Lisknig
04-22-2016,
Well guys, having done some serious research last night and modified my existing trading method to the extent that it still gives me an "edge", i thought i would share the strategy/method that started it all off many moons ago
as i have alluded to in posts elsewhere on the site, the "indicator" that i have devised doesnt take into account the close, only the highs/low of each day. the "indicator" doesnt lag at all - it is simply an expression of the latest bars action to that of the bar immediately preceeding it.
in the chart attached to this post, i have included a chart of the closing prices of the FTSE100 for 2003, coupled with the BUY points marked in GREEN and the SELL points marked in RED.
as you can see, in choppy action this system works well, but doesnt cope too well with impulsive action. I have chosen 2003 as my example year, partly because showing the points of the last few years would have made the chart unclear, and secondly that 2003 wasnt the greatest year for the system (owing to the long trend we had), when it performed relatively poorly, but still turned a respectable profit.
from my calculations, 2003 yielded the follwing stats
Total Points 1026
58 Trades
43 Winners (win rate 74%)
points per trade 17.7 (pretty poor actually)
this is a truly poor year. 2002 for example was:
Total points 1777
70 trades
46 winners (win rate 66%)
points/trade 25.3 (more in line with historical averages)
whether this system is now past its best is debatable, but hopefully it can give the rest of you guys inspiration for your own systems. it certainly got me thinking.
this one suffers from fairly large drawdowns, but as long as the stake size is kept relatively small (for spreadbetting i use ?1 stake for every ?1,500 in my trading fund - quite conservative) then there shouldnt be too much drawdown.
the rules are::
1) Calculate the Average of the High and Low for today's trading day
2) if today's average is 20 points HIGHER than yesterday's average, then SELL at the CLOSE
3) if todays average is 20 points LOWER than yesterday's average, then BUY at the CLOSE.
4) thats it - its a simple Stop and Reverse strategy. hold a position until you get an opposite signal.
i have tinkered with it somewhat to minimise the drawdowns etc, but at the moment, these methods shall remain somewhat secret lol.
comments as usual are most welcome.
it works to some extent on the DOW, but the points/trade level is almost the same, and we all know how the DOW whips around like a beastie, hence why i prefer to trade it on the FTSE (plus the more sociable hours!!)
FC
Attached Files
File Type: xls buy sell points chart.xls (35.5 KB, 1093 views)
FetteredChinos is offline Reply With Quote
Old FEB 19, 2004, 11:58AM
as i have alluded to in posts elsewhere on the site, the "indicator" that i have devised doesnt take into account the close, only the highs/low of each day. the "indicator" doesnt lag at all - it is simply an expression of the latest bars action to that of the bar immediately preceeding it.
in the chart attached to this post, i have included a chart of the closing prices of the FTSE100 for 2003, coupled with the BUY points marked in GREEN and the SELL points marked in RED.
as you can see, in choppy action this system works well, but doesnt cope too well with impulsive action. I have chosen 2003 as my example year, partly because showing the points of the last few years would have made the chart unclear, and secondly that 2003 wasnt the greatest year for the system (owing to the long trend we had), when it performed relatively poorly, but still turned a respectable profit.
from my calculations, 2003 yielded the follwing stats
Total Points 1026
58 Trades
43 Winners (win rate 74%)
points per trade 17.7 (pretty poor actually)
this is a truly poor year. 2002 for example was:
Total points 1777
70 trades
46 winners (win rate 66%)
points/trade 25.3 (more in line with historical averages)
whether this system is now past its best is debatable, but hopefully it can give the rest of you guys inspiration for your own systems. it certainly got me thinking.
this one suffers from fairly large drawdowns, but as long as the stake size is kept relatively small (for spreadbetting i use ?1 stake for every ?1,500 in my trading fund - quite conservative) then there shouldnt be too much drawdown.
the rules are::
1) Calculate the Average of the High and Low for today's trading day
2) if today's average is 20 points HIGHER than yesterday's average, then SELL at the CLOSE
3) if todays average is 20 points LOWER than yesterday's average, then BUY at the CLOSE.
4) thats it - its a simple Stop and Reverse strategy. hold a position until you get an opposite signal.
i have tinkered with it somewhat to minimise the drawdowns etc, but at the moment, these methods shall remain somewhat secret lol.
comments as usual are most welcome.
it works to some extent on the DOW, but the points/trade level is almost the same, and we all know how the DOW whips around like a beastie, hence why i prefer to trade it on the FTSE (plus the more sociable hours!!)
FC
Attached Files
File Type: xls buy sell points chart.xls (35.5 KB, 1093 views)
FetteredChinos is offline Reply With Quote
Old FEB 19, 2004, 11:58AM