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swansjr

Universal on ES 5-Minute Chart

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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

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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

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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

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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.

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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.

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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

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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.

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