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Until Tuesday, as a base, I was using 20 Excel files (4 files per weekday: 1> IB short + long trade 2> IB short + short trade 3> IB long + long trade 4> IB short + short trade), each file had >800.000 lines and 117 columns. Lots of data, making the Excel files slow and each time I wanted to change something, I had to go through each file taking the same steps (with the risk of making errors).
I decided to reduce the files in a way that these are easier to work with. To reduce the number of lines in the Excel files I had to use less entry times, less exit times and(/or) less SL options.
Things that I have changed are:
* 2021 Q1 data has been included (so the files cover 2010 – 2021 Q1)
* Only looking for trades with:
- Entry times: 9:30, 10:00 and 10:30 (CET)
- Exit times: 10:00, 10:30, 11:00, 11:30 and 12:00 (CET)
* Stoploss based on a % of the ATR (9%, 12%, 15%, 18%, 21% and 24%, so currently between +/- 12-34 pts). Because in 2010 the DAX opened at 6140, while right now price is above 15000.
By taking these steps, all data fits in one Excel file (410.000 lines).
Today I will do lots of checks to make sure that the file has correct data and hopefully finish before the end of the day, so I can continue on Friday. I will continue this journal, starting with a 0 balance, because of the errors I found in the previous files (see post No. 62 in this thread).
I would like to share the file that I am going to use from now on (see previous post for more information), which is attached.
There is a sheet ‘Info’, with some explanation of the data. Sheet ‘FDAX 30min’ has the data and sheet ‘Pivot’ is the report, where I pick the trade after setting the relevant filters.
I have another file which has all the 30min bar data and the formulas to calculate the other data, which is large and slow.
I want to set some hard rules and ‘just’ follow these but will need to work on that in the coming period.
In the meanwhile, I will continue trading how I did before.
After setting the hard rules, I would like to run some backtests in NT8 for the better trades. I wanted to do this today, but this is going to be more complicated, as the SL is now a % of the ATR instead of a absolute number. I will need to find out how I can do this in the strategy builder
Please hit the THANKS button on my April posts (for the journal contest)
I’m curious to hear what you think of the file, and if you have any questions, I’m happy to answer these.
Very generous of you to freely share your work. I look forward to checking out your spreadsheets. Even though I don't currently trade EUREX products I'm sure I'll learn something. So thanks
Also, as long as we're sharing, I thought I'd also mention a few things I've learned along the way. First, some markets exhibit slight time- and calendar-based tendencies even without the influence of any other factor. Though their effects may be modest, and in the vast majority of cases insufficient to generate profitable trading strategies on their own, these mini-cycles can and do exist. Just as seasonals can influence a commodity's behavior on an intra-year timeframe, shorter-cycle "seasonals" can influence a commodity's behavior on intra-month, intra-week, and even intra-day time-frames as well.
Because of this, I've found it helpful to break the data down not only by day-name (Monday, Tuesday, etc) but by sequence in the week and month, i.e. first of week, second of week, last of week, first trading day of month, last trading day of month, etc. Although the work has been tedious, I've learned a few little tidbits here and there, as I'm sure you have as well.
Today the first day using the new file. This file also contains the win percentage for each trade; the previous files didn’t have this, and I could only check this manually for a few good looking trades. The win % will be telling me which trade to take, although I need to be careful and to know (and to define) when not to trade. Still some work to be done here.
We started the day with a 3 points up gap, which closed in the first minute. Combined with a long IB, there have only been 10 occasions in the past 11 years (with gaps between 1 and 11 points). Please see below snapshot. 10 trades is very little to base a trade on, especially when the . Also, a new ATH has been made, which my file does not have information about.
I’m eager to get started, but again, knowing when not to trade is important, and this might be one of those moments. So, I will not take a trade today.
It has been a lot of work, but I'm happy to share it. I think it can only do good to me and to other traders.
That's great info. The idea of breaking down by weekday (Mon-Tue...) I got from GFIs1's journal. He also has special rules for last day of the month, and days before/after holidays. And your post confirms that I should dig into that too. One thing at the time, but thanks, very helpful
Just like last Friday, we started the day with a 3 points up gap, which closed in the first minute.
Combined with a short IB, there have been 30 occasions in the past 11 years. The max. total result is 352 pts but has a win % of 30%, while the max. total win % is 60%, but has a total result of 110 pts. That doesn’t sound good for a trade.
I tried other filters, like Prior Day HL (as this was pretty high, 217pts), but still it doesn’t show good results with a good number of trades.
Same like Friday, I’m eager to get started, but today seems not a good day for a trade following this system. So, I will not take a trade today .
Today I will spend time trying to define hard rules. For instance, what is the minimum number of historical trades, and how many points per trade (on average) do we need to base a trade on.
The data has 2850 trades/trading days (2010 till 2021 Q1).
Filters I always want to use are:
• Event: No (event days I will treat separately)
• Day of the week: Mon-Tue-Wed-Thu-Fri
• IB direction: 9:00-9:30 green bar (IBL) or red bar (IBS). 47 occasions have a flat IB (open/close), which I exclude.
• Gap at opening: Up-No-Down (prior day high/low vs. today’s opening)
• Gap closed during IB: Yes-No (not applicable if there is no gap)
The first thing I would like to define, is the minimum number of trades I need to see, to be able to count on the statistics. After using the above filters, 2440 trades/trading days remain. These are the details:
The days without a gap need extra filters, but most up/down gap days have just a small sample set (so there is often no space to add filters). However, these gap days can have good results (pts per trade) with win percentages over 70%. For example, on Thursdays with filters IBS, down gap & closed, the 9:30 – 10:00 long trade scores 100% with 185 pts profit, but the sample size is only 6 trades. With the same filters, but then trading till 11:30 would give 83% (5 win/1 loss) with 347 pts. I would probably take this trade, especially because the short trades have a bad outcome.
It is going to take more time than I first thought, but this is the way I am going to look at the data. To create hard rules for me to follow, so there is nothing to think about anymore. ‘Just’ following the rules. I hope this makes sense
Just like last Friday and yesterday, we started the day with a very small gap (today a down gap of 2 points), which closed in the first minute.
Combined with a long IB, there have been 19 occasions in the past 11 years. The max. total result is 184 pts with a win % of 68% (long trade 10:30-12:00 SL25).
The win % is good, but the points per trade is a bit low.
I would be looking for an extra confirmation to take the trade, but filtering down on a sample size of 19 trades doesn’t seem like a good idea.
DAX Long trade
Entry 10:30 @ 15352
Exit 12:00 @ 15327
SL 25 pts
Result -25 pts
Historical results with this setup:
184 pts (19 trades/win% 68%)
Let's see
PS. I have been working on writing down hard rules, and I have seen some really nice setups
Yesterday we had a high/low of 289 pts in de FDAX, which I want to use in the filters as this is significant.
Today we opened in yesterday’s HL range (no gap). Combined with a short IB, there have been 3 occasions in the past 11 years. Not a good base for a trade.
Today we opened with a up gap which hasn’t closed yet. Combined with a long IB, there have been 37 occasions in the past 11 years, with a win % of 62%.
DAX Long trade
Entry 10:30 @ 15274
Exit 12:00 @ 15306
SL 29 pts
Result 32 pts
Historical results with this setup:
347 pts (34 trades/win% 68%)
