Saturday, May 5, 2012

Statistics of my automated trading systems

My automated trading systems are profitable even without these discretionary filters:
  • Not trading prior to news events (or if in a position using a wider than ATR stop
  • Not taking new trades when the market moves against a resistance level (hard to automate the detection of such levels)
  • Market correllation (S+P hit major resistance level other markets most likely will stop as well)

    Most of them run on 3 min charts (180 sec. means they run on the RTH session not on a 24h chart):
generated over a period of the last two years following equity curves with a one lot position size:





Dax Future (FDAX):
10 min abovebelow prior days high/low


3 Min Sell below Prior Low on Monday and Friday if prior day closed above its 50% line (exit at close):


3 Min Buy after price was below prior days low after 3.30 am and then priced moved up again by
broking above the high of prior two bars  (12 ticks profittarget) vice versa for shorts:


Following fdax strategies rely on limit orders that are filled (so in livetrading if the position did not get filled at the target at least a breakeven trade is possible):


3 Min Buy and Sell at 50% of prior days range (before 10.30 am, 60 ticks target):


3 Min Long after Open (entry on prior bar low if current day low is higher than prior days low, 12 ticks profit target, but only between 3.03 am and 3.09 am)

3 Min Sell at 50% of todays range (target 12 ticks or discretionary a new low):
3 Min Buy at 50% of todays range (target a new high):

3 Min Buy New Low if low as above prior days low (after 2.30 am, after 5 am sell a new high, 12 ticks profit target) or buy day before yesterdays low if prior days low was not lower.




Crude Oil (CL):

3 min buy new low after 4 am (12 ticks profit target)


3 min short below opening bar


3 min long above opening bar (above prior days high and below max high of prior two weeks
or after 9.33 am below prior days low)



3 min oops:



E-Mini Nasdaq (NQ):

3 min outside (buy above prior day high on 10.03 am, and short if the open was below prior days low):

3 min gapfill long if low is above prior days low and min. 12 ticks distance to prior close:

The following strategies are not perfect as they rely on the fact that there needs to be a trend change
so trading discretionary 50% entries are much better:

E-Mini Dow (YM):


3 min buy prior session low (exit on profitable close or next day opening):



3 min buy new low (12 ticks target):



3 min outside  (buy above prior day high on 9.51 am and 10.03 am):


Gold (GC):

Outside Gap (continue short if market opens below prior days low)
Oops (trade long if market is below but rises again higher than prior days low )

Note: All (except crude oil) Buy Prior Day Low strategies are executed on a 24 hour chart :


3 Min Buy prior days low if prior low was higher than day before yesterdays low (after 4.30 am, target prior close):


Dow:
24 hour chart exit on profitable close


Fgbl (before 4 am):
3 min buy with a stop order prior day with 20 ticks target


Fdax:
3 min buy with a stop order prior day with 20 ticks target


Crude Oil:
3 min buy prior day and day before yesterdays low with a 60 ticks profittarget (after 9.00 am):





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