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samuel23

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When did you close the trade in your backtest?

 

Long positions were exited when a short entry signal was given, and visa-versa. In other words, the 'system' was always in the market, either long or short. From memory, the maximum drawdown trading one ES contract was about $6,000.

 

But it doesn't matter - you could just hold positions until the close and you'd witness the same bias. Or exit them at an MA as Gosu suggests above. Or when an RSI crosses its midline. Or following a profitable open. My aim here wasn't to create an entry and exit strategy, but to demonstrate something fundamental about how this particular market behaves.

 

And sorry the pictures are so ludicrously small - I've just tripled the size of the files but they still appear as silly little thumbnails within the post - very frustrating!

 

BlueHorseshoe

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Perhaps you should trade mechanically Gosu - pretty much any variation on what you suggest would have worked very well in the ES/SPY over the last decade.

 

Hey, I'm not here to steer people wrong. I'm not here to steer anyone right but certainly not wrong..LOL.

 

Maybe one day I will learn programming and delve into mechanical trading just for fun. I have A LOT of ideas and I'm pretty sure they're ALL good!!

 

What would possibly suprise you would be when you came to examine bar volatility as you suggest above - the more volatile the move (away from the average price), the better the probabilities for mean reversion - completely counter to many trader's instincts, and the reason why 'volatility breakout' type strategies aren't really viable for trading these instruments.

 

Nope, that does not surprise me at all. I don't do backtests but I have been either watching or trading the indices for a long time and I know volatility is cyclical. Of course, timing is what makes money.

 

Cheers for your post - it got me thinking about a few things.

 

Bluehorseshoe

 

Drop me a PM if my post helps you extract a million dollars. I will then have to revise my thinking about my time spent in this place.

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Maybe one day I will learn programming and delve into mechanical trading just for fun. I have A LOT of ideas and I'm pretty sure they're ALL good!!

 

 

Doing something different is always fun, if you love the markets.

 

Incidentally, have you ever outlined your own trading approach anywhere on here, Gosu?

 

Thanks,

 

BlueHorseshoe

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Doing something different is always fun, if you love the markets.

 

Incidentally, have you ever outlined your own trading approach anywhere on here, Gosu?

 

Thanks,

 

BlueHorseshoe

 

I enjoy trading but I don't think I love the markets. I can see myself learning programming some time down the line but outlining my trading approach here is not in the picture. Time is always the issue. Thus I am limited here to mostly making snide remarks and somewhat staying on topic.

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Maybe you find the market quite difficult to manage gosu. I do understand you mate as this forex is not something easy to learn. However, i would not even encourage you to trade forex if you think that this is something not for you. I just hope that you limited time make you earn a little in forex. ;)

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