Tuesday, October 04, 2005

Expanding on a simple concept

If you follow Sport’s blog, you know the first bar trade works very well.

So I thought, well, what is the first bar trade? You take a High and Low and just take the trade on the direction the breakout occurs. Sport usually uses the first 3min bar to define the High and Low and then it’s off you go.

But why just the First bar? Because then your indicators take over!

But these work only when they work, as we all know. Why not something even more basic?

Trade the breakout of the 3min bar following every 60min bar close. Tested, but no, it did not give a working tradesystem on the dataset I used. Why not take the close of the 60min bar, add a few ticks for a high, substract a few ticks for a low and trade the breakout of this so defined range around the close of the last 60min bar.


Done that et voila! 203 ticks, where I got 132 yesterday evening (226, if I used Stop-Reverse trades as well)


Now 203 ticks in 10 days, actually 8 trading days, that’s 25 ticks a day. For an automatic trading system, which knows nothing about indicators, that’s not too bad I think.

But why does it work? Well it all depends on the Sync-Time you choose. Be in sync with the big traders and you trade when they trade. You define a chop-range around the close and if a move happens, it will be shown on all the indicators as long as they are calculated on price. So breakout-systems based on price alone can work without indicators.

I’m now testing my parameters on longer timeframes than the 10 day data I used so far. And if the performance keeps up, I will take the next step and link the system to my trading module. Of course the parameters need to be different for each contract you trade, but who said there was no work to be done…