Don
Life is expensive, but includes a free trip around the sun.
Part Time Wealth Building Trading System
- #306
- Dec 14, 2006 9:18pm Dec 14, 2006 9:18pm
- | Membership Revoked | Joined Dec 2005 | 2,298 Posts
Same Whore .... Different Dress
hi guys i made a backtest for this strategy from september till 15 december.
i use RSI 50 as a filter an 50 PIP stop and each 50 PIP of profit i move the stop of 50 PIPS
i used 2 lots for the trade. one with a 100 PIP target and the other with a 200 PIP target.
the total was 4300 PIPs
the average is 1230 per month (in 2 lots)
and the maximum drawdown was 300 PIP
if anyone has real time result (no backtesting) can you please post them.
thanks you.
PS i have attached a chart that shows the result of the strategy for 3 months and a half
Nicolas - Great Work!
I too am back-testing tkimble's method via a TradeStation strategy and have started forward testing as of today (Sunday 17 Dec 2006). I’m still working the coding of the strategy, but the results looks good enough that I want to see how it will run on live data vs. historical data. I currently have not implemented ATR into position sizing or trailing. My stop method sounds a bit different then yours. My current exist process consist as follows:
Initial Stop: -100 pips
@ +100 pips: Stop brought to Entry (b/e)
@ +150 pips: +50 pips
@ +200 pips: +100 pips
@ +250 pips: +150 pips, etc… until stop is hit or trade reversal or RSI cross
Attached are my results from Sept 1<sup>st</sup> – Dec 15<sup>th</sup>.
Note:
1) The bulk of the profit came from one trade from Nov 17<sup>th</sup> – 29<sup>th</sup>.
2) I see multiple cases where the RSI hovers around 50 for several hours that results in chop of small losses. Possible filter needed???
<!--[if !supportLineBreakNewLine]-->
<!--[endif]-->Any thoughts on the above?
On your spread sheet, do you have the ability to add trade date/time, signal type (long/short) and price (i.e., entry or exit) similar to what tradestation produces? It would be nice to see if our testing is in sync.<o
> </o>dfoster
- #314
- Dec 17, 2006 11:23pm Dec 17, 2006 11:23pm
- | Joined Nov 2006 | Status: very junior member | 1,576 Posts
- #316
- Dec 18, 2006 1:48am Dec 18, 2006 1:48am
- | Joined Nov 2006 | Status: very junior member | 1,576 Posts
Hi, I have been playing with this for a while, but I should give tkimble credit where it is due, its a great system straight out of the box. I created a backtest in E-Signal and have been using an ATR(21) stop. Inital stop is at 5 times ATR or 50 pips whichever is less. Then I used some other calculations (variation between 0.5 time atr and 0.25 times atr) to trail the price action. Sure every now and again, it stops you at a bit early but mostly in locks in nice profits. I haven't fully tested the straight trail of 50 pips, and really I need to do that.
But by far the greatest benefit I have applied to this is trading 2 lots, and exiting the first lot at 10 pips profit. It helps with the profit, but above all it helps with the confidence, especially during whipsaws, because you are still locking in a bit of money !
With an ATR stop and 10 pips scalp of one lot, on Euro Futures in 2005, forwarded tested on a tick replay, it netted about 5000 pips (approx $63k per contract) for the year. So I am astounded at some of the other results printed here.
But by far the greatest benefit I have applied to this is trading 2 lots, and exiting the first lot at 10 pips profit. It helps with the profit, but above all it helps with the confidence, especially during whipsaws, because you are still locking in a bit of money !
With an ATR stop and 10 pips scalp of one lot, on Euro Futures in 2005, forwarded tested on a tick replay, it netted about 5000 pips (approx $63k per contract) for the year. So I am astounded at some of the other results printed here.
- #320
- Dec 18, 2006 11:36am Dec 18, 2006 11:36am
- | Joined Nov 2006 | Status: very junior member | 1,576 Posts
[
rogerha,
i too am using the early exit. so while i have s/l at 50 pips, and even the t/p at 50 pips i generally exit as soon as i get 15-20 pips on the board.. largely because i am nervous, but the system is good and i am gaining confidence..
there was an interesting post earlier about the system being successful only in the last 3 months or so because of the strong trend. i wonder if anyone has backtested this to more than 3 months..
and i am aware of tk's thoughts on backtesting
QUOTE=rogerha]Hi, I have been playing with this for a while, but I should give tkimble credit where it is due, its a great system straight out of the box. I created a backtest in E-Signal and have been using an ATR(21) stop. Inital stop is at 5 times ATR or 50 pips whichever is less. Then I used some other calculations (variation between 0.5 time atr and 0.25 times atr) to trail the price action. Sure every now and again, it stops you at a bit early but mostly in locks in nice profits. I haven't fully tested the straight trail of 50 pips, and really I need to do that.
But by far the greatest benefit I have applied to this is trading 2 lots, and exiting the first lot at 10 pips profit. It helps with the profit, but above all it helps with the confidence, especially during whipsaws, because you are still locking in a bit of money !
With an ATR stop and 10 pips scalp of one lot, on Euro Futures in 2005, forwarded tested on a tick replay, it netted about 5000 pips (approx $63k per contract) for the year. So I am astounded at some of the other results printed here.
[/quote]
rogerha,
i too am using the early exit. so while i have s/l at 50 pips, and even the t/p at 50 pips i generally exit as soon as i get 15-20 pips on the board.. largely because i am nervous, but the system is good and i am gaining confidence..
there was an interesting post earlier about the system being successful only in the last 3 months or so because of the strong trend. i wonder if anyone has backtested this to more than 3 months..
and i am aware of tk's thoughts on backtesting
QUOTE=rogerha]Hi, I have been playing with this for a while, but I should give tkimble credit where it is due, its a great system straight out of the box. I created a backtest in E-Signal and have been using an ATR(21) stop. Inital stop is at 5 times ATR or 50 pips whichever is less. Then I used some other calculations (variation between 0.5 time atr and 0.25 times atr) to trail the price action. Sure every now and again, it stops you at a bit early but mostly in locks in nice profits. I haven't fully tested the straight trail of 50 pips, and really I need to do that.
But by far the greatest benefit I have applied to this is trading 2 lots, and exiting the first lot at 10 pips profit. It helps with the profit, but above all it helps with the confidence, especially during whipsaws, because you are still locking in a bit of money !
With an ATR stop and 10 pips scalp of one lot, on Euro Futures in 2005, forwarded tested on a tick replay, it netted about 5000 pips (approx $63k per contract) for the year. So I am astounded at some of the other results printed here.
[/quote]