Tuesday, November 23, 2010

Historically Backtested, High Probability Setups

With all the selling today, it is time to buy the fear. A simple trading system that I follow triggered a few signals for 11/23/10 in some ETF's. It is a rather low risk, high probability scenario. The system is ony made of 3 inputs, one based on price and the other two based on moving averages. The goal is to find an edge but keep these things very SIMPLE. Below are the top ETF's based on # of trades in the sample:


Buy Indicator; Sell Indicator [close to close].  $100,000 per trade; ETF's Inception to present.
Ticker
Net Profit
# Trades
# of Winners
% of Winners
Max. Trade % DD
Avg % P/L
W. Avg. Profit
L. Avg. Loss
Profit Factor
Payoff Ratio
Avg Bars Held
 SPY 
    58,532
63
51
80.95
-4.93
0.93
      1,352
       (869)
6.61
1.56
3.84
 EWH 
    25,499
56
37
66.07
-14.15
0.46
      2,063
   (2,676)
1.50
0.77
5.27
 EWZ 
    74,053
53
42
79.25
-16.23
1.40
      2,538
   (2,957)
3.28
0.86
3.77
 DIA 
    22,780
52
38
73.08
-3.74
0.44
      1,010
   (1,114)
2.46
0.91
4.10
 EWL 
    32,109
44
34
77.27
-10.59
0.73
      1,400
   (1,548)
3.07
0.90
4.11
 EWU 
    46,926
44
36
81.82
-5.45
1.07
      1,404
       (452)
13.97
3.10
4.00
 EWS 
    48,197
43
31
72.09
-8.46
1.12
      2,103
   (1,417)
3.83
1.48
4.07
 EPP 
    29,199
38
31
81.58
-8.31
0.77
      1,183
   (1,068)
4.90
1.11
3.89

Act on these. Add your own stops. Do nothing. Combine with your own strategy. Do whatever you want, I just like sharing my thoughts that I believe people can benefit from.
I use these backtested results to give me the confidence to take certain trades. It is not easy buying $EWU or $EWH on a day like today, or picking up $SPY call options as the market is selling off. We'll see how this plays out; Kim Jong-Il could fire another missile or more debt problems could crop up in the EU. Futures were green when I wrote this, but who knows. I'll be ready to add more tomorrow if additional signals trigger.

4 comments:

Anonymous said...

Have you published the trading rules or is this proprietary?

Chris said...

This one is not published. But most of the Market Studies reveal the rules.

robin said...

hi, where can i see the rules for this system? thanks Robin

Robin Gray said...

Hi Chris, i would be willing to pay you something (via paypal) for some good ideas on SPY / Nasdaq / Dow trading. Can you provide me with some ideas . stats, links. This system looks good. How many years is it tested over?

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