I may have reconsider the trading times for a few instruments to be consistent in this evaluation. A few of the indexes currently stop trading at 12:00 EST and others at the close of CME Index RTH (16:00 EST). I didn't backtest for ad hoc timeframes. This was sort of a gut feel decision based on my observation that most of the big moves occur in the a.m. Probably a bad idea on my part, because I want this test to be as scientific and rule-based as possible.
The energies and grains trade during Pit sessions, so no adjustment is necessary there.
The picture of the large ZW trade is instructive and reminded me of why I abandoned discretionary trading. Seeing that trade unfold brought back old memories of what I would have done if left to my own emotional devices. There is no doubt I would have closed out that runner early for fear of losing the nice profit at hand. Letting my winners run and cutting the losers short was much easier said than done, let alone having the patience to stay in the trade that lasted more than a handful of minutes.
I ran some backtests with various start/end time configurations and here's what I came up with. The additional profitability that can be earned by trading after 14:00 ET is not worth the risk. In fact, the difference between quitting at 12:00 and 14:00 is negligible on the PnL too, and also increases market risk. So, I'm going to do one of the following. Either stop trading at 14:00 or when a daily profit is hit, which ever comes first. I need to do some research on target goals for the instruments currently under evaluation.
And speaking of instruments, I've seen enough price action in NG and ZB to immediately drop them from the test bed. NG is paper thin and the spreads are wide killing the fills at market for exits. ZB, on the other hand, has excellent liquidity, but lacks the volatility for the system to effectively trade it.
Someone suggested I take a look at gold--I will add it tomorrow.
6E is in a drawdown that seems to be within the backtest norms. However, if it breaks that threshold I'll seriously consider sending it to the recycle bin.
I continue to be impressed with the action of ZW.
SI and GC are not in the official test just yet. I'll continue to observe the price action and decide whether to add any of them in a few days.
I'm going to continue to trade the indexes from 8:45-12:00 ET. CL, ZW, and ZS will trade from the start of Pit session to 15 minutes before session ending to avoid the utter helter skelter motion that reflects repositioning and winding down of positions. Super jerky action causes the system to get caught in the switch. Also, I will watch whether it makes sense from a risk reward perspective to also stop trading in these instruments at 12:00, too.
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