Mini I.B.
Set-up is VERY simple take the first 1/2 hour of RTH and if price trades above buy, and if it goes below sell short.
For mini Russell 2000 use targets of 2 points and a stop of 2 points.
For mini S&P500 use targets of 2.5 points and a stop of 2.5 points.
So far this March the ES has triggered 4 profits and 2 lossers or a gain of +$896.00 trading 4 contracts. It tends to perform better over a longer period. But the TF continues to outperform the ES month after month.
And trading 4 contracts in the past month would have yielded +$3150.00 on the ES
The TF on the other hand trading in the past month has yeilded +$6400.00 via trading 4 contracts
*these are actual results that counted my slippage but not comm.
For mini Russell 2000 use targets of 2 points and a stop of 2 points.
For mini S&P500 use targets of 2.5 points and a stop of 2.5 points.
So far this March the ES has triggered 4 profits and 2 lossers or a gain of +$896.00 trading 4 contracts. It tends to perform better over a longer period. But the TF continues to outperform the ES month after month.
And trading 4 contracts in the past month would have yielded +$3150.00 on the ES
The TF on the other hand trading in the past month has yeilded +$6400.00 via trading 4 contracts
*these are actual results that counted my slippage but not comm.
OK, glad that everything has been put in clear now!
I went through my charts and tried to backtest the 30B method from the beginning of march.
My results seem to be not so brilliant.
My rules are:
- set hi/low of first 30 min
- profit target: hi+2,5 low-2,5
- stop loss: hi-2,5 low+2,5
- entry point: breakout of hi/low
doing so on a pure mechanical basis, without filtering or some other discretionary stuff, I got the following findings:
13-03-09 2,5
14-03-09 2,5
17-03-09 2,5
18-03-09 -2,5
19-03-09 2,5
20-03-09 2,5
23-03-09 -2,5
24-03-09 -2,5
25-03-09 -2,5
27-03-09 -2,5
30-03-09 2,5
31-03-09 -2,5
01-04-09 2,5
02-04-09 2,5
03-04-09 -2,5
06-04-09 -2,5
07-04-09 2,5
08-04-09 2,5
09-04-09 -2,5
13-04-09 2,5
14-04-09 2,5
15-04-09 2,5
16-04-09 -2,5
17-04-09 -2,5
20-04-09 2,5
21-04-09 2,5
22-04-09 2,5
23-04-09 2,5
24-04-09 -2,5
27-04-09 -2,5
28-04-09 2,5
29-04-09 -2,5
30-04-09 -2,5
01-05-09 -2,5
04-05-09 2,5
05-05-09 2,5
06-05-09 2,5
07-05-09 2,5
08-05-09 2,5
11-05-09 2,5
12-05-09 2,5
13-05-09 -2,5
14-05-09 -2,5
15-05-09 -2,5
18-05-09 -2,5
19-05-09 -2,5
20-05-09 2,5
21-05-09 2,5
22-05-09 -2,5
25-05-09 2,5
26-05-09 2,5
27-05-09 -2,5
28-05-09 2,5
Overall accuracy is 57%, which still means profit (even including commissions), but really borderline...
I now want to emphasize that my backtest was not run by a dedicated software analysing a set of data but with my eyes going back through charts. It means that is more then probable that my results are everything but perfect.
I would be more then happy to doublecheck days that gave divergent results from the ones showed by Joe
I went through my charts and tried to backtest the 30B method from the beginning of march.
My results seem to be not so brilliant.
My rules are:
- set hi/low of first 30 min
- profit target: hi+2,5 low-2,5
- stop loss: hi-2,5 low+2,5
- entry point: breakout of hi/low
doing so on a pure mechanical basis, without filtering or some other discretionary stuff, I got the following findings:
13-03-09 2,5
14-03-09 2,5
17-03-09 2,5
18-03-09 -2,5
19-03-09 2,5
20-03-09 2,5
23-03-09 -2,5
24-03-09 -2,5
25-03-09 -2,5
27-03-09 -2,5
30-03-09 2,5
31-03-09 -2,5
01-04-09 2,5
02-04-09 2,5
03-04-09 -2,5
06-04-09 -2,5
07-04-09 2,5
08-04-09 2,5
09-04-09 -2,5
13-04-09 2,5
14-04-09 2,5
15-04-09 2,5
16-04-09 -2,5
17-04-09 -2,5
20-04-09 2,5
21-04-09 2,5
22-04-09 2,5
23-04-09 2,5
24-04-09 -2,5
27-04-09 -2,5
28-04-09 2,5
29-04-09 -2,5
30-04-09 -2,5
01-05-09 -2,5
04-05-09 2,5
05-05-09 2,5
06-05-09 2,5
07-05-09 2,5
08-05-09 2,5
11-05-09 2,5
12-05-09 2,5
13-05-09 -2,5
14-05-09 -2,5
15-05-09 -2,5
18-05-09 -2,5
19-05-09 -2,5
20-05-09 2,5
21-05-09 2,5
22-05-09 -2,5
25-05-09 2,5
26-05-09 2,5
27-05-09 -2,5
28-05-09 2,5
Overall accuracy is 57%, which still means profit (even including commissions), but really borderline...
I now want to emphasize that my backtest was not run by a dedicated software analysing a set of data but with my eyes going back through charts. It means that is more then probable that my results are everything but perfect.
I would be more then happy to doublecheck days that gave divergent results from the ones showed by Joe
quote:
Originally posted by CharterJoe
I was talking to that hidango or what ever his name was not you. Sorry I wasn't clear.
Is that me this hidango?
I am very surprised how new posters are teated on this forum.
If people can not ask question, I don't understand what a forum is.
quote:
Originally posted by CharterJoe
I was talking to that hidango or what ever his name was not you. Sorry I wasn't clear.
And you were right by the way, my backtesting was wrong, hope you feel better.
I owe you an apology.....so sorry about that....I made a mistake in reading the IP's....welcome to the forum.......
Bruce
Bruce
quote:
Originally posted by stifland
Yes, I am supposed to be some kind of 4 letter person? What the heck is that Bruce? Is this a "special" forum or can't regular guys participate?
quote:
Originally posted by darkswan
OK, glad that everything has been put in clear now!
I went through my charts and tried to backtest the 30B method from the beginning of march.
My results seem to be not so brilliant.
My rules are:
- set hi/low of first 30 min
- profit target: hi+2,5 low-2,5
- stop loss: hi-2,5 low+2,5
- entry point: breakout of hi/low
I have a question about your stop.
If you buy the breakout of hi then you entry is at hi+1 tick, so you should have a profit target of 2.25 and a stop loss of 2.75.
darkswan,
I have noticed that the ES has not been doing as well in April, it did better in May. I have been trading this well over a year and notice times of extrema accuracy and then times of churning like April which is why I want traders to go over the charts and come to there on conclusion but I will tell you 2months is no where as near long enough in testing something like this, I don't think its very fare to me to take the worst month this year and this month which is so-so and say its only 56%, there are some weeks where its only 20% right, thats not fare as well and other times its 100% right in a week thats not fare as well. All I am saying is I keep a running avg on it and it stays 72%-76% over 2 years. Since we are running a little behind in the percentage starting in June would be a good time to add contracts. 30B that is, the 5B is not something I automate because it does better winging it. BTW I can take a 47% system and constantly make money be good money management.
I have noticed that the ES has not been doing as well in April, it did better in May. I have been trading this well over a year and notice times of extrema accuracy and then times of churning like April which is why I want traders to go over the charts and come to there on conclusion but I will tell you 2months is no where as near long enough in testing something like this, I don't think its very fare to me to take the worst month this year and this month which is so-so and say its only 56%, there are some weeks where its only 20% right, thats not fare as well and other times its 100% right in a week thats not fare as well. All I am saying is I keep a running avg on it and it stays 72%-76% over 2 years. Since we are running a little behind in the percentage starting in June would be a good time to add contracts. 30B that is, the 5B is not something I automate because it does better winging it. BTW I can take a 47% system and constantly make money be good money management.
BTW TF with a 2point target/stop loss does much better $wise.
[/quote]
I have a question about your stop.
If you buy the breakout of hi then you entry is at hi+1 tick, so you should have a profit target of 2.25 and a stop loss of 2.75.
[/quote]
Yes, let's suppose you have perfect entrance with no slippage at all. It would mean 1 tick above the high and so a profifit of 2,25 and a stop of 2,75. You are right! First mistake by my side! The results should be adjusted with +2,25 / -2,75. And accuracy of course gets worse...
I believe that if we set a target of 2,5 from the high it cannot be shifted as a consequence of a poor order fill at the breakout. So if we get 5 ticks of slippage the profit would be 1,25
I have a question about your stop.
If you buy the breakout of hi then you entry is at hi+1 tick, so you should have a profit target of 2.25 and a stop loss of 2.75.
[/quote]
Yes, let's suppose you have perfect entrance with no slippage at all. It would mean 1 tick above the high and so a profifit of 2,25 and a stop of 2,75. You are right! First mistake by my side! The results should be adjusted with +2,25 / -2,75. And accuracy of course gets worse...
I believe that if we set a target of 2,5 from the high it cannot be shifted as a consequence of a poor order fill at the breakout. So if we get 5 ticks of slippage the profit would be 1,25
Joe,
Sure 1 month is not enough to come to conclusions... Anyway I took (almost) 3 months and I would have considered much more if only my software would allow me to get back further...
What I can do is to keep on testing it starting from june. I believe that after 6 months we can have some reliable results.
My personal opinion is that 75% on a pure mechanical basis, with no filtering and discretionary actions, would be a very ambitious target barely reachable. I've read the book of Toby Crabel some time ago. He was the one who first came out with this method (even if he used a "stretch" on hi/low breakout) and I don't remember such a high accuracy with results.... But I need to check.
Let me ask you something Joe. Sorry if you already mentioned but I'm quite new here... How are you running your test on 30B? Real trading or sim? Day by day or backward on past data? Mechanically or with some discretionary filtering? This would make a grat difference...
Sure 1 month is not enough to come to conclusions... Anyway I took (almost) 3 months and I would have considered much more if only my software would allow me to get back further...
What I can do is to keep on testing it starting from june. I believe that after 6 months we can have some reliable results.
My personal opinion is that 75% on a pure mechanical basis, with no filtering and discretionary actions, would be a very ambitious target barely reachable. I've read the book of Toby Crabel some time ago. He was the one who first came out with this method (even if he used a "stretch" on hi/low breakout) and I don't remember such a high accuracy with results.... But I need to check.
Let me ask you something Joe. Sorry if you already mentioned but I'm quite new here... How are you running your test on 30B? Real trading or sim? Day by day or backward on past data? Mechanically or with some discretionary filtering? This would make a grat difference...
(duplicate post in "Mini I.B. vs 7am-9am Breakout" thread)
I have been a member of mypivots for a little over a year now, using the posts as a springboard for learning about the futures and currency markets – I’ve really appreciated the research and insight of so many of the contributors.
I’m now at the point where I’d like to begin systematically back testing one or two strategies for potential trading. I like the concept of breakouts (just finished Fisher, currently reading Crabel) – this thread and Charter Joe's 7am-9am GBP/USD Breakout thread are especially interesting in this regard.
I’d appreciate some advice from the folks here. The IB and 7-9 threads are now over a year old: do both concepts still perform reasonably well in live trading? If so, which of these would you recommend that I begin my back testing with:
1. The 30B
2. The 5B
3. The 7-9 currency breakout
I have a full time job so I need a scheduled window of time to trade in. I plan to trade single lots, primarily intraday. I am methodical by nature and prefer smaller, steady gains to wild gains… and wild losses.
Any thoughts gratefully received! Thanks.
Isaac
I have been a member of mypivots for a little over a year now, using the posts as a springboard for learning about the futures and currency markets – I’ve really appreciated the research and insight of so many of the contributors.
I’m now at the point where I’d like to begin systematically back testing one or two strategies for potential trading. I like the concept of breakouts (just finished Fisher, currently reading Crabel) – this thread and Charter Joe's 7am-9am GBP/USD Breakout thread are especially interesting in this regard.
I’d appreciate some advice from the folks here. The IB and 7-9 threads are now over a year old: do both concepts still perform reasonably well in live trading? If so, which of these would you recommend that I begin my back testing with:
1. The 30B
2. The 5B
3. The 7-9 currency breakout
I have a full time job so I need a scheduled window of time to trade in. I plan to trade single lots, primarily intraday. I am methodical by nature and prefer smaller, steady gains to wild gains… and wild losses.
Any thoughts gratefully received! Thanks.
Isaac
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