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Just wanted to give a short summary of the results since the restart in June.
There were 8 trades.
The win% was only 38%.
Total profit 11 points.
I more and more have the feeling using solely the statistics and the tool for trading is almost like random picking a trade to see what comes out of it.
I want to try using different processes, for instance by mainly looking at the IB without taking prior days into consideration.
I'll do that when I'm back from holidays using May & June data.
To me it would make sense that price goes down after 10:00 because of the negative IFO numbers, but no, probably priced in already.
From the Excel file:
Short trades to start from 10:30, the best results would be till 12:00 with SL of 35. However, the 10 trades it's based on, doesn't make it good enough to trade.
From the regular tool I can't really find anything good either. Not sure which filters to use, so it becomes cherry picking:
Best seemed to be long 11:00-12:30.
Gap: up 87pts
Gap closed during IB: no (80 pts)
Position price at 9:30: above prior day HL
IB direction: long 59 pts
Not many occurrences, so didn’t filter on weekday and 2 days ago OC.
Tricky with a small SL (15% of ATR).
DAX long (paper) trade
Entry 11:30
Exit 13:00
SL 20 pts
Result -20 pts loss
Historical results with this setup: See snapshot
Let’s see
(SumR translates to a relative (to current FDAX price) result of X points per trade
(Relative trade result = trade result in pts / 9am open price * 10000, and the SumR is the sum of the relative trade results))
I did a manual backtest for May and June without looking at the prior day and/or the day before that.
I did take into consideration the gaps and where price is at 9:30.
I would only filter on the weekday in case the number of samples was larger than 80.
The results seem somewhat random.
Just to confirm the 'randomness', I also checked what the results would be when trading in the opposite direction
Well, these were worse. I guess I would need to check another couple of months to get a better idea. <edit: please see below for March/April results>
Maybe I will check that later. The results are really not motivating me to spend another day doing that.
However, checking a couple more months can maybe tell me to continue this trial or to give up.
Anyway, these would have been the results (based on 28 trades / win% 36%):
DAX short (paper) trade
Entry 10:30
Exit 14:30
SL 40 pts
Result -40 pts loss
Historical results with this setup: See snapshot
Let’s see
(SumR translates to a relative (to current FDAX price) result of X points per trade
(Relative trade result = trade result in pts / 9am open price * 10000, and the SumR is the sum of the relative trade results))
I did the same manual backtest for March and April.
It is also showing negative results, -148 points over 28 trades, with a win% of 57.1.
I also checked what would happen in case I would trade in the opposite direction, just to see how random these trades are. The results would have been 62 points positive, with a win% of 42.9%.
Combined with May and June, total loss would have been 219 points, win% 46 over 56 trades.
I think that we can conclude that trades based on IB without looking at prior days are not the way to go forward.
Gap: Yes up 19 pts
Gap closed during IB: yes
Position price at 9:30: inside prior day HL, only 2 pts from prior day high
IB direction: short
New SL values as I updated the ATR (203 pts).
Only 13 occurrences, however, good enough for a trade.
DAX long (paper) trade
Entry 11:30 <edit 11:30: Yes, going long at the high >
Exit 14:30
SL 37 pts
Result -37 pts loss
Historical results with this setup: See snapshot
Let’s see
(SumR translates to a relative (to current FDAX price) result of X points per trade
(Relative trade result = trade result in pts / 9am open price * 10000, and the SumR is the sum of the relative trade results))