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GFIs1 1 DAX trade per day journal
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GFIs1 1 DAX trade per day journal

  #381 (permalink)
Elite Member
Bangkok, Thailand
 
Futures Experience: Intermediate
Platform: Matlab, Self-Made Platform
Favorite Futures: GC, CL, Forex
 
Posts: 139 since Mar 2011
Thanks: 284 given, 159 received

Statistical Analysis - whole data

I ran the same tests with the whole data available (since the beginning of published scores) and found out amazing results. GFIs1, you sir are a genius (or then some of the data is not correct)!

Number of trades: 148
Mean points per trade: +6.9
Standard deviation of trade: 32.0 points
Average winning trade: 31.7 points
Average losing trade: -20.6 points
Winning percentage: 52.0%
Risk/reward ratio: 1.54:1

Assuming 75000EUR starting capital:

Annual Volatility: 13.6%
Annualized Sharpe Ratio (assuming 4% risk free rate): 3.03
GACR: 55.4%

Monte Carlo (100k repetitions) results yielded chance of positive score: 99.6%

Attached MC simulation and data.

Edit: Starting capital amount corrected for volatility, sharpe and gacr calculations... (90k -> 75k)

Attached Thumbnails
GFIs1 1 DAX trade per day journal-gfis1_mc2.png  
Attached Files
Register to download File Type: txt GFIs1_trades.txt (2.4 KB, 13 views)

Last edited by rounder8; September 1st, 2012 at 04:17 AM.
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  #382 (permalink)
loeser
Belgium/Antwerp
 
Futures Experience: Beginner
Platform: Metatrader4
Favorite Futures: Eur/Usd, s&p, DAX, DOW
 
Posts: 20 since Apr 2012
Thanks: 3 given, 11 received

GFIs1 has a very good system and is a good trader.
One question, where is the Stop loss in case of wrong trade ? How many points ?

Keep on going GFIs1. Nice thread.

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  #383 (permalink)
Market Wizard
Switzerland
 
Futures Experience: Intermediate
Platform: Investor/RT
Broker/Data: IB / DTN
Favorite Futures: Futures
 
Posts: 4,077 since Feb 2012
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Forum Reputation: Legendary

SL settings


Thanks @loeser

SL settings are for normal days (>90% of time) 30 points,
on special days with foreseen high volatility 40 points.

This means a calculated maximum loss of 750 to 1'000 € per car and trade.
Data based on futures dealed with Interactive Brokers.

GFIs1

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  #384 (permalink)
Trading for Fun
Vienna Austria
 
Futures Experience: Advanced
Platform: Sierra Chart
Favorite Futures: NQ, FGBL, 6E, GC
 
Posts: 117 since Mar 2012
Thanks: 16 given, 65 received

I'm curious on one aspect, the spread this week (TT FIX feed from Velocity) barely managed to stay at 0.5 pips, ive seen it bounce around in the 1.0 points area (spread) and deviating from the last traded price by quite a bit.

Anybody else have this issue this week on the FDAX?

FGBL stayed stable as it usually does but dax was simply a disaster to scalp on m1 with the spread, with 5 point stopouts it really kills some of your positions =/

Nice charts as usual

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  #385 (permalink)
Elite Member
Bangkok, Thailand
 
Futures Experience: Intermediate
Platform: Matlab, Self-Made Platform
Favorite Futures: GC, CL, Forex
 
Posts: 139 since Mar 2011
Thanks: 284 given, 159 received


Amnesia View Post
I'm curious on one aspect, the spread this week (TT FIX feed from Velocity) barely managed to stay at 0.5 pips, ive seen it bounce around in the 1.0 points area (spread) and deviating from the last traded price by quite a bit.

Anybody else have this issue this week on the FDAX?

FGBL stayed stable as it usually does but dax was simply a disaster to scalp on m1 with the spread, with 5 point stopouts it really kills some of your positions =/

Nice charts as usual

According to my observations more than 1 tick (0.5 points) bid/ask spread is quite normal on DAX because it's such a thinly traded market when compared to for example FESX or even FGBL. During Bernanke's speech it was quite normal to have bigger spreads due to market getting more volatile and less liquid thus potentially causing stop loss slippage.

Something to consider:
Algos Set New Speed Reading Record: 4549 Words In 20 Milliseconds | ZeroHedge

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  #386 (permalink)
Market Wizard
Switzerland
 
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Labour Day

NO GFIs1 Dax trade today - calm trading on US labour Day expected - within friday's range.

GFIs1

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  #387 (permalink)
Market Wizard
Switzerland
 
Futures Experience: Intermediate
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Tuesday trade

Dax short from 11:00 to 15:00

entry @ 6995

exit @ 6990

result plus 5 points

risk - medium

outlook - some consolidation to start the week

GFIs1


Last edited by GFIs1; September 4th, 2012 at 09:02 AM.
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  #388 (permalink)
loeser
Belgium/Antwerp
 
Futures Experience: Beginner
Platform: Metatrader4
Favorite Futures: Eur/Usd, s&p, DAX, DOW
 
Posts: 20 since Apr 2012
Thanks: 3 given, 11 received


GFIs1 View Post
Dax short from 11:00 to 15:00

entry @ 6995

exit @

result

risk - medium

outlook - some consolidation to start the week

GFIs1

Morning, I have 6978 - 6966 - 6930.8 - 6883.1

I agree with short. Let's see. Good luck GFIs 1

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  #389 (permalink)
loeser
Belgium/Antwerp
 
Futures Experience: Beginner
Platform: Metatrader4
Favorite Futures: Eur/Usd, s&p, DAX, DOW
 
Posts: 20 since Apr 2012
Thanks: 3 given, 11 received

exit trade

GFIs, you finished the trade at 3 PM West European time.
You could catch more if you stayed in on go out early ?

Thanks.

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  #390 (permalink)
Market Wizard
Switzerland
 
Futures Experience: Intermediate
Platform: Investor/RT
Broker/Data: IB / DTN
Favorite Futures: Futures
 
Posts: 4,077 since Feb 2012
Thanks: 3,765 given, 7,527 received
Forum Reputation: Legendary



loeser View Post
GFIs, you finished the trade at 3 PM West European time.
You could catch more if you stayed in on go out early ?

Thanks.

You are right: "Today!!"
But normally (after the GFIs1 rules) after a US holiday a start into a new week
may be THE turning point..
Thus a exit (over all holiday over weekend trades) might get a better result by
exiting before US really starts moving. (At least we got some points over all;-) )

On the other thread
https://futures.io/trading-journals/22509-gfis1-dax-big-move-swing-trade-approach-2.html
you can follow exactly that longer term approach.

GFIs1

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