My trading plan is based on the weekday statistics of the DAX. The entry and exit times instead have several
extra rules - based on Ichimoku Kumo, based on Gaps, based on special events like holidays, triple witch,
and of course news..
Then there are some spots on stops (sic!) and on volume.
All together should result in a positive gain.
My stops on these Dax trades over several hours are quite often tricky with stops.
The best setting I found is 33 points when Dax is over 8000 and 30 points when
Dax is under 8000.
It does work over the longer time period.
The following user says Thank You to GFIs1 for this post:
If you enter short on Wednesday at 9:30 a.m. and exit at 2:00 p.m. then you would have lost 53 % of trades between September 2006 and today (SL is 33). Other entry and exit times do not change the result much.
If you enter short only if the price at 9:30 a.m. is in the upper half of the opening range (price between 9:00 and 9:30) the result is still not positive.
I am aware of the no trade rules "previous day range not larger than 150 points", "2-day range not larger than 200 points", "futures expiry days", "news days", "holidays", "low volume days". I can't believe that these additional rules are the essential ones for making this system positive.
Can you point me further in the right direction, like "if the previous day was a down/up day and the current session opening range between 9:00 and 9:15 is broken towards the upside at 9:30, then the Wednesday rule is to enter short"?
Thanks for backtesting wednesday.
The rules for the weekdays are not very complicated - but the wednesday rule set is complex.
If you look back in my journal just on wednesdays you will find >90% of the trades were short ones.
And the entry and exit time are very variable:
There are sets of 10:30 to 13:00, 9:30 to 15:30, 11:30 to 13:00 etc. depending on where the starting
30 minute candle is staying (some Kumo Rules here mentioned) - and there is even a long rule for 10:30 to 13:30.
The full rule set I can not reveal here.
One essential thing to point out is: The IB (30min) candle is the direction setter - depending on the weekday.
There is no "intra" 30min. rule here - just the plain 30 minutes.
As you see - with this rule set(s) there is no easy backtesting.