View Full Version : Daily Signals Diary - S& P
I have spent some time developing a new non-mechanical Pattern Recognition system which appears to back-test well and has been paper traded in real time throughout December with encouraging results.
However, due to the subjectivity in some of the patterns/signals, further testing in real time is required to bring to the surface any flaws and allow for system development/adjustment.
I will try to post daily thoughts so that anyone interested can follow progress.
Please remember.
Futures trading is very risky. You can lose all or more of your initial investment. No trading recommendations or advice is being given here. The information is for entertainment only and is to be construed as basic market commentary. No claims are made! Trade at your own risk. Follow along and judge for yourself if you are interested.
System rules are currently.
Minimum 2 contracts per trade.
Maximum 2 trades running at any one time.
Minimum margin requirements - 4 contracts. (US$14252).
Current situation.
There was an average profit overall for December of 43.25 points per contract.
(Minimum requirement 2 contracts = US$4325 profit based on the S&P mini).
Profit 303% annualised, - but bear in mind it is early days and the figure is based only on one month of trading.
(No allowance has been made for brokerage costs which vary immensly).
Dec Profitable contracts – points are per contract.
Long Position from 21NOV03 - closed 8DEC. +24.75 points
Long Position from 09DEC.
50% Closed 19/12. +22 points
25% Closed* 30/12. +32 points
25% Still open with stop now at +44 points (+30 points available at the end of Dec)
Average points score for this contract on Dec 31 = 26.50
*For anyone holding the minimum 2 contracts the suggestion would be not to sell and to continue holding the 2nd contract.
Dec Loosing Contracts - points are per contract
Short Position 12DEC. – 1 point
Short Position 30DEC. – 7 points
Instructions for 2nd January 2004
New Order.
Place sell stop at 1110.50 with stop loss at 1119.50.
If this order is filled, place an instruction to take a profit on
half the position at 1096.50
Instructions for 5th January 2004
New Instructions.
Re. Open Partial Position: Long from 11DEC03 @ 1067.
On all remaining contracts move stop to 1106 thereby securing around 39 points on the balance of the position if the index falls.
New Position short from 2JAN04
Should have been filled on 2 Jan at around 1110.50.
Stop loss is at 1119.50.
Place an instruction to take a profit on 50% of the position at 1096.50.
Information for 6th January 2004.
New Details.
Re. Open Partial Position: Long from 11DEC03 @ 1067.
On all remaining contracts move stop to 1111 thereby securing around 44 points on the balance of the position. Stops have been tightened now in anticipation of a pending top.
Position short from 2JAN04
We got stopped out of the short position from 2JAN04 at 1119.50 sustaining a loss of 9 points.
No new signals for today.
CURRENT JANUARY TOTALS
Profits (open contract if closed on suggested stop=) +14
Losses –9
Running Total +5 points per contract (US$500 per 2 contratcs min).
Open Positions 1 Long.
Information for 7th January 2004.
[u]New Details.</u>
Re. Open Partial Position: Long from 11DEC03 @ 1067.
On all remaining contracts move stop to 1113 thereby securing around 46 points overall on the balance of this position. Stops have been tightened 8 points in anticipation of a possible top.
No new signals for today.
[u]POINTS SCORE</u>
CURRENT JANUARY 04 TOTAL +7 points per contract.
December 03. +43.25 points per contract.
Jan04 Profits +16 (per open contract if closed on suggested stop)
Jan04 Losses –9
Open Positions - 1 Long. Deposit = $US3563 per contract.
Please read the red disclaimer in the first post.
Capitalist
07-01-2004, 03:40 PM
Thanks for posting this Arco-- good work. An acquaintance from another list also does SPX futures. You may find some value in his website www.brettsteenbarger.com click through to the blog if you are interested.
stormrose
07-01-2004, 08:30 PM
If you don't mind me asking: What methodologies do you use to match patterns? GA, NN, Rules?
Cap
Thanks for the info, - its always interesting to see others views.
Stormrose
The complex nature of the system would probably require a 500 page book of explanations and referencing charts to enable anyone to correctly follow the routines involved.
Also, the system is still in its infancy and testing stage, and may need minor or even major amendments.
stormrose
08-01-2004, 10:25 AM
Ok, thnx anyways. I'll just keep plugging away then :-)
When/If you retire you can always write that 500 page book.
Information for 8th January 2004.
Yesterdays spike down tested the mid-point @ 1117.285 of the dominant candle from JAN5 and it acted as support. This is often the case with the mid point of a dominant white Marubozu.
However, there are definite signs of stalling at this point, and a retracement appears overdue.
Re. Open Partial Position: Long from 11DEC03 @ 1067.
Stop remains at 1113 thereby securing around 46 points overall on the balance of this position. Stops have been tightened 8 points in anticipation of a possible reversal.
No new signals for today.
POINTS SCORE
CURRENT JANUARY 04 TOTAL +7 points per contract.
December 03 Total. +43.25 points per contract.
Jan04 Profits +16 (per open contract if closed on suggested stop)
Jan04 Losses –9
Open Positions - 1 Long.
Deposit = $US3563 per contract.
Please read the red disclaimer in the first post.
Trading Diary for 9th January 2004.
Position in the Market.
Open Partial Position: Long from 11DEC03 @ 1067.
On all remaining contracts moving stop to 1116 thereby securing around 49 points overall on the balance of this position. Stop is 4 points tighter than normal.
No new signals for today.
POINTS SCORE
CURRENT JANUARY 04 TOTAL +10 points per contract.
December 03 Total. +43.25 points per contract.
Jan04 Profits +19 (per open contract if closed on suggested stop)
Jan04 Losses –9
Open Positions - 1 Long.
Deposit reqd = $US3563 per contract.
Profit per point $US50
Please read the red disclaimer in the first post.
Trading Log for 12 January 2004.
Position in the Market.
Open Partial Position: Long from 11DEC03 @ 1067.
No changes to previous days figures.
No new signals.
Trading Log for 13th January 2004.
Position in the Market.
Open Partial Position: Long from 11DEC03
Move stop to 1118 on all remaining contracts
thereby securing around 51 points overall
on the balance of this position.
New Signal
Going short at 1120 on sell stop. Stop loss if filled 1135.
Take a profit on 50% of position at 1106.
Please read the red disclaimer in the first post.
Trading Log for 14th January 2004.
A few conflicting buy/sell signals showing
presently.
Current position in the Market.
Partial Position: Long from 11DEC03.
NOW CLOSED @ 1118 securing around
51 points on the balance of this position.
($US2550 per contract).
Re: Yesterdays Signal.
Fill received at 1120 short.
Amending stop loss to SAR @ 1135.
Taking a profit if available on 50% of
position at 1106.
Please remember to read the red disclaimer
in the first post.
Trading Log for 15th January 2004.
Current Position in the Market.
Short from 1120
SAR @ 1135.
Taking a profit if available on
50% of position at 1106.
Note: This system is new and is being testing in
real time. Please remember to read the red
disclaimer and information in the first post.
Capitalist
15-01-2004, 07:32 PM
Arco you should send your ideas to Brett. He is starting up a private email list for the exchange of ideas regarding new systems.
Brett has been trading for spencers son - or are we talking about the same brett
Trading Log for 16 January 2004.
Current Positions in the Market.
Short 13 DEC @ 1120 CLOSED
Loss 15 points.
Open Positions
Long from 15 Jan 1135.
Stop Loss 1115.
Take profit on half position at 1149.
Cap
Thanks for your info re Bretts “ideas exchange”.
Whilst I am always keen to share ideas, this system is still
under development and I do not want to release it
until I am satisfied with the results.
Working it in real time has brought to light the problems of using logic and over riding the auto stop loss and entry systems.
This has caused exiting too early and unnecessary losses.
I have now amended my rules to resolve this situation which
should increase profitability through most whipsaw situations.
All auto stop-loss systems under test have still not signaled
an exit on the 11DEC contract and it would still be open if
I had not introduced a biased thought pattern into the equation.
Trading Log for 19 January 2004.
[u]Current Position in the Market. </u>
Long from 15 Jan @ 1135.
Moving Stop Loss to 1122.
Taking profit on half position at 1149.
Trading Log for 20 January 2004.
Current Position in the Market.
Long from 15 Jan @ 1135.
Stop Loss is 1122 (not SAR).
Taking profit on half position at 1149.
Trading Log for 21 January 2004.
Current Position in the Market.
Open Position.
Long from 15 Jan @ 1135.
Amending Stop Loss to 1123 (not SAR).
Amending taking profit on half position
to 1144.50
Please read the red discalmer in the
first post.
Trading Log for 22 January 2004.
Current Position in the Market.
Open Position.
Long from 15 Jan @ 1135.
Profit of 9.5 points taken on half the position
at 1144.50. Half remains.
Amending Stop Loss to 1125.50 (not SAR).
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
Trading Log for 23 January 2004.
Current Position in the Market.
Open Position.
Long from 15 Jan @ 1135.
Profit of 9.5 points was taken on half
the position at 1144.50. Half remains.
Amending Stop Loss on balance to 1133 SAR.
Maximum risk now is only 2 points on the balance.
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
Trading Log for 26 January 2004.
Current Position in the Market.
Open Position.
Long from 15 Jan @ 1135.
Profit of 9.5 points was taken on half
the position at 1144.50. Half remains open.
Maximum risk is 2 points on the balance.
SAR (stop and reverse) remains @ 1133.
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
Trading Log for 27 January 2004.
Current Position in the Market.
Open Position.
Long from 15 Jan @ 1135.
Profit of 9.5 points was taken on half
the position at 1144.50. Half remains open
and currently up 20 points.
Maximum risk is 2 points on the balance
with SAR (stop and reverse) still @ 1133.
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
Trading Log for 28 January 2004.
Current Position in the Market.
Open Position.
Long from 15 Jan @ 1135.
Profit of 9.5 points was taken on half
the position at 1144.50. Half remains open.
Maximum risk is 2 points on the balance
with SAR (stop and reverse) still @ 1133.
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
Trading Log for 29 January 2004.
Current Position in the Market.
Closed Position.
Long from 15 Jan @ 1135.
Profit of 9.5 points was taken on half
the position at 1144.50. 50% balance
was stopped out overnight @ 1133 with a
loss of 2 points. Under the SAR rule we
are now short from 1133.
New Open position.
Short from 28 Jan @ 1133
Stop loss 1163.
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
Forgot to mention re new short position.
System signals to sell half position @ 1019.
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
Trading Log for 30 January 2004.
The index came within 3.38 points of
the profit target overnight.
This is one part of the system I may
need to adjust in order to continually
grab those available short term profits.
Current Position in the Market.
Open position.
Short from 28 Jan @ 1133
Stop loss amending 1156.
Take profit on half position @ 1019.
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
Trading Log for 2 Feb 2004.
Current Position in the Market.
System Open Position.
Short from 28 Jan @ 1133
Close 1131.13
Stop loss 1156.
Take profit on half position @ 1019.
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
Just noticed this interesting
graph /commentary on Jim Smarts site.
http://www.smartdaytrader.com/images/10251.GIF
Trading Log for 3 Feb 2004.
Current Position in the Market.
System Open Position.
Short from 28 Jan @ 1133
Stop loss 1156.
Take profit on half position @ 1019.
The index may be in the AB of an ABC correction.
Overnight we should get more info for confirmation
of that situation.
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
SnP System Results to date based on full 2 contracts.
Nov + 49.5 points
Dec + 6 points
Jan + 14.5 points
Total + 70 points / US$17500
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
Trading Log for 4 Feb 2004.
Current Position in the Market.
System Open Position.
Short from 28 Jan @ 1133
Stop loss amended to 1150 non SAR.
Take profit on half position @ 1019.
The index still may be in the AB of an ABC correction.
Unfortunately we are still no wiser for confirmation
of that situation.
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
ERROR
Take profit on half position @ 1019.
SHOULD READ 1119.
Trading Log for 5 Feb 2004.
Current Position in the Market.
System Open Position.
Short from 28 Jan @ 1133
Stop loss amended to 1143 non SAR.
Taking profit on half position @ 1119.
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
Trading Log for 6 Feb 2004.
Current Position.
System Open Position.
Short from 28 Jan @ 1133
Stop loss amending to 1138 non SAR.
Taking profit on half position @ 1119.
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
younga
06-02-2004, 10:07 PM
Arco, may I ask are you doing one for the ASX? Your predictions are too good to let go to waste.
Younga
In back testing I have found this particular
system does not work well with the ASX.
However, I am currently testing a new and recently
developed system which may work with this index
and Aussie stocks in general. I would hope to be
able to post some daily infomaion in the near future.
Arco
Trading Log for 9 Feb 2004.
Current Position.
System Closed Position.
Short from 28 Jan @ 1133
The stop loss at 1138 was hit overnight
for a loss of 5 points per contract.
The PRS recognised the possibility of a
reversal around this point, but with test
conditions the profit should have been
achieved before that occurance.
Unfortunately the short target
was missed by just 3.41 points.
No new signal.
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
Trading Log for 10 Feb 2004.
Current Position.
Flat
No new signal.
Trading Log for 11 Feb 2004.
Current Position.
Flat
New signal.
To go short on close if below 1139
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
Trading Log for 12 Feb 2004.
Current Position.
Flat
New signal.
Amending. Going short on close if below 1150
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
Trading Log for 13 Feb 2004.
Current Position.
Flat
New signal.
Amend. Short order cancelled
until I can make a judgement on Fridays nights close.
The PRS needs a further candle/s to complete
a sequence before an entry point in either direction
can be assertained.
This is a paper test of a new system.
Please remember to read the red disclaimer
in the first post.
Trading Log for 16/17 Feb 2004.
US market closed tonight for Presidents Day.
Current Position.
Flat
New signal.
The PRS still needs a further candle/s to complete
a sequence before an entry point in either direction
can be assertained.
Trading Log for 17 Feb 2004.
US market re-opens tonight.
Current Position.
Flat
No new signal.
The PRS still needs a further candle/s to complete
a sequence before an entry point in either direction
can be assertained.
Trading Log for 18 Feb 2004.
Current Position.
Flat
New signal.
The PRS has now given 2 signals.
Go long at close if the index is above 1164,
or Go short at close if the index is below 1144.75
Signals change daily.
This is a paper test of a new pattern
recognition system (PRS). Please remember to read
the red disclaimer in the first post.
Trading Log for 19 Feb 2004.
Current Position.
Flat
New signal.
Amending. Go short at close if the index is below 1144.75
Signals change daily.
This is a paper test of a new pattern
recognition system (PRS). Please remember to read
the red disclaimer in the first post.
Trading Log for 20 Feb 2004.
Current Position - Flat
New Signal.
Going short at close if the index is below 1144.50
This is a paper test of a new pattern
recognition system (PRS). Please remember to read
the red disclaimer in the first post.
Trading Log for 23 Feb 2004.
Current Position
New - Short from close 20 Feb @ 1144.11
Target. Selling 50% of position when/if index hits 1134.
(Target figure may change daily).
This is a paper test of a new pattern
recognition system (PRS). Please remember to read
the red disclaimer in the first post.
Log for 24 Feb 2004.
Current Position
Short from 20 Feb @ 1144.11
Target. Selling 50% of position when/if index hits 1137
(Target figure may change daily).
This is a paper test of a new pattern
recognition system (PRS). Please remember to read
the red disclaimer in the first post.
Log for 25 Feb 2004
Current Position - Short from 20 Feb @ 1144.11
Sold 50% of position when index hit 1137 (as noted
in previous post) gaining 7.11 pts = Profit US$1777.50 per contract.
50% of position remains short. Exiting at close if index above 1144.50
This is a paper test of a new pattern
recognition system (PRS). Please remember to read
the red disclaimer in the first post.
Update
Exiting balance of position at 1134 if touched.
Log for 26 Feb 2004
Current Position - Short from 20 Feb @ 1144.11
50% sold 24/02 @ 1137 Profit 7.11 pts
50% of position remains short.
Exiting balance of position at 1139 if touched,
or at close if index above 1144.50
This is a paper test of a new pattern
recognition system (PRS). Please remember to read
the red disclaimer in the first post.
Log for 27 Feb 2004
Current Position - Short from 20 Feb @ 1144.11
50% sold 24/02 @ 1137 Profit 7.11 pts
50% of position remains short.
Exiting balance of position at 1135 if touched,
or at close if index above 1145.50
I made an error on yesterdays close out figure
which should have been just above the previous
days high of 1145.18 i.e 1145.5 (not 1144.50).
This is a paper test of a new pattern
recognition system (PRS). Please remember to read
the red disclaimer in the first post.
All markets looking quite strong.....
closing short position now at 1146 to protect profit.
Log for 1 Mar 2004
Current Position - Flat
Short from 20 Feb @ 1144.11
50% sold 24/02 @ 1137 Profit 7.11 pts
50% sold 27/02 @ 1146 Loss 1.89 pts.
Profit on this position - 2 contracts 5.22 pts $US1305.
No new signal at present.
This is a paper test of a new pattern
recognition system (PRS). Please remember to read
the red disclaimer in the first post.
Below is a chart that may be of interest - (thanks to Jim Smart).
http://www.smartdaytrader.com/images/222804.gif
THE KING says arco whom are you talking too. Regards[8]
stormrose
01-03-2004, 03:56 PM
Me. I'm listening.
willy the plunger
01-03-2004, 04:11 PM
I'm watching -keep posting arco
WTP
miner
01-03-2004, 04:37 PM
Me too Arco very interesting and looks to be working well,keep up the good work,looks like you have it sussed and are making$$$[8D].
Thanks for sharing your hard work;).
Cheers
Miner
quote:THE KING says arco whom are you talking too. Regards
I am talking to anyone that cares to listen. ;)
As there have been over 700 'reads' of the post in
under 2 months , I imagine some forum members are interested. [?]
Capitalist
01-03-2004, 06:06 PM
quote:Originally posted by THE KING
THE KING says arco whom are you talking too. Regards[8]
"Excuse me Sir, I think you dropped your brain." Bwaha...hmmm...
System Performance - Feb04
The PR system under test showed a loss
of 4.78 pts based on the minimum 2 contracts.
In future I will only post when the
system gives/amends a signal.
THE KING says just wanted to know.[8]
SP500 Trading System Test - Update
System generated a short signal 7/3
on a close below 1148.78.
Current position short MOC 8/3 @ 1147.20
with trailing stop.
stormrose
12-03-2004, 10:09 PM
Thanks, thought you'd stop posting the signals altogether.
Stormrose
Thanks for your interest.
I am still testing the new system which
appears to be working well presently
and I will continue to post updates.
Selling 50% MOC.
SP500 Trading System Test - Update
System short from 7/3 @ 1147.20
50% sold 12/3 MOC @ 1120.60 -
profit 26.6 pts per contract = US$6650
50% remains on trailing stop.
SP500 Trading System Test - Update
System short from 7/3 @ 1147.20
Selling Balance 50% at open.
This is a paper test of a new pattern
recognition system (PRS). Please remember to read
the red disclaimer in the first post.
SP500 Trading System Test - Update
System short from 7/3 @ 1147.20
Balance 50% sold at open 1112.20.
Profit 35pts - $US$8750 per contract.
Total on the 2 contracts 61.6 pts - US$15400
This is a paper test of a new pattern
recognition system (PRS). Please remember to read
the red disclaimer in the first post.
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