Since BM started his Algo thread, I've been thinking of doing one of these. I'm not certain what my motivation is at this point.
I've been diligently working over the past few years on automated systems after I came to the conclusion discretionary trading wasn't suitable for my temperment and financial goals.
This is one of the systems I developed that may have merit in the real world. It trades the DAX and runs 24/7. I may offer it on Collective2 and trade it live if it doesn't blow up. I will not disclose the logic for the system, so please don't ask. Suffice it to say, however, it is not rocket science by any stretch of the imagination. More like garden variety pattern recognition with a MA filter.
The strategy is designed to enter a possible trend on pullbacks. I say possible because trends are easily recognized with the benefit of hindsight. The most recent 90 day backtest (one contract) with range bars (COBC) reveals statistics which may turn off most novices, particularly a low win percentage. This strategy looks to hit home runs, not singles; and like most long ball hitters, has it's fair share of strikeouts.
I'll post charts whenever trades are executed.
Last edited by Zoethecus; April 20th, 2010 at 10:24 PM.
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Interesting market, looking forward to follow this thread.
How do you trade the DAX if you don't mind me asking? This because the DAX future trades from 08.00 to 22.00 (German time), which leaves a gap of 10 hours. Do you then switch to ES futures or other instruments?
The backtest had best results by holding an open trade through the down period rather than closing it out at end of session. The thought is to let the price action in conjunction with trade money management close a position instead of things like time or news.
By the way, this strategy employed 25 Range bars, a profit target, stop loss, and trail stop trigger of 400, 30, and 100 ticks, respectively.