Was backtesting another system. Original plan was to develop it for long options, but again...
This is for 30 Min NF - SAR - no adds - wide SAR/SL. Trades based on trend and high volume bars. Trend is identified using multiple moving averages, similar to Guppy. And high volume bars get special treatment.
System mostly gives 1 trades, rarely gives 3 trades, and on occasion Dec 26, gave 4 trades.
I liked the results better than those of this system...
http://www.traderji.com/trading-diary/90116-dasara-system-52.html#post924533. So I have chucked that system, and used this system today. I plan to trade this system with a position size 50% of my ORB trades.
Results of all trades from August until yesterday:
Code:
Month Trades Gross pts Cost=2 pts Cost=3 pts Cost=4 pts Cost=5 pts Cost=6 pts Avg. Gross
Aug 30 560.00 500.00 470.00 440.00 410.00 380.00 18.67
Sep 25 337.75 287.75 262.75 237.75 212.75 187.75 13.51
Oct 34 305.12 237.12 203.12 169.12 135.12 101.12 8.97
Nov 27 121.05 67.05 40.05 13.05 -13.95 -40.95 4.48
Dec 30 23.30 -36.70 -66.70 -96.70 -126.70 -156.70 0.78
Jan 21 165.40 123.40 102.40 81.40 60.40 39.40 7.88
167 1512.62 1178.62 1011.62 844.62 677.62 510.62 9.06
Now the stats breakup for the first trades, second trades, etc.
First trade
Code:
Trade 1
Month Trades Gross pts Cost=2 pts Cost=3 pts Cost=4 pts Cost=5 pts Cost=6 pts Avg. Gross
Aug 22 458.20 414.20 392.20 370.20 348.20 326.20 20.83
Sep 19 384.65 346.65 327.65 308.65 289.65 270.65 20.24
Oct 23 264.12 218.12 195.12 172.12 149.12 126.12 11.48
Nov 18 129.55 93.55 75.55 57.55 39.55 21.55 7.20
Dec 19 137.70 99.70 80.70 61.70 42.70 23.70 7.25
Jan 14 -8.95 -36.95 -50.95 -64.95 -78.95 -92.95 -0.64
115 1365.27 1135.27 1020.27 905.27 790.27 675.27 11.87
Second trade
Code:
Trade 2
Month Trades Gross pts Cost=2 pts Cost=3 pts Cost=4 pts Cost=5 pts Cost=6 pts Avg. Gross
Aug 8 101.80 85.80 77.80 69.80 61.80 53.80 12.73
Sep 6 -46.90 -58.90 -64.90 -70.90 -76.90 -82.90 -7.82
Oct 9 91.75 73.75 64.75 55.75 46.75 37.75 10.19
Nov 6 -70.30 -82.30 -88.30 -94.30 -100.30 -106.30 -11.72
Dec 7 -53.35 -67.35 -74.35 -81.35 -88.35 -95.35 -7.62
Jan 5 121.40 111.40 106.40 101.40 96.40 91.40 24.28
41 144.40 62.40 21.40 -19.60 -60.60 -101.60 3.52
Third trade
Code:
Trade 3
Month Trades Gross pts Cost=2 pts Cost=3 pts Cost=4 pts Cost=5 pts Cost=6 pts Avg. Gross
Aug 0 0.00 0.00 0.00 0.00 0.00 0.00 #DIV/0!
Sep 0 0.00 0.00 0.00 0.00 0.00 0.00 #DIV/0!
Oct 2 -50.75 -54.75 -56.75 -58.75 -60.75 -62.75 -25.38
Nov 3 61.80 55.80 52.80 49.80 46.80 43.80 20.60
Dec 3 -55.60 -61.60 -64.60 -67.60 -70.60 -73.60 -18.53
Jan 2 52.95 48.95 46.95 44.95 42.95 40.95 26.48
10 8.40 -11.60 -21.60 -31.60 -41.60 -51.60 0.84
Fourth trade
Code:
Trade 4
Month Trades Gross pts Cost=2 pts Cost=3 pts Cost=4 pts Cost=5 pts Cost=6 pts Avg. Gross
Aug 0 0.00 0.00 0.00 0.00 0.00 0.00 #DIV/0!
Sep 0 0.00 0.00 0.00 0.00 0.00 0.00 #DIV/0!
Oct 0 0.00 0.00 0.00 0.00 0.00 0.00 #DIV/0!
Nov 0 0.00 0.00 0.00 0.00 0.00 0.00 #DIV/0!
Dec 1 -5.45 -7.45 -8.45 -9.45 -10.45 -11.45 -5.45
Jan 0 0.00 0.00 0.00 0.00 0.00 0.00 #DIV/0!
1 -5.45 -7.45 -8.45 -9.45 -10.45 -11.45 -5.45
The first trade on the average is +ve for all months except the current month.
The second and third trades are also +ve, but not consistently. This month the second trade is hugely +ve, because it caught the reversal on 2nd Jan. I'll ignore the fourth trade.
So, first trade is the key. What then is the purpose of this system? If I have to take only 1 trade/day, and that is on the average +ve, why not just keep trading plain vanilla ORB?
From my backtests (and my trials over the last 18 months), I keep finding that plain simple ORB is hard to beat as a mechanical day trading system. Maybe i am not backtesting the right systems - for example, i have never seriously tried a target based system.
Anyway, I am happy with the results of this system. This gives me a reason to hang around with M30 charts, whenever I am stopped out of ORB :rofl:. I can try tweaking and testing this for lower timeframes, but I am not expecting anything much from it.
Today's Bauni trades per this system:
Short below 11 AM bar, SAR to long above 2:30 bar, and still long... so a losa day, i think.
ORB is still short from 6330, current SL at 6339.