windsurfer

weiwei, which products did you trade?

You might try the euro as being a better trending product. I conclude Universal is not profitable enough for the equity indices.

It sounds like a good system. I wouldn't try to guess long or short as long as you're not fighting the trend of the day. Good luck.

I have a quibble with the "learn from your experience" school of trading. 1. Methods that work for a beginning trader in the short-term may very well not work longer term. Almost every good system has losing months. Almost every bad system has winning months. My point here is that you cannot trust short term personal experience. 2. There are good methods. Some have been shared. Find them. Following them may very well lead to better results than personal experience. In addition, trying to adapt them and improve them will often be a better use of time than looking at your own trades. 3. I favor the "scientific" school. Learn the pitfalls of testing- there are some good books and articles on this. But then test. Use multiple systems. Keep detailed records. Trade scientifically. Retire young.

Thx for tracking this. So far, not good enough, I'd say. But close enough to keep watching for a few months.

Certainly I will concede that there is a difference between a trend and a trend trading system. My focus is on the latter, and my statement to be more precise is that the common trend trading systems (MAX, MACD, B/out) do not yield positive returns on daily equity index data. I also agree that you can with optimization find positive results- simply reversing slow and fast variables in MACD will do it, but that is hardly trend-trading.. I'm catching a flight now to a conference (not trading) and won't be able to respond further until Monday.

Hi db, Per my first post, I agree with you that there are intraday trends that can be profitably traded, although it has been more difficult recently. Perhaps others have also found this. btw, I found yesterday more difficult than you did, db. (smiling).

Oops- that was a long only example. Here is the result using a standard (12,26,9) MACD long and short on 10 year daily ES data with $25 RT for slippage and commssion..

Hi Thales, I meant unprofitable. I attach a performance report on a simple Moving Average Crossover as an example.

"Means nothing" unless I define 3 basic trading terms? Hmmm. I'll give 1 example before I go. Take your favorite trend system (MA cross, MACD, breakout) and run it on a daily chart of the ES for the last 10 years. What do you find? Now I'll bow out and let the trading myths and anecdotes continue.

It seems everyone agrees that trend-trading works, although the evidence presented seems mostly anecdotal. FWIW, here is what my testing shows: 1. swing and long-term trading- trend trading does not work for stock index futures (e.g. ES) and has not worked for many years. Still works generally for commodities, although not in the last year. 2. day trading- will work with the right strategy (such as mentioned by many of the contributors), but not so much this year, where there have been an inordinate number of afternoon reverses- look at yesterday (June 10) for example.

I think $25 - $30 is right when I compare my actual trades to my backtested results.

I don't think Cluster is as good as Universal. btw, I suggest that you have to adjust the Clayburg Universal results on the videos because his numbers are without slippage and commission. He justifies the no slippage because he says they are limit orders- but in the real world some of these won't get filled. I suggest $30 per RT. He trades about 700 contracts on the videos spreadsheet a day- so I believe he needs to make $21,000 per day to break even. I assume others will disagree....

Barry, I'm on the road on my annual trip north for the summer. I'd like to look at your inputs, but won't be able for a week. I'd suggest you start by taking out all profit targets and stops. If you get valid results, add additional inputs 1 at a time. Start with a very large stop, then narrow it. You should also start with a longer period, such as 6 months, using @ES as your symbol. Good luck!

Using the clone and looking at optimized backtest results, my conclusion is that it will not be sufficiently profitable for the ES. For a 5 minute chart, I used 9,13,6,7 as the inputs to get a result that would barely cover slippage and commissions. I had better results on the 113 tick EC using 23,11,5 and 20. I changed other inputs (session time, stops, etc) where appropriate. Of course, what works now often will not persist for long. I'll autotrade it on 1 contract and see what happens. Today it lost $250. For the time being, I'm not going to bother trying to adjust the inputs to the supposed best inputs for the day. In fairness to Dr. C, making these adjustments is in his view a necessary part of his system, and therefore my results cannot be validly used to compare with those of his clients. Comments or suggestions?

The add-on is neat, but is an additional $4500! This price is ridiculous. I'd think it could be coded by a TS user who is familiar with parallel functions. It merely runs the equity curve of 20 or so variations of the Mo and RSI variables on a single chart (e.g. the 5 min YM) so you can visually see which are performing best early in the trading day. It relies on a major assumption- that the variables at the beginning of the day that are the best for a daytrading system will continue to be profitable the rest of the day. I am unaware of any research on this assumption. Any thoughts?

Thank you for starting this thread. I see Clayburg has a new add-on. It gives the results of varying parameters for the pre-market and opening. The idea is you pick the best parameters for that day, and change them in the same manner every day. It is strange but true that he does not give actual results. He does show his system trades every day, but does not have slippage nor a count of the number of trades, which must be in the hundreds. His best results seem to come from currencies. It does seem profitable, but the results disclosure is just too vague to purchase. I look forward to seeing how the clone test goes. I'd suggest trying it on the Euro first.