Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

swansjr

Universal on ES 5-Minute Chart

Recommended Posts

I would like the test a 5-minute setup on the ES market. The settings are listed below. If I remember correctly these chart settings were optimized by Clayburg last fall (fall 2008) and have not been modified since. The first test was started on May 11, 2008. The test simply consists of create a chart with the proper settings (see below) and allowing it to "trade" on live market data. I hope to track the performance over a series of weeks and/or months.

 

Start Time 845

End Time 1500

Close Time 1505

Cntracts 2

Target 1 9

Target 1 Cntracts 1

Target 2 0

Target 2 Cntracts 0

Target 3 0

Target 3 Cntracts 0

Pos Trail Toggle 0

Pos Trail 0

Target 1 Stop Toggle 0

Target 1 Stop 0

Initial Stop Loss 150

B1 20

S1 11

B2 7

S2 13

Toggle Equity Out 0

Equity Floor 0

Equity Trail 0

Max Trades 1000

Day Loss 600

Share this post


Link to post
Share on other sites

Week #1 Summary

 

The first week proved to be positive as it captured a decent chuck of the major trend. The best day was Tuesday, pictured below. One week down. Many more to test.

 

DATE TRADES GROSS P&L

5/11/2009 2 -$600

5/12/2009 4 $1,588

5/13/2009 2 $50

5/14/2009 2 $650

5/15/2009 2 $25

 

 

P&L: $1,713

 

attachment.php?attachmentid=10793&stc=1&d=1242672214

LiveTest_Week_01.jpg.752431392a9a7290e1b4877cd4999bd4.jpg

Share this post


Link to post
Share on other sites

Not too hot this week as the system was whipped around on the non trending days like Friday. Seems typical. The Universal needs trending markets.

 

SYMBOL DATE TRADES NET PROFIT

@ES 5/11/09 2 -$600

@ES 5/12/09 4 $1,588

@ES 5/13/09 2 $50

@ES 5/14/09 2 $650

@ES 5/15/09 2 $25

@ES 5/18/09 2 1187.5

@ES 5/19/09 2 -600

@ES 5/20/09 2 -600

@ES 5/21/09 4 50

@ES 5/22/09 2 -600

SUM 24 $1,150

 

attachment.php?attachmentid=10890&stc=1&d=1243041242

ES_20090522.jpg.dbd629de84b6a43e3d9d3dcea24b2e1d.jpg

Share this post


Link to post
Share on other sites

I am testing the universel clone on the ym. I use range bars only

ym is 25 range bar. ES is 3.3 range bar. ym seems to be doing

good 20 day backtest and running in sim. for 4 days has a

profit factor long trade 6.29 4 wins 1 loss. Short side profit factor

3.66 9 wins 2 loss'es. ES not so good.

Share this post


Link to post
Share on other sites
Thx for tracking this. So far, not good enough, I'd say. But close enough to keep watching for a few months.

 

I agree. I stopped updating every week because it was too time consuming. I want to do it once a month or at most, twice a month. I'm also working on some spreadsheets to help quantify the results.

Share this post


Link to post
Share on other sites

Here is an update through July 2, 2009. Please note, around June 2nd I changed the maximum day loss from $600 to $500.

 

Summary

 

attachment.php?attachmentid=11878&stc=1&d=1246580321

 

These attachments contain more detail.

 

ES_June_Update_1.png.9644c2799de1f6cc2a810cf6e5c7653c.png

 

ES_June_Update_2.thumb.png.87bac6dc04ce1b52a68662b152f33bd3.png

ES_June_Summary.png.03344accadbb34ed0bf7f74c62e3003c.png

Share this post


Link to post
Share on other sites
The big problem with this Universal system is slippage is not factored in.

 

That's true. A lot of systems don't include slippage or commissions. The above stats do have commissions, but not slippage. More than half the transactions in my tests are limit orders and the rest are market orders.

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • I'm pretty sure that a Russian resident would say that recessions are real today. Their prime interest rate is 21%, their corporate military contractors are threatening to file bankruptcy, and sticks of butter are kept under lock and key in their grocery stores because shoplifters are stealing it in bulk so they can resell it on the black market. A downturn is cyclical until it turns into a collapse. I really don't think anyone will be buying-into this mess.😬
    • Well said. This principle is highly analogous to trading. Any human can easily click buy or sell when they "feel" that price is about to go up or down. The problem with feeling, commonly referred to as "instinctive" trading, is that it cannot be quantified. And because it cannot be quantified, it cannot be empirically tested. Instinctive trading has the lowest barrier to entry and therefore returns the lowest reward. As this is true for most things in life, this comes as no surprise. Unfortunately, the lowest barrier to entry is attractive to new traders for obvious reasons. This actually applied to me decades ago.🤭   It's only human nature to seek the highest amount of reward in exchange for the lowest amount of work. In fact, I often say that there is massive gray area between efficiency and laziness. Fortunately, losing for a living inspired me to investigate the work of Wall Street quants who refer to us as "fishfood" or "cannonfodder." Although I knew that we as retail traders cannot exploit execution rebates or queues like quants do, I learned that we can engage in automated scalp, swing, and trend trading. The thermonuclear caveat here, is that I had no idea how to write code (or program) trading algorithms. So I gravitated toward interface-based algorithm builders that required no coding knowledge (see human nature, aforementioned). In retrospect, I should never have traded code written by builder software because it's buggy and inefficient. However, my paid subscription to the builder software allowed me to view the underlying source code of the generated trading algo--which was written in MQL language. Due to a lack of customization in the builder software, I inevitably found myself editing the code. This led me to coding research which, in turn, led me to abandoning the builder software and coding custom algo's from scratch. Fast forward to the present, I can now code several trading strategies per day across 2 different platforms. Considering how inefficient manual backtesting is, coding is a huge advantage. When a new trading concept hits me, I can write the algo, backtest it, and optimize it within an hour or so--across multiple exchanges and symbols, and cycle through hundreds of different settings for each input. And then I get pages upon pages of performance metrics with the best settings pre-highlighted. Having said all of this, I am by no means an advanced programmer. IMHO, advanced programmers write API gateways, construct their own custom trading platforms, use high end computers with field programmable gateway array chips, and set up shop in close proximity to the exchanges. In any event, a considerable amount of work is required just to get toward the top of the "fishfood"/"cannonfodder" pool. Another advantage of coding is that it forces me to write trade entry and exit conditions (triggers) in black & white, thereby causing me to think microscopically about my precise trade trigger conditions. For example, I have to decide whether the algo should track the slope, angle, and level of each bar price and indicator to be used. Typing a hard number like 50 degrees of angle into code is a lot different than merely looking at a chart myself and saying, that's close enough.  Code doesn't acknowledge "maybe" nor "feelings." Either the math (code) works (is profitable) or doesn't work (is a loser). It doesn't get angry, sad, nor overly optimistic. And it can trade virtually 24 hours per day, 5 days per week. If you learn to code, you'll eventually reach a point where coding an algo that trades as you intended provides its own sense of accomplishment. Soon after, making money in the market merely becomes a side effect of your new job--coding. This is how I compete, at least for now, in this wide world of trading. I highly recommend it.  
    • VRA Vera Bradley stock watch, pull back to 5.08 support area at https://stockconsultant.com/?VRA
    • MU Micron stock watch, pull back to 102.83 gap support area with high trade quality at https://stockconsultant.com/?MU
    • ACLX Arcellx stock watch, trending at 84.6 support area with bullish indicators at https://stockconsultant.com/?ACLX
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.