Replies to post #3312 on TRADING 04 FUTURES

[rich ruscio]

Thanks. I'm looking forward to the "more later" work.

The use of the 2% profit for an exit criteria is interesting. TTMAR is a good strategy, I think :-)

Regards,

rr

[Qone0]

Trend, 2% seems kind of tight to me for BGU/BGZ on the 30 min. I also have found that using stops hurts the performance of the trades on the 30 min.

This is a back test of BGU 30 min. using a BB cross set at 21 band 1.7 deviation for the band price cross. Using a 8% profit exit. Using reverse band to exit for profit or stop loss trade/ trade side switch. $5k trade size.

Strategy Performance Details: Performance Summary Tab
Parameter Value
Symbol BGU
Strategy cross
Test Date/Time Monday, 06/22/2009 17:44, Mountain Daylight Time
Bar Size 30 mins.
Back Test Bars 780
Start Date/Time 03/31/2009 09:30
End Date/Time 06/22/2009 15:30
Closed P&L $3,548.54
Open P&L -$97.34
Performance % 34.51%
APR % 151.77%
Buy & Hold P&L $1,813.32
Buy & Hold Performance % 18.13%
Buy & Hold APR % 79.74%
Sharpe Ratio 0.90
Total Trades 29
Winning Trades 23
Winning Longs 11
Winning Shorts 12
Most Consecutive Winning 8
Average Winning Hold Time 21.3
Total Winning Hold Time 489
Average Winning Profit $ $226.08
Maximum Profit $ $436.80
Lowest Winning Profit $ $2.88
Losing Trades 6
Losing Longs 3
Losing Shorts 3
Average Loss $ -$275.22
Maximum Loss $ -$557.76
Lowest Loss $ -$62.65
Average Losing Hold Time 40.8
Most Consecutive Losing 3
Average Profits $/Average Loss $ 0.82
Total Losing Hold Time 245
Out of Market Average 10.7
Out of Market Maximum 41
Out of Market Total 64

Strategy Performance Details: Executions Tab
Num Bar Date/Time Type Trade Size Price Order Trigger
1 13 03/31/2009 15:30 Short 210 23.73 BOL (21, 1.7, 1.7)
2 14 04/01/2009 09:30 Profit Exit 210 21.65 Profit Exit (8%)
3 56 04/06/2009 11:00 Buy 193 25.82 BOL (21, 1.7, 1.7)
4 88 04/08/2009 14:00 Indicator Exit 193 25.36 BOL (21, 1.7, 1.7)
5 88 04/08/2009 14:00 Short 197 25.36 BOL (21, 1.7, 1.7)
6 120 04/13/2009 10:30 Indicator Exit 197 27.85 BOL (21, 1.7, 1.7)
7 120 04/13/2009 10:30 Buy 179 27.85 BOL (21, 1.7, 1.7)
8 131 04/14/2009 09:30 Indicator Exit 179 27.50 BOL (21, 1.7, 1.7)
9 131 04/14/2009 09:30 Short 181 27.50 BOL (21, 1.7, 1.7)
10 140 04/14/2009 14:00 Indicator Exit 181 26.99 BOL (21, 1.7, 1.7)
11 140 04/14/2009 14:00 Buy 185 26.99 BOL (21, 1.7, 1.7)
12 160 04/16/2009 11:00 Indicator Exit 185 27.51 BOL (21, 1.7, 1.7)
13 160 04/16/2009 11:00 Short 181 27.51 BOL (21, 1.7, 1.7)
14 190 04/20/2009 13:00 Indicator Exit 181 26.63 BOL (21, 1.7, 1.7)
15 190 04/20/2009 13:00 Buy 187 26.63 BOL (21, 1.7, 1.7)
16 210 04/22/2009 10:00 Indicator Exit 187 26.98 BOL (21, 1.7, 1.7)
17 210 04/22/2009 10:00 Short 185 26.98 BOL (21, 1.7, 1.7)
18 228 04/23/2009 12:30 Indicator Exit 185 26.56 BOL (21, 1.7, 1.7)
19 228 04/23/2009 12:30 Buy 188 26.56 BOL (21, 1.7, 1.7)
20 236 04/24/2009 10:00 Profit Exit 188 28.74 Profit Exit (8%)
21 237 04/24/2009 10:30 Short 176 28.32 BOL (21, 1.7, 1.7)
22 259 04/27/2009 15:00 Indicator Exit 176 28.28 BOL (21, 1.7, 1.7)
23 259 04/27/2009 15:00 Buy 176 28.28 BOL (21, 1.7, 1.7)
24 280 04/29/2009 12:30 Indicator Exit 176 29.67 BOL (21, 1.7, 1.7)
25 280 04/29/2009 12:30 Short 168 29.67 BOL (21, 1.7, 1.7)
26 364 05/07/2009 15:30 Indicator Exit 168 32.99 BOL (21, 1.7, 1.7)
27 364 05/07/2009 15:30 Buy 151 32.99 BOL (21, 1.7, 1.7)
28 373 05/08/2009 13:30 Indicator Exit 151 34.97 BOL (21, 1.7, 1.7)
29 373 05/08/2009 13:30 Short 142 34.97 BOL (21, 1.7, 1.7)
30 394 05/12/2009 11:00 Indicator Exit 142 32.96 BOL (21, 1.7, 1.7)
31 394 05/12/2009 11:00 Buy 151 32.96 BOL (21, 1.7, 1.7)
32 429 05/14/2009 15:30 Indicator Exit 151 31.64 BOL (21, 1.7, 1.7)
33 429 05/14/2009 15:30 Short 158 31.64 BOL (21, 1.7, 1.7)
34 440 05/15/2009 14:30 Indicator Exit 158 30.47 BOL (21, 1.7, 1.7)
35 440 05/15/2009 14:30 Buy 164 30.47 BOL (21, 1.7, 1.7)
36 451 05/18/2009 13:30 Indicator Exit 164 32.29 BOL (21, 1.7, 1.7)
37 451 05/18/2009 13:30 Short 154 32.29 BOL (21, 1.7, 1.7)
38 487 05/21/2009 12:00 Indicator Exit 154 31.18 BOL (21, 1.7, 1.7)
39 487 05/21/2009 12:00 Buy 160 31.18 BOL (21, 1.7, 1.7)
40 530 05/26/2009 14:00 Indicator Exit 160 33.30 BOL (21, 1.7, 1.7)
41 530 05/26/2009 14:00 Short 150 33.30 BOL (21, 1.7, 1.7)
42 548 05/28/2009 10:00 Indicator Exit 150 32.09 BOL (21, 1.7, 1.7)
43 548 05/28/2009 10:00 Buy 155 32.09 BOL (21, 1.7, 1.7)
44 563 05/29/2009 11:00 Indicator Exit 155 33.18 BOL (21, 1.7, 1.7)
45 563 05/29/2009 11:00 Short 150 33.18 BOL (21, 1.7, 1.7)
46 608 06/03/2009 14:00 Indicator Exit 150 34.86 BOL (21, 1.7, 1.7)
47 608 06/03/2009 14:00 Buy 143 34.86 BOL (21, 1.7, 1.7)
48 622 06/04/2009 14:30 Indicator Exit 143 36.72 BOL (21, 1.7, 1.7)
49 622 06/04/2009 14:30 Short 136 36.72 BOL (21, 1.7, 1.7)
50 645 06/08/2009 13:00 Indicator Exit 136 35.17 BOL (21, 1.7, 1.7)
51 645 06/08/2009 13:00 Buy 142 35.17 BOL (21, 1.7, 1.7)
52 683 06/11/2009 12:30 Profit Exit 142 37.99 Profit Exit (8%)
53 686 06/11/2009 14:00 Short 131 38.13 BOL (21, 1.7, 1.7)
54 703 06/15/2009 09:30 Profit Exit 131 35.06 Profit Exit (8%)
55 710 06/15/2009 13:00 Buy 144 34.61 BOL (21, 1.7, 1.7)
56 759 06/19/2009 11:30 Indicator Exit 144 34.63 BOL (21, 1.7, 1.7)
57 759 06/19/2009 11:30 Short 144 34.63 BOL (21, 1.7, 1.7)
58 771 06/22/2009 11:00 Profit Exit 144 31.85 Profit Exit (8%)
59 775 06/22/2009 13:00 Buy 157 31.72 BOL (21, 1.7, 1.7)


If I put in a 2% stop the back test looks like this. 13 trades that would have been winners got stopped out at 2%.

Strategy Performance Details: Performance Summary Tab
Parameter Value
Symbol BGU
Strategy cross
Test Date/Time Monday, 06/22/2009 17:58, Mountain Daylight Time
Bar Size 30 mins.
Back Test Bars 780
Start Date/Time 03/31/2009 09:30
End Date/Time 06/22/2009 15:30
Closed P&L $366.81
Open P&L -$97.34
Performance % 2.69%
APR % 11.85%
Buy & Hold P&L $1,813.32
Buy & Hold Performance % 18.13%
Buy & Hold APR % 79.74%
Sharpe Ratio -0.06
Total Trades 29
Winning Trades 10
Winning Longs 5
Winning Shorts 5
Most Consecutive Winning 2