Re: E-mini S&P Intraday (Daytrade) System

["akaloustian" <ara1@xxxx>]

I tested your code - with only 30 days of $SPX data - with 7 trades. 
2 shorts (both winners on 9/29 and 9/10 and both choppy, non trending 
days) and 5 losing longs with both choppy and trending days.

With this very limited data set, I don't see any particular trends, 
but based on your results of being profitable, it seems to be 
sensitive to varying time cycles.... 

Ara

--- In amibroker@xxxx, "wdbaker8" <wdbaker8@xxxx> wrote:
> All,
> Here is my first attempt at a simple system to work for the E-mini 
> S&P futures intraday. I only had 1 1/2 years of 5min data to test 
on 
> and the returns and equity look nice, hoping some of you could 
point 
> out any problems with a system of this nature or ways to improve. 
> 
> Thanks
> wdbaker8
> 
> //*Roc'n the E-mini*//
> Filter=TimeNum()>=080000 AND TimeNum()<=150000; 
> PositionSize=2500;
> 
> ROC1=.55;
> ROC2=.4;
> ROC3=5;
> ROC4=5;
> x=ROC(Close,ROC3)>ROC1;
> y=ROC(Close,ROC4)<-ROC2;
> 
> test1= Filter AND x ;
> test2= Filter AND y;
> //*Buy___________________________________*//
> 
> Buy=test1 ;
> Sell=TimeNum()>150000;
> 
> //*Sell___________________________________*//
> 
> Short=test2 ;
> Cover=TimeNum()>150000;