This is the trading system I presented in Futures magazine, Feb 2009 issue.
Data Setting
1. 5-min ES
2. 9:30 to 16:00 ET
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Here is an update on the performance of the Basic Consensus System.
As you can see, there is a mild drawdown period during 2006. After that, the system has been performing very well.
While talking with some trading buddies on handling trend days (those days that keep going in one direction only, with little or no pullbacks), I backtested the following setup and produced some very interesting results.
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Here is the trading system I presented in the Futures Magazine article, Day-trading with the Tick Index, in the July 2008 issue.
System Setup
1. Emini S&P regular trading hours (RTH) only.
2. 15-second bar. Drop the last 15 minute from RTH because there is no breadth data to collect in that 15 minutes.
3. SP_TICK16 is the signal generating series.
4. It is a daytrading system. Always exit open position by 4:00 Eastern Time.
Downloadable Code
Those of you who have NeoTicker can download the formula language based system here.
Here is the trading system I presented in the Futures Magazine article, Using market breadth in trading systems, in the January 2008 issue.
System Setup
1. Emini S&P regular trading hours (RTH) only.
2. 130-minute bar. Drop the last 15 minute from RTH because there is no breadth data to collect in that 15 minutes.
3. SP_D3A is the signal generating series.
4. It is a multiple day swing trading system
Downloadable Code
Those of you who have NeoTicker can download the formula language based system here.
NeoTicker trading system fire orders after bar completion, this limition is done to emulate real-time condition when a signal is only confirmed after a bar is completed. However when signal indicators are based on higher time frames (e.g. 15 minutes, 30 minutes and etc.), this order placement method suffer when order placed at next bar could be 15 to 30 minutes after signal bar, compress series in NeoTicker can be used to compensate for this deficiency and make trading systems enter with acturate prices and fills.
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Here is an extremely simple trading system that violates the classic rule of trading, trend is your friend, with very good results. It is an excellent example that illustrates how counter-trend approaches work.
The original OddBall System no longer performs since end of year 2001 (see OddBall System – An Update). Here is an attempt to improve the system.
Stochastics is one of the most widely used technical indicators in the world. Surprisely, most traders like to modify the original indicator into something else because they find the original implementation too noisy.
I am going to show you a trading setup using the original Stochastics SlowK indicator that works very well on daily data across many stocks that I think you will consider re-examine this classic technical indicator once more.
I am going to present a system that takes multiple technical indicators as part of its decision making. By combining these indicators through a simple scoring system, we get a very profitable daytrading system that works year after year.
(Lawrence – this system was designed many years ago (before year 2000) and was originally created for a trading platform that was very popular at the time. I was going through some old notes I have and adapted the code into NeoTicker. I am very glad that NeoTicker can implement the same system in 1/10th the amount of code required to implement the system. The original money management code has to be stripped due to various reasons, including NDA restrictions.)