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

["wdbaker8" <wdbaker8@xxxx>]

I am not aware if it works on anything other than the e-mini S&P 
future,maybe if you tried it on 5min es2z or es2u contracts etc...

wdbaker8

--- In amibroker@xxxx, "akaloustian" <ara1@xxxx> wrote:
> 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;