the systems are all back tested with every trade regardless of
gaps. In my experience, most trades work out, even those with
gaps. You would have to manually go through all the trades
and take them out to see the difference, or write a program that
takes out the gaps and see the difference in back testing
results. Also, the other day someone here posted the stats of
the SRS system for each hr of the day
But again, I leave the sytems unoptizmed, i.e. they are raw
simple systems. I leave it up to you guys to improve them and
make modifications. Like a house you buy, choose to keep it
as it is, or make improvements additions to the house
anyway, here's the post from the other day from davetrader:
Here is a study I did
on
SRSI thought I would share for
those interested, it breaks down trade history YTD based on the
hour of the day the trade is taken. I used Matt's setup on
the 15 minute chart (9/39 EMA cross and sell at EOD). This
study was completed using StrategyDesk which of course is subject
to error.
The numbers represent using $4,000 dollars for
each trade taken. Draw your own conclusions from the
information in this table, except I will comment “for whatever
reason the 1330 to 1430 time period seems to be a low win
probability time of the day”.
Note: Average trade,
average win and average loss are all dollar amounts.
Time
W/L
% Win
PF
Average Trade
Average Win
Average Loss
Overall % G/L
0930 to 1030
6/2
75
3.39
99
188
-166
2.5
1030 to 1130
2/1
66
3.7
136
286
-151
3.3
1130 to 1230
4/1
80
9.45
169
237
-100
4.1
1230 to 1330
3/1
75
4.26
121
211
-149
3
1330 to 1430
2/4
33
0.61
-33
160
-130
-1
1430 to 1530
3/1
75
5.7
49
79
-41
1.1
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the systems are all back
SRS Mechanical System
Posted by matt on 15th of May 2009 at 12:26 pm
the systems are all back tested with every trade regardless of gaps. In my experience, most trades work out, even those with gaps. You would have to manually go through all the trades and take them out to see the difference, or write a program that takes out the gaps and see the difference in back testing results. Also, the other day someone here posted the stats of the SRS system for each hr of the day
But again, I leave the sytems unoptizmed, i.e. they are raw simple systems. I leave it up to you guys to improve them and make modifications. Like a house you buy, choose to keep it as it is, or make improvements additions to the house
anyway, here's the post from the other day from davetrader:
Here is a study I did on SRSI thought I would share for those interested, it breaks down trade history YTD based on the hour of the day the trade is taken. I used Matt's setup on the 15 minute chart (9/39 EMA cross and sell at EOD). This study was completed using StrategyDesk which of course is subject to error. The numbers represent using $4,000 dollars for each trade taken. Draw your own conclusions from the information in this table, except I will comment “for whatever reason the 1330 to 1430 time period seems to be a low win probability time of the day”.
Note: Average trade, average win and average loss are all dollar amounts.
Time
W/L
% Win
PF
Average Trade
Average Win
Average Loss
Overall % G/L
0930 to 1030
6/2
75
3.39
99
188
-166
2.5
1030 to 1130
2/1
66
3.7
136
286
-151
3.3
1130 to 1230
4/1
80
9.45
169
237
-100
4.1
1230 to 1330
3/1
75
4.26
121
211
-149
3
1330 to 1430
2/4
33
0.61
-33
160
-130
-1
1430 to 1530
3/1
75
5.7
49
79
-41
1.1