cajam

Not sure if this thread is still active but in case someone wanders in. I have done quite a bit of data mining with easylanguage. Developing mechanical systems based on EOD data. From my experiences I found a few tendencies that can be turned into decent mechanical systems (that meet my own criteria anyway!). The key I found was keeping it as simple as possible. For example the best I found was not using any indicators and just looking at the HLOC relative to each other over 2 to 5 days (eg. Gaps). Other interesting tendencies come from volatility analysis (range expansion or contraction). IMO you need results that give you >50-60 occurrences per year and that work without too much variance for 10 years + or even 20 years (Gaps). I also agree there are many traps but a little bit of research can overcome this (check the link below!). There are some successul traders using this approach at http://www.thechartist.com.au/forum/ubbthreads.php and a wealth of info. Cam

Thank you for the warm welcome, I hail from Sydney south coast (Wollongong area) With regards to my market choice, to be honest I have not looked past the local market yet. I am told the Heng Seng is brutal with regards to slippage, I have looked at it EOD for mech system trading but not intra day yet. I am very new to the intra day time frame. My goal is to trade systematicly on very short swings that give 20+ signals per day. I want to apply my edge as many times per day as possible to average out the winners and losers. Interestingly all the short term EOD systems I have designed were counter trend, shorting extremes etc but I am more comfortable with trend approaches in day trading I have been watching the SPI Tick data and am looking at trading micro break outs with a 3 point stop, 4point target or trail for about 8 - 10 points. So far I have come up with some good setups that backtest fairly well but I have only got 2 weeks of data so far. I am using an IB connection through Ninjatrader and recording each day. My basic method is as follows: {define trend - Higher highs, Higher lows (Uptrend) If I am in an uptrend and receive a lower High, I will look to short the break from the previous Low pivot. I will also take the first continuation break out.} I have a variety of filters to keep me out of periods when my setup fails (at the top and bottom of Trading ranges etc.). It seems the first 15 - 20 minutes and last 20 -30 minutes are the worst times for this setup as it is too choppy at those times on a tick chart. With no filters if I take every signal during a day 40+ it seems to be a profitable strategy but sometimes there is a string of losses 4-5 that hurt. Still in the early stages but am committed to working out a strategy that fits this lucrative time frame.

My name is Cameron I have just started intra day trading the SPI200 futures. I have been demo trading and live trading on and off as I develop my techniques. I have developed some mechanical trading systems using TradeStation that are profitable but I find it too slow (EOD). I am manually backtesting my intraday approach which is a bit of an ajustment for me but I feel closer to the price action and able to design systems that i couldn't possibly program. I think this is one of the best forums I have come across and appreciate the generosity of its members. I will endeavor to reciprocate. Thankyou. Cameron