Tuesday, October 11, 2005


I really did not know, that changing so little can mean the difference between -4000$ or +10000$ for the month. I have been adding a lot of new features to the Backtest Module, as one add-On led to another. So don’t be confused, when you see a lot of new choices on the Module.

1. Native Sierra Datafiles (*.mnd) as well as ESignal Tickfiles (Playback) and (Ensign) Minute files are supported.

Globetrader_032Just select the appropriate Datafeed.

For Sierra and Minutefiles you need to preset the contract, as these do not include contract information.

Click Ticker (The Button might show contract information instead. EG: EURz5)



Now select the Contract you want to backtest on the leftmost buttonrow.



2. You can Stop-reverse or Fade the Market on a tradesignal and you can define to take trades with the Trend only on the Time Breakout Strategy.


Globetrader_034There you set 2 MA’s (Simple Moving Averages) and these decide what the trend is. During a backtest run the yellow boxes will show the value of the moving averages.


3. You can change the Target Settings to values you like




Use the Target Settings Box to set the values you like in Ticks


4. The Retracement Setting has been moved, as it can be applied to both the Switch and the Time Breakout system.



What this setting does is wait for a retracement after a Tradesignal has been received.


4. You can define 3 Scale-In and 3 Scale-Out levels together with an adjustment of the Stop, in case the level is hit. The Stop is calculated in Ticks from the Initial Entry Price


To add a rule to your strategy place a checkmark in the leftmost box. You can add any values you like in these boxes, so make sure it makes sense.Be aware, that Stops and P/L are set inversely.

See the first Scale-In line: It means Add 1 contract , if my trade is at a loss of 5 ticks and move the Stop to 10 ticks from my original entry price. So effectively the Add-On contract has a Stop of 5 ticks.

The Second line makes no sense, as the moment the contract would be added at a loss of 8 ticks, the Stop would be moved to 2 ticks behind the Original Entry Price, which means, your trade would be stopped immediatly.

The third line works again: Add 1 contract, if you have a profit of 10 ticks and move the Stop to 5 ticks. This secures a Breakeven Trade.

Same rule apply for the Scale-Out module.

5. Once a test is complete, you can save the results in an Excelfile.

Globetrader_038This file currently has just the tradedata, but no Settingsdata. I intend to change that in the future to make it easier to recreate a result.


BTW: Before someone asks: Minutefiles and Sierradatafiles contain Bar information, meaning they have information about the Open, High, Low and Close of the Bar, but no individual tickinformation. So how the price moved from Open to Close, you can’t possibly know looking at a Minutebar. But this can be important! Therefore I tried to assume the worst case scenario in case the system is in a trade: If Long, the price always moves from the Open to the Low of the bar to trigger any Stops and only then the move to the High is made and from there to the Close. Vice versa on a Short.

The question, which intrigued me most was:

What happens with my profitability, if I trade an All-In, All-Out approach (as I do right now) compared to a Scale-In in a profitable trade and compared to a Scale-In into a losing trade Strategy.

Say Euro trades at 1.2060:

A: 2 Long 1.2060 Stop 1.2050 compared to

B: 1 Long 1.2060 Stop 1.2050, Add-On 1.2065, Stop for both to 1.2055 and compared to

C: 1 Long 1.2060 Stop 1.2050, Add-On 1.2055, Stop for both remains at 1.2050

I leave it to you to test it for yourself. For me the answer to this question was already worth the work invested into this module.

The results you see here are not so different from what I already got using an All-In, All-Out approach, but now I could use a 10 tick Stop instead of the 20 tick Stop, meaning the emotional roller-coaster with this trademanagement strategy isn’t as worse as it is with a 20 tick stop trademanagement strategy.


To test for yourself, just download the FuturesTrader Update from www.futures-trader.net