CFDs - Eric Kratzer S/T Method

[eric35]

Hi All,

What a couple of weeks we had. Today certainly looks better.

The only way I was able to make some money was day trading with CFD.

Hopefully the rally holds and we can do some longs again.

 

[eric35]

The market certainly has changed and we have to look at new methods to make money. The old swing trading stops us out too early, and as soon as we are out, the market moves up again.
I have found that day trading and very short trading gives me the best profits at the moment.

I am putting together a revised plan for this type of market. Any ideas would be welcome.

 

[porkpie324]

I have had limited success day trading index CFD's, I start by identifying a trend using hourly charts, then using a 3 min chart for an overbought/sold situation, then a 1 min chart for entry. I started looking at a system last week, I'm only trading stocks now in extreme oversold situations. Would be interested in your comments or system Eric. porkpie

 

[Trembling Hand]

The market certainly has changed and we have to look at new methods to make money.

 

[Trembling Hand]

Ok guys! Just ran a back test on this system with SPI day session data for this year.
This is my first every back test so, pick away. Parameters as follow,

 

[Trembling Hand]

And the results?
Not pretty. If you traded every signal. Note this is without brokerage @ say $8 a round trip(costing $2872). 39% wins.

And this doesn't account for slippage!

 

[happytrader]

Very interesting TH

From your sample were you able to identify at which times you were better off staying out of the market or waiting until a direction was established enough to trade to your advantage?

Cheers
Happytrader

 

[professor_frink]

Ok guys! Just ran a back test on this system with SPI day session data for this year.
This is my first every back test so, pick away. Parameters as follow,

Running a test of the 7/15 cross on a 2 min chart based on the morning session( up to 11:30 am as per the first post in the thread) on a lower vol environment(July 06- Jun07), and allowing for $5 a side brokerage + 1 point slippage on entry and exit(for a grand total of $30 cost entry + exit per trade), based on 24 hour data on a single contract traded gives the following results-

683 trades
227 winners(33.24%)
456 losers(66.76%)
av win $285.81
av loss $176.67
payoff ratio 1.62
profit factor 0.81
max drawdown $-20075
Sharpe -6.95

Pretty dodgy results. But I think most of us knew that before it was even tested

 

[professor_frink]

Just to add, this is only half the method tested as described earlier by prawn- I have no idea how to code in the change over to a higher timeframe half way through the session. Running the same test based on 5 minute data, and trading the entire session instead of just the morning period actually manages to turn a profit....just. But with a profit factor of 1.17 it leaves the possibility of that profit quickly turning into a loss if slippage turns out to be greater in real trading.

 

[professor_frink]

Scratch both of the posts I made above- I didn't have the backtester set up properly- it was coded to buy the open of the bar where the cross took place, not the bar after, so those results should be considered quite flattering to the method, and real trading would result in much, much worse results

 

[Trembling Hand]

Hello Professor.

Ran another test on BHP entries from 10:02 to 12:00 excluding the lunch period when the Averages are going to merge and give you false signals. For this year. long and short. 100 shares per trade. no brokerage or slippage.

Results? Same cut up!

 

[prawn_86]

Good work guys.

I have to say that the more i trialled it manually, the worse (averaging down) the results got.

I have hence put my day/index trading on the backburner until i get time (and capital) once again

Why cant there be an easy way to day trade :

 

[Trembling Hand]

Why cant there be an easy way to day trade :

There is. It is widely recognised to become an expert at any performance field there is just one thing you need to do......

Spend 10 years in deliberative practice.

Of course Eric Kratzer would know this. He is the training and mentoring expert!

 

[prawn_86]

10 Years...

That is 50% of my age!!

But as they say practice makes perfect

 

[Eric]

Well, guys, the point I always made is that it is NOT a purely mechanical system. It creates a framework, you still have to use your brain to select the right stocks to enter, as well as when to exit. That is why mechanical backtesting will never work.

The fact is, that, especially in this market, day trading according to this method still gives me my best income.

Eric
www.tradingaustralianshares.com

 

[Trembling Hand]

The fact is, that, especially in this market, day trading according to this method still gives me my best income.

Yes it would seem so. A 80% win rate is outstanding.