Universal on ES 5-Minute Chart

[swansjr]

I would like the test a 5-minute setup on the ES market. The settings are listed below. If I remember correctly these chart settings were optimized by Clayburg last fall (fall 2008) and have not been modified since. The first test was started on May 11, 2008. The test simply consists of create a chart with the proper settings (see below) and allowing it to "trade" on live market data. I hope to track the performance over a series of weeks and/or months.

Start Time 845
End Time 1500
Close Time 1505
Cntracts 2
Target 1 9
Target 1 Cntracts 1
Target 2 0
Target 2 Cntracts 0
Target 3 0
Target 3 Cntracts 0
Pos Trail Toggle 0
Pos Trail 0
Target 1 Stop Toggle 0
Target 1 Stop 0
Initial Stop Loss 150
B1 20
S1 11
B2 7
S2 13
Toggle Equity Out 0
Equity Floor 0
Equity Trail 0
Max Trades 1000
Day Loss 600

[swansjr]

Week #1 Summary

The first week proved to be positive as it captured a decent chuck of the major trend. The best day was Tuesday, pictured below. One week down. Many more to test.

DATE TRADES GROSS P&L
5/11/2009 2 -$600
5/12/2009 4 $1,588
5/13/2009 2 $50
5/14/2009 2 $650
5/15/2009 2 $25


P&L: $1,713

[bathrobe]

Do you own and trade the system? Or are you testing it?

[swansjr]

Originally Posted by bathrobe Do you own and trade the system? Or are you testing it?

I'm not trading it with real money. I'm only testing it by letting it trade with live market data.

[swansjr]

Not too hot this week as the system was whipped around on the non trending days like Friday. Seems typical. The Universal needs trending markets.

SYMBOL DATE TRADES NET PROFIT
@ES 5/11/09 2 -$600
@ES 5/12/09 4 $1,588
@ES 5/13/09 2 $50
@ES 5/14/09 2 $650
@ES 5/15/09 2 $25
@ES 5/18/09 2 1187.5
@ES 5/19/09 2 -600
@ES 5/20/09 2 -600
@ES 5/21/09 4 50
@ES 5/22/09 2 -600
SUM 24 $1,150

[swansjr]

Week 3 Summary

Here is the results through last week. Sorry, I don't have time to post charts.

[fkar]

I am testing the universel clone on the ym. I use range bars only
ym is 25 range bar. ES is 3.3 range bar. ym seems to be doing
good 20 day backtest and running in sim. for 4 days has a
profit factor long trade 6.29 4 wins 1 loss. Short side profit factor
3.66 9 wins 2 loss'es. ES not so good.

[windsurfer]

Thx for tracking this. So far, not good enough, I'd say. But close enough to keep watching for a few months.

[swansjr]

Originally Posted by windsurfer Thx for tracking this. So far, not good enough, I'd say. But close enough to keep watching for a few months.

I agree. I stopped updating every week because it was too time consuming. I want to do it once a month or at most, twice a month. I'm also working on some spreadsheets to help quantify the results.

[swansjr]

Here is an update through July 2, 2009. Please note, around June 2nd I changed the maximum day loss from $600 to $500.

Summary



These attachments contain more detail.

ES_June_Update_1.png

ES_June_Update_2.png