Universal on YM 89-Tick Chart

[swansjr]

Early this week in the Clayburg forums someone stepped forward with the following system settings saying he has been doing will trading YM on an 89 tick chart. He claims April has been the best month while over the past two weeks the system has just been breaking even.

I hope to monitor this with live market data and report on it. Other results of live market testing can be found on the ES market.


Here are the settings for YM on an 89 tick chart:

[swansjr]

Week 1 Summary

Well, here are the results for the first week. Off to a good start. $810 profit trading a two-contract lot on 16 trades. Lets see how long this lasts. Oh, these spreadsheets say "net profit" but that's really "gross" since slippage and commissions are not included.

[swansjr]

Week 2 Summary

Here is the latest results. Don't have time format them into something nice looking.

[swansjr]

Here are the latest stats through July 2, 2009.



Equity Curve:



This attachments is the trade details:

[Frank]

can you post the EL code for 'Equity Curve Daily' --- didn't know you could do that...

keep going on the thread.

[Tams]

Originally Posted by Frank can you post the EL code for 'Equity Curve Daily' --- didn't know you could do that... keep going on the thread.

No codes needed...
That's part of the View>Strategy Performance Report.

[swansjr]

Below are the results through September 25, 2009. As you can see this is a losing strategy as it stands today. The Universal is a trend following strategy and on an 89-tick chart it trades far too much.

Trades take into account commissions only.

Results Summary



Equity Curve



I've been tracking seven strategies across YM and ES and the summary is below.

All System Summary




Nothing stands out as decent. I sorted the system by best performing on a per trade basis. The reverting nature of YM and ES on an intraday basis seems to play havoc with Universal. This makes me wonder if any of the following would improve the system:

1) if the currencies or commodities
2) trading on larger timeframes including holding positions over several days
3) only trading during the first two hours or last two hours in the day when the markets tend to trade
4) only trade during a trending market. Maybe some type of filter such as volume or ADX

In short, trading this system blindly for the entire day, every day, does not work. My limited experience suggests using Universal selectively. Again, the markets don't often trend and that's exactly how Universal makes money.

[brownsfan019]

Have trades been broken out into time of day? Would be interesting to compare results of just trading AM, PM and/or AM/PM only.

[swansjr]

Originally Posted by brownsfan019 Have trades been broken out into time of day? Would be interesting to compare results of just trading AM, PM and/or AM/PM only.

That's a great idea but I did not record that information for this test. I'm going to start another round of testing and I'm going to include time. I'm also going to track each trade - not simply a daily summary.

[brownsfan019]

Originally Posted by swansjr That's a great idea but I did not record that information for this test. I'm going to start another round of testing and I'm going to include time. I'm also going to track each trade - not simply a daily summary.

I asked b/c you mentioned this is more or less a trend system and we know the market does not trend nearly as much as it chops; but, if moves are going to occur that are trending in nature, most occur in the AM and possibly continue into the PM. Maybe you'll find that focusing on the first couple hours and then hitting the off button could yield better results.