Here is what I learned daytrading the past 2 years.Never base your decision to enter a position on absolute levels.For you to find a winning strategy base it on indicators such as rsi levels or bollinger bands,something that shows you how overbought or oversold a particular timeframe is at the moment you enter.

OK

Thanks

Does anyone know we we could find overnight NQ data such as highs and lows?

Hamiltonie,

Ok thanks for posting both

Regards

Marc

Hamiltonie,

Thanks

Could you please post the actual reports when you get a chance

Thanks

Marc

Hi Hamiltonie,

I was a bit confused on below.There should be no trades when the RSI 5 weekly is between 70 and 80.The system should not close the short and re enter the next day.It should just be on the sidelines with no trade

Thanks
Marc


<There was the same problem during the weeks when the weekly RSI 5 >70 and <80 when the system would close the short and re-enter the next day and then close again the following open. This was over the period 1999 - 2009.>?

Yes Hamiltonie,

I think the system works well except shorting in the wildly trending upward market.

Are you able to test with a stop on the short trades when the weekly RSI 5 is between 70 and 80 ?Negate the stop at the >80 level.

Best Regards

Marc

These numbers BTW will need to be optimized

<I ran a stop on the RSI 5 > 80 on the short side. Its not pretty (negative for the whole period 99 - 09) - the problem is, is that the short re-enters immediately the next open and stops out again next open and it continues becuase the RSI 2 is still > 95. >

Hamiltonie,

Were you using the daily or the weekly RSI 5 for the back test?
I don't think the daily will work.This defines a wildly uptrending market when the weekly RSI 5 >80 and place a stop on the short trades until it hits 90 then remove the stop.

Best

Marc

Hamiltonie,

Are you still out there?

Did you survive this market that would have decimated this system?

If so I think I have the answer. This system as you can see works very well in most markets except in the one we are seeing which is similar to 1999(prior to the 9 year 6 month test) what I call a wildly trending upward market.

Therefore to survive this type of market you will need to add one simple rule.Place a stop on all short trades when the weekly RSI 5 is between 80 and 90.This would have saved the system.I think this is the answer but please run this when you get a chance and tell me.

Best Regards

Marc

Ok Thanks Again

I am sure Jerry has a few additional tips.<G>

Best Regards

Marc

Jerry,

Good point.We both know there is a difference.

Regards

Marc

Gary,

Thanks for your informative post.I appreciate your work.

It is quite amazing we can get a nearly 35% average annual return with one indicator.

Best Regards

Marc





<the qqqq optimal settings for the period (3/10/99 - present) were 86.6 / 6.4 both using a 50 cross for exit and allocatin of 2X . That was assuming the ultimate fitness criteria was net $ profit. This gives a 34.97% annual return. >

Hamiltonie,

Thanks for running that.Those were very interesting results.The 7% returns were probably related to the fact that you were only in the market 4% of the time but still the winning % actually went down as compared to the 95/5 results where I thought the winning % would go up rather than down.

The question is does the 95/5 give you optimal results at 31% average annual returns being in the market 21% of the time or is there a better combination 96/4 or 94/6 ?

Let me know your thoughts and thanks again.

Best Regards

Marc

Hamiltonie,

When you get a chance would you please run a system report on the daily RSI 2 when the upper limit is >99(like it was yesterday) and the lower limit <1 and exit on both on a cross of 50.


Best Regards

Marc

<Marc - have you guys thought about other indicators like %R and CCI for extremes ? and any conclusions ?.>

Multiple indicators are used in Merlin including >30 logic rules and many types of stops and filters.Jerry is a genius at optimizing and modifying rules.

The backtested results since 2000 have triple digit returns as well as live trading results since Feb 2008

What is great about this is you have market exposure only about 1/5 th of the time and average annual returns of 31%

Great Work Hamiltonie
I am confused on the below.please clarify the exact rules tested
Is it a simple RSI (2) LE < 5 and a SE > 95 and exit on both on cross of 50? Is it 2X on the trades?

Thanks

Marc
<Marc - below are the results for a simple RSI (2) LE < 5 and a SE > 95 without the 2nd piece and the RSI 14 add on - and an exit on both on cross of 50. I'll post a follow up with the extend to an entry of 10 and 90.>

AJ,

FYI

Regards

Marc



Posted by: positiontrader Date: Wednesday, May 27, 2009 9:21:20 PM
In reply to: Hamiltonie who wrote msg# 1976 Post # of 1980

Hamiltonie,

To summarize,we now have a system using only two simple indicators that over 10 years produced winning trades 69.23% of the time.
It beat buy and hold by %1000(Buy & Hold Return (-53.58%)
Return on Account 960.67% )for an average annual return of 13.44%.

All this with having market exposure a little over 1/4 of the time.
Percent of Time in the Market 26.79%

I share this with all of I Hub

Thanks again for your help

Best Regards

Marc

<If I didn't have Merlin I would consider trading a variant of the RSI 2 daily on the NDX and combining this with the daily RSI 14.

In my opinion by combining these two it would minimize drawdowns in the RSI 2 system alone.

The way I would trade it would be go 2x long when the RSI 2 is <5.
I would go 1x long when the RSI 2 is between 5 and 10 and the daily RSI 14 is <35.

Go 2x short when the RSI 2 is >95,1x short when the RSI 2 is between 90 and 95 and the RSI 14 is >65

Otherwise I would stay in cash.You would be out of the market most of the time
>
All Trades Long Trades Short Trades

Total Net Profit $129,811.44 $97,195.77 $32,615.67
Gross Profit $236,648.03 $142,760.14 $93,887.89
Gross Loss ($106,836.59) ($45,564.37) ($61,272.22)
Profit Factor 2.22 3.13 1.53

Roll Over Credit $0.00 $0.00 $0.00
Open Position P/L $0.00 $0.00 $0.00

Select Total Net Profit $135,196.49 $99,899.40 $35,297.09
Select Gross Profit $220,269.23 $134,630.62 $85,638.61
Select Gross Loss ($85,072.74) ($34,731.22) ($50,341.52)
Select Profit Factor 2.59 3.88 1.70

Adjusted Total Net Profit $93,117.75 $69,849.92 $8,341.21
Adjusted Gross Profit $214,769.91 $124,915.12 $80,991.40
Adjusted Gross Loss ($121,652.16) ($55,065.20) ($72,650.19)
Adjusted Profit Factor 1.77 2.27 1.11

Total Number of Trades 169 87 82
Percent Profitable 69.23% 73.56% 64.63%
Winning Trades 117 64 53
Losing Trades 52 23 29
Even Trades 0 0 0

Avg. Trade Net Profit $768.12 $1,117.19 $397.75
Avg. Winning Trade $2,022.63 $2,230.63 $1,771.47
Avg. Losing Trade ($2,054.55) ($1,981.06) ($2,112.84)
Ratio Avg. Win:Avg. Loss 0.98 1.13 0.84
Largest Winning Trade $8,249.28 $8,129.52 $8,249.28
Largest Losing Trade ($10,930.70) ($10,833.15) ($10,930.70)
Largest Winner as % of Gross Profit 3.49% 5.69% 8.79%
Largest Loser as % of Gross Loss 10.23% 23.78% 17.84%

Net Profit as % of Largest Loss 1187.59% 897.21% 298.39%
Select Net Profit as % of Largest Loss 1236.85% 922.16% 322.92%
Adjusted Net Profit as % of Largest Loss 851.89% 644.78% 76.31%

Max. Consecutive Winning Trades 11 14 8
Max. Consecutive Losing Trades 4 5 4
Avg. Bars in Total Trades 4.78 4.08 5.52
Avg. Bars in Winning Trades 3.55 3.39 3.74
Avg. Bars in Losing Trades 7.56 6.00 8.79
Avg. Bars in Even Trades 0.00 0.00 0.00

Max. Shares/Contracts Held 9242 9242 7295
Total Shares/Contracts Held 459185 244972 214213
Account Size Required $13,512.54 $13,903.13 $27,669.01
Total Slippage $9,183.70 $4,899.44 $4,284.26
Total Commission $1,014.00 $522.00 $492.00

Return on Initial Capital 259.62%
Annual Rate of Return 13.44%
Buy & Hold Return (53.58%)
Return on Account 960.67%
Avg. Monthly Return $1,930.99
Std. Deviation of Monthly Return $4,335.20

Return Retracement Ratio 0.26
RINA Index 188.26
Sharpe Ratio 0.27
K-Ratio 1.58

Trading Period 9 Yrs, 6 Mths, 8 Dys
Percent of Time in the Market 26.79%
Time in the Market 2 Yrs, 6 Mths, 18 Dys
Longest Flat Period 81 Dys

Max. Equity Run-up $135,262.51
Date of Max. Equity Run-up 05/18/09 16:00
Max. Equity Run-up as % of Initial Capital 270.53%

Max. Drawdown (Intra-day Peak to Valley)
Value ($22,315.50) ($22,315.50) ($30,223.74)
Date 09/21/01 16:00
as % of Initial Capital 44.63% 44.63% 60.45%
Net Profit as % of Drawdown 581.71% 435.55% 107.91%
Select Net Profit as % of Drawdown 605.84% 447.67% 116.79%
Adjusted Net Profit as % of Drawdown 417.28% 313.01% 27.60%

Max. Drawdown (Trade Close to Trade Close)
Value ($13,512.54) ($13,903.13) ($27,669.01)
Date 07/26/05 16:00
as % of Initial Capital 27.03% 27.81% 55.34%
Net Profit as % of Drawdown 960.67% 699.09% 117.88%
Select Net Profit as % of Drawdown 1000.53% 718.54% 127.57%
Adjusted Net Profit as % of Drawdown 689.12% 502.40% 30.15%

Max. Trade Drawdown ($18,743.12) ($18,743.12) ($15,263.95)>




Take calculated risks

Hamiltonie,

To summarize,we now have a system using only two simple indicators that over 10 years produced winning trades 69.23% of the time.
It beat buy and hold by %1000(Buy & Hold Return (-53.58%)
Return on Account 960.67% )for an average annual return of 13.44%.

All this with having market exposure a little over 1/4 of the time.
Percent of Time in the Market 26.79%

I share this with all of I Hub

Thanks again for your help

Best Regards

Marc

<If I didn't have Merlin I would consider trading a variant of the RSI 2 daily on the NDX and combining this with the daily RSI 14.

In my opinion by combining these two it would minimize drawdowns in the RSI 2 system alone.

The way I would trade it would be go 2x long when the RSI 2 is <5.
I would go 1x long when the RSI 2 is between 5 and 10 and the daily RSI 14 is <35.

Go 2x short when the RSI 2 is >95,1x short when the RSI 2 is between 90 and 95 and the RSI 14 is >65

Otherwise I would stay in cash.You would be out of the market most of the time
>
All Trades Long Trades Short Trades

Total Net Profit $129,811.44 $97,195.77 $32,615.67
Gross Profit $236,648.03 $142,760.14 $93,887.89
Gross Loss ($106,836.59) ($45,564.37) ($61,272.22)
Profit Factor 2.22 3.13 1.53

Roll Over Credit $0.00 $0.00 $0.00
Open Position P/L $0.00 $0.00 $0.00

Select Total Net Profit $135,196.49 $99,899.40 $35,297.09
Select Gross Profit $220,269.23 $134,630.62 $85,638.61
Select Gross Loss ($85,072.74) ($34,731.22) ($50,341.52)
Select Profit Factor 2.59 3.88 1.70

Adjusted Total Net Profit $93,117.75 $69,849.92 $8,341.21
Adjusted Gross Profit $214,769.91 $124,915.12 $80,991.40
Adjusted Gross Loss ($121,652.16) ($55,065.20) ($72,650.19)
Adjusted Profit Factor 1.77 2.27 1.11

Total Number of Trades 169 87 82
Percent Profitable 69.23% 73.56% 64.63%
Winning Trades 117 64 53
Losing Trades 52 23 29
Even Trades 0 0 0

Avg. Trade Net Profit $768.12 $1,117.19 $397.75
Avg. Winning Trade $2,022.63 $2,230.63 $1,771.47
Avg. Losing Trade ($2,054.55) ($1,981.06) ($2,112.84)
Ratio Avg. Win:Avg. Loss 0.98 1.13 0.84
Largest Winning Trade $8,249.28 $8,129.52 $8,249.28
Largest Losing Trade ($10,930.70) ($10,833.15) ($10,930.70)
Largest Winner as % of Gross Profit 3.49% 5.69% 8.79%
Largest Loser as % of Gross Loss 10.23% 23.78% 17.84%

Net Profit as % of Largest Loss 1187.59% 897.21% 298.39%
Select Net Profit as % of Largest Loss 1236.85% 922.16% 322.92%
Adjusted Net Profit as % of Largest Loss 851.89% 644.78% 76.31%

Max. Consecutive Winning Trades 11 14 8
Max. Consecutive Losing Trades 4 5 4
Avg. Bars in Total Trades 4.78 4.08 5.52
Avg. Bars in Winning Trades 3.55 3.39 3.74
Avg. Bars in Losing Trades 7.56 6.00 8.79
Avg. Bars in Even Trades 0.00 0.00 0.00

Max. Shares/Contracts Held 9242 9242 7295
Total Shares/Contracts Held 459185 244972 214213
Account Size Required $13,512.54 $13,903.13 $27,669.01
Total Slippage $9,183.70 $4,899.44 $4,284.26
Total Commission $1,014.00 $522.00 $492.00

Return on Initial Capital 259.62%
Annual Rate of Return 13.44%
Buy & Hold Return (53.58%)
Return on Account 960.67%
Avg. Monthly Return $1,930.99
Std. Deviation of Monthly Return $4,335.20

Return Retracement Ratio 0.26
RINA Index 188.26
Sharpe Ratio 0.27
K-Ratio 1.58

Trading Period 9 Yrs, 6 Mths, 8 Dys
Percent of Time in the Market 26.79%
Time in the Market 2 Yrs, 6 Mths, 18 Dys
Longest Flat Period 81 Dys

Max. Equity Run-up $135,262.51
Date of Max. Equity Run-up 05/18/09 16:00
Max. Equity Run-up as % of Initial Capital 270.53%

Max. Drawdown (Intra-day Peak to Valley)
Value ($22,315.50) ($22,315.50) ($30,223.74)
Date 09/21/01 16:00
as % of Initial Capital 44.63% 44.63% 60.45%
Net Profit as % of Drawdown 581.71% 435.55% 107.91%
Select Net Profit as % of Drawdown 605.84% 447.67% 116.79%
Adjusted Net Profit as % of Drawdown 417.28% 313.01% 27.60%

Max. Drawdown (Trade Close to Trade Close)
Value ($13,512.54) ($13,903.13) ($27,669.01)
Date 07/26/05 16:00
as % of Initial Capital 27.03% 27.81% 55.34%
Net Profit as % of Drawdown 960.67% 699.09% 117.88%
Select Net Profit as % of Drawdown 1000.53% 718.54% 127.57%
Adjusted Net Profit as % of Drawdown 689.12% 502.40% 30.15%

Max. Trade Drawdown ($18,743.12) ($18,743.12) ($15,263.95)>

Hamiltonie,

Can you compare this to the modified RSI 2 alone(remove the rsi 14 rule)

I am curious on how much the RSI 14 rule improves it.

Best

Marc

Thanks for running that.

It looks good.

Best Regards

Marc

Thanks for running that.

It looks good.

Best Regards

Marc

Yes John

You are correct.My error, it should be <35

Best Regards

Marc

I am willing to bet this would be a winning system if anyone can backtest it

Believe me I know all about stops and their plus and minuses.Just ask Jerry <G>

I will tell you Steve I think my variant would be a winner and exceed returns of the standard R2 system

It would be interesting to see what returns would be and compare it with the standard R2 system and also to the VTO5

Steve,

If I didn't have Merlin I would consider trading a variant of the RSI 2 daily on the NDX and combining this with the daily RSI 14.

In my opinion by combinng these two it would minimize drawdowns in the RSI 2 system alone.

The way I would trade it would be go 2x long when the RSI 2 is <5.
I would go 1x long when the RSI 2 is between 5 and 10 and the daily RSI 14 is >35.

Go 2x short when the RSI 2 is >95,1x short when the RSI 2 is between 90 and 95 and the RSI 14 is >65

Otherwise I would stay in cash.You would be out of the market most of the time

This has not been backtested but I suspect it would work.Jerry can attest to you that I have no programming skills.He is right.

Regards

Marc

Yes and that is how Clear Station Group Combined Override System(CSGCOS) was born

That is interesting to know

Thanks again

I am still thinking the 3 step modified approach would do even better

Very Interesting.

Thanks for the post.I will save it

It would be interesting to see how the modified version would have done in the same timeframe.I suspect better although for a single indicator this was not too bad.


Best Regards

Marc

here is the system Steve







<Posted by: Nocona Date: Tuesday, December 20, 2005 4:05:08 PM
In reply to: None Post # of 50415

VTO Modified:

12-19-05 Invest Part #1 in RYVYX
12-20-05 Did not invest part 2 today.

Divide the money that you allocate to this system by 3 parts.
Use RYVYX (2x $NDX) to invest.
When daily RSI 5 of $NDX closes below 30 invest part 1 in RYVYX.
If the $NDX closes lower than the previous low invest part 2 in RYVYX.
If the $NDX closes lower than the previous low invest part 3 in RYVYX.
When the daily RSI 5 of $NDX closes above 50 sell all parts of RYVYX.
Make your trades on the day of the signal.

From the beginning of 1997 there have been 32 sequences that we have had 3 positions. 21 gains & 11 losses

From the beginning of 1997 there have been 23 sequences that we have had 2 positions. 21 gains, 1 loss & 1 even.

From the beginning of 1997 there have been 34 sequences that we have had 1 position.
34 gains with 0 losses.

Cumulative gain since 1997 is above 700%

Nocona >

Steve

This is an old post from Nocona on his variant system





<Posted by: Nocona Date: Wednesday, January 25, 2006 10:57:12 AM
In reply to: None Post # of 50415

VTO Modified Information:

The system had 6 three part buys in 2005. When that happened the 3rd part never showed a loss. The 3rd part gains were 1.62%; 10.38%; 3.38%; 5.71%; 1.55% and 6.44%. Of course the 3rd part buys are averaged in with the other 2 buys to get an average.

When the system gets a 3rd part buy that is the time to consider buying call options also for a high probablity gain and a low probablity loss.

For further information since the beginning of 1997 there have been 33 sequences that had 3 part buys. Only 6 times did the 3rd part buy show a loss for an average loss of -2.84%
The other 27 times showed an average gain of +8.71%

Nocona >

Steve,

That reminds me of an old post from a couple years back when I was intrigued by the VTO system.

Best Regards

Marc


Posted by: positiontrader Date: Sunday, August 21, 2005 2:13:19 PM
In reply to: mvpsignalsystem who wrote msg# 1176 Post # of 50415

<Steve,

I am trying to develop a system that combines the RSI 5 and other trend following indicators.
As you know the RSI 5 works great in bear modes and lags in a bull mode.By combining a trend following system and the RSI 5 I hope to take advantage of both systems.Once the RSI 5 is < 30 then I stop shorting and have a RSI 5 override of the system.

Time will tell

Regards

Marc >

<James H. Simons, a former math professor who has made billions year after year for the hedge fund Renaissance Technologies, earned $2.5 billion running computer-driven trading strategies>

For the past 20 years he has averaged 35% average annual returns after fees.With a 5% management fee and a 44% performance fee that means an average of 70% returns every year for 20 years.This past year was even better at 80% returns after fees or 160% before fees.He epitomizes what a good hedge fund should do,perform well in both bull and bear markets.

We would like to give him a run for his money and I think we have the excel based system to do it.

Of coarse time will tell.

Random Walk

LOL


http://www.collective2.com/cgi-perl/systems.mpl?want=publicdetails&systemid=29022791&session=421622043829241482212195937349335

Yes

I believe so Steve except I think it is an EOD system where he follows the rules EOD when they apply

Steve,

I don't think so.I believe he gets out at EOD if the conditions do not apply any longer.

Regards

Marc

Yes John,


It looks good.Does anyone still follow the CSGCOS from a couple of years ago or the RSI 2 method?

Regards

Marc
http://investorshub.advfn.com/boards/read_msg.aspx?message_id=10893463
<Posted by: rockdr Date: Tuesday, October 10, 2006 8:43:53 PM
In reply to: husk who wrote msg# 1279 Post # of 2156

husk - here is the system:
Bull or Bear via PPO as Capt's message
stops also same as Capt's
performance is 1x the NDX


BULL--->
LONG rsi(5) < 25.75
SHORT rsi(14)> 79.52
LONG NDX > NDXema(10)
SHORT rsi(5) > 49.75
LONG NASI ema(10) > NASI ema(17)
otherwise SHORT

BEAR --->
LONG rsi(5) < 28.0
SHORT rsi(3)> 39.4
LONG NASI ema(10) > NASI ema(17)
otherwise SHORT

Best,
rock >