Results

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.

Have a good weekend

Monday

10:00 German IFO data
IFO Business Climate Index June: 88,6 (lower than expected)

Still on holiday mode

FDAX

Gap: no
Gap closed during IB: x
Position price at 9:30: inside prior day HL
IB direction: short

I will only look at the data from the IFO days from the last 14 years.

I will also be looking at an Excel file that looks at the same data, but using 10:00-10:30 bar instead of the 9:00-9:30 bar.

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.



So yeah, tomorrow another day!

Tuesday

Still on holiday mode

FDAX

Gap: down, only 2 pts
Gap closed during IB: yes
Position price at 9:30: below prior day HL
IB direction: short

The statistics don't show a good trade for today.

Tomorrow another day

Wednesday

Still on holiday mode

FDAX

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))

Backtest trades based on IB

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%):

Thursday

FDAX

Gap: no
Gap closed during IB: x
Position price at 9:30: inside prior day HL
IB direction: long

Yesterday extreme HL range.

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))

Deetee 

Backtest trades based on IB 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. ... Anyway, these would have been the results (based on 28 trades / win% 36%)

Backtest trades based on IB - part 2

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.

The results per date for what it’s worth: