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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
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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
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Futures Experience: Beginner
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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
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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
 
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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)
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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:
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  #386 (permalink)
Market Wizard
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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
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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
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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
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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
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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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