back tester but I don't want to rush in and design the next part without thinking about what I'm trying to get out of it. So if possible I'll run those ideas through the back tester when I've added the MP rules.

Buzz: Just looking at the single trade yesterday and notice that if the single print is created on the same day that it's triggered then there is no VA to compare the opening price against. You will notice that I put N/A in that column in the spreadsheet that I updated today for yesterday's single print trade in the ER2.