System33 (SUPPORT-RESISTANCE signal only)

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NOT ROBUST SYSTEM SIGNAL AS RESULTS ARE SPASMODIC, ONLY TO BE USED IN UPTREND SIMPLE PRICE ACTION!

DISCONTINUED DUE TO NIGHTMARE CODING PROBLEMS

AND UNSUITABILITY OF SYSTEM TO FTSE

SYSTEM33 TEST 3 original version (CODE SHOWS 1% TOLERANCE!!)

 

Important bugs have been found ( see SYSTEM33_SUPPORTBUGS)

Which around 60 FT-SE points, too much for hourly or less.

This is too wide for low timeframes, but maybe ok for long term, needs a

universal setting that caters for all timeframes.

SUPPORT-RESISTANCE Signal test.

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 3

 

 SUPPORT-RESISTANCE SIGNAL (06Support) (just over support)

 

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 0 0 0 0 0 0 0 0 0 0 Null
B+ Daily 13 1080 53.8% 1.89 -645 282 -149 642 292 28 DD just failed
A 400 33 2370 66.6% 1.33 -700 172 -129 533 348 41.1 DD Fail but ok
B 240 53 1561 49% 1.61 -796 168 -104 600 -311  17.3 DD Fail stop opt
  180 73 368 45.2 1.33 -1116 123 -269 458 -269 3.9 DD Fail stop opt
  120 107 -696 40.1 1.27 -1372 95 -74 396 -74 NEG LOSING FAIL
B 100 145 1621 50.34 1.35 -921 82 -61 486 -227 13.4 DD Fail stop opt
  80 177 1313 47.4 1.41 -794 73 -52 537 -191 9.4 DD Fail stop Opt
  60 208 557 44.23% 1.39 -1139 67 -48 473 -216 4.1 DD Fail stop Opt
  50 250 -213 40.4% 1.52 -1311 69 -45 693 -223 1.1 DD Fail stop Opt
  40                      
  30                      
  20                      
  15 647 -1044 37.56 1.49 -2025         NEG LOSING FAIL
  10                      
  5                      
  3                      
  3                      

 

Comments for 100 mins, excellent equity curve after March 2004!

 

 

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

 

 

 

TEST 2 Improvement ideas.

 

Consider how to fractalise the 1% tolerance to be valid on smaller

timeframes. Or retest using .25% for times less than 1 hour?

 

Optimise stop in the most promising time frames 100 minutes up to 600 minutes 10 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