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Tundi's ATS


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Tundi's ATS

  #51 (permalink)
Tundi
Fullerton, CA
 
Posts: 201 since Dec 2010
Thanks Given: 33
Thanks Received: 98

I dumped EMD due to lack of volume. I'd be happy to find a replacement in equity indexes, but ES, NQ and YM don't perform well with this system. Maybe TF is the answer? Too bad there isn't a liquid US based equity index that swings like FDAX.

The Jurik ATR trailing stop hasn't demonstrated any greater effectiveness over the original code and actually hopped out of a few trades prematurely compared to the existing exit method. That's defeats the system's ability to stay in runners. However, the Jurik did save a tick or two in other situations, but I don't see the consistency. I thought the answer was to increase the length (size matters, right?). That did eliminate the early exits but at the expense of a bigger slip. For now I'll stay with the original code.

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  #52 (permalink)
Tundi
Fullerton, CA
 
Posts: 201 since Dec 2010
Thanks Given: 33
Thanks Received: 98

The new trading hours are 8:45- 11:30 ET, except for ZW which starts at 10:30. The reason for the change is things start to slow down a bit earlier than 12:00 and I want to avoid catching a trade in a 30 minute dead zone. This system won't perform well without strong short term price swings.

I'm going to test 6J for trading between 20:00 and 1:00 ET. this week.

I feel closer to going live with money and hope to do so next month.

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  #53 (permalink)
Tundi
Fullerton, CA
 
Posts: 201 since Dec 2010
Thanks Given: 33
Thanks Received: 98


These instruments performed best during the test so I will stick with them.

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  #54 (permalink)
Tundi
Fullerton, CA
 
Posts: 201 since Dec 2010
Thanks Given: 33
Thanks Received: 98

No need to keep this thread open as I've accomplished my stated goals.

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Last Updated on February 16, 2011


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