System33

These pages are to keep a log of systems put forward to make an automatic trading system for the futures-spread betting market.

1. System33 the original system without modification will retain this name, any modifications to this will carry a version number such as system33.2 for ease of understanding, and all changes will be noted on these pages.

SIGNALS included in this system are :-

For the ENTRY

1. 06system33divergence (using divergences of the tradevolumeindex indicator) (DEMBUY)

2. 06Insync (using the well know insync indicator with filters) For the (INSBUY)

3. support06 (JUST OVER SUPP)

4.resistance06 (JUST UNDER RESIST)

For the EXITS

5 pjlongstop

6.pjshortstop

Commissions for FT-SE and DAX will be set to 3 points for ALL TESTING, 1 Contract only.

pjshortstop_ra	3
pjshortstop_acc	0.05
pjshortstop_artlen	8
pjlongstop=ra	3
pjlongstop_acc	0.05
pjlongstop_artlen	8
SYSTEM33divergence_trigger	1
Commissions	3

FUNCTIONS Used

This system decides on the overall direction of trend by using 3 indicators which go to construct the function called system33

Preroctrendlt is based on momentum and asks if it is <>0 to allocate trend scores, if > 0 then it assigns a value of 0.1 * 100 day momentum.

Nearhilo has 3 different lengths

Schwartz trendperc again uses 3 lengths to determine trend

The trend score 1 or -1 is uses to define the direction of long term trend, and this needs to be tested on different settings.

INDICATORS

This can view simply by using the indicator called SYSTEM33

DATA Used

H.S FT-SE100 Futures (with many gaps) so this test is for preliminary testing only

DATA-type TICKCOUNT!

First date November 13th 2001

Last date August 17th 2007

TESTING WITH EACH SIGNAL PRODUCED THE FOLLOWING RESULTS

TEST 2

INSYNC SIGNAL (insyncindicator) (INSBUY)

TIMEFRAMES (minute) note, if maxdd was caused by bad data, then # will be used.

Equity curve will be rated like an exam, if drawdowns more than 700 = fail.

All P-L and DD factors defined in POINTS.

Score	Interval	Trades	Profit	Win-lose	Risk-R	Max DD	Ave win	Ave loss	Best win	Worst loss	Kelly	Equitycurve
	Week
A+	Daily	4	1631	100%	100	-535	407	Current	661	now=-50	100	LAST TRD-losing
C	240	12	22	58%	0.73	-320	117	-160	200	-243	0.4	LOW DD PASS
C	180	17	-53	41.2	1.35	-355	126	-267	297	-267	NEG	LOW DD PASS
	120	30	-1134	30	.68	-1176	94	-76	94	-268	NEG	LOSING FAIL
	100	45	-325	37.7	1.35	-648	87	-65	296	-221	NEG	LOSING FAIL
	80	51	-629	33.33	1.28	-691	65	-51	186	-222	NEG	LOSING FAIL
	60	66	-736	30.3	1.58	-1172	80	-50	365	-172	NEG	LOSING FAIL
	50	73	-551	34.2	1.5	-1026	77	-51	370	-158	NEG	LOSING FAIL
	40										NEG	LOSING FAIL
	30


Score	Ticks	Trades	Profit	Win-lose	Risk-R	Max DD	Ave win	Ave loss	Best win	Worst loss	Kelly	Equitycurve

	20
	15
	10
	5
	3
	3

Comments for times daily.

wow 4 wins from 4 trades, current trade still open with -50 profit, but max dd on that trade

is around -350 points.

As with test1, the stop loss appears to be the culprit preventing larger than stomach-able losses

TEST 2 Improvement ideas.

Optimise stop in the most promising time frames 80 minutes down to 50 minutes 5 min increments.

Add a max loss stop;

Add a "close trades at end of day"

Add a " dont trade later than 3pm"

This will done in page System33_optimise