Over the past few weeks I have developed a True Strength Index (TSI) related indicator/strategy that shows great promise when run through numerous back test parameters. At this point I would like to find out how it behaves in real-time. In the quest to satisfy my curiosity, I intend to update the table below for new signals generated by the system after each day's trade has closed.
At the end of this 3-week experiment I should have a sense for whether further real-time testing is needed to draw a conclusion about the system, or whether it is either a pure dud or an inspired strategy (unlikely, but I can hope).
And if you choose to follow the daily updates I am quite sure you have your own opinion of the system, which I invite you to share.
|
Here are 56 Futures Contracts
available to me using the ThinkorSwim
trading platform.
I have created a new
indicator/strategy that back tests well but I do not know how well it tests
in real-time.
My intention is to update this table
after each day’s close for a period of 3 weeks. I expect that this real-time
documentation will help me determine
how well the system works.
THIS IS AN EXPERIMENT – DO NOT TRADE
THESE SIGNALS AS I HAVE NO IDEA HOW RELIABLE THEY WILL BE!
I will only enter new data within a
cell if there is a new signal. Cells that are blank mean the existing signal
remains
in effect. Red
= Sell, Green
= Buy
At the conclusion, assuming I can keep
up with this for 3 weeks, I intend to summarize the findings of this EXPERIMENT - for both the good
and the bad outcomes, and offer an
opinion about the system’s reliability and profitability.
John
tsiTrader@gmail.com Most recent update:
Saturday September 1
|
|||||||||||||||||||||
|
|
FUTURES
CONTRACT
|
TICKER
SYMBOL
|
BEGIN
|
|
WEEK 1
|
|
WEEK 2
|
|
WEEK 3
|
||||||||||||
|
Aug 24
|
|
Aug 27
|
Aug 28
|
Aug 29
|
Aug 30
|
Aug 31
|
|
Sep 3
|
Sep 4
|
Sep 5
|
Sep 6
|
Sep 7
|
|
Sep 10
|
Sep 11
|
Sep 12
|
Sep 13
|
Sep 14
|
|||
|
1.
|
Australian
Dollar
|
6A
|
8/13
1.0487
|
|
1.0351
|
1.0358
|
1.0332
|
1.0277
|
1.0314
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2.
|
British Pound
|
6B
|
8/24
1.5802
|
|
1.5796
|
1.5814
|
1.5832
|
1.5787
|
1.5877
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3.
|
Canadian Dollar
|
6C
|
8/22
1.0083
|
|
1.0087
|
1.0114
|
1.0105
|
1.0071
|
8/31
1.0144
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4.
|
Euro FX
|
6E
|
7/25
1.2166
|
|
1.2502
|
1.2569
|
1.2533
|
8/30
1.2508
|
8/31
1.2585
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5.
|
Japanese Yen
|
6J
|
8/1
0.012758
|
|
8/22
0.012733
|
0.012741
|
0.012711
|
0.01272
|
0.012777
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6.
|
Mexican Peso
|
6M
|
8/13
0.075725
|
|
0.075675
|
0.0757
|
0.075025
|
0.07485
|
8/31
0.075675
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7.
|
New Zealand
Dollar
|
6N
|
8/7
0.8133
|
|
0.8073
|
0.8036
|
0.7997
|
0.7974
|
8/31
0.8025
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8.
|
Swiss Franc
|
6S
|
7/25
1.0135
|
|
1.0409
|
1.0471
|
1.0437
|
8/30
1.042
|
8/31
1.048
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9.
|
Cocoa
|
CC
|
8/13
2388
|
|
8/27
2472
|
2584
|
2580
|
2613
|
2611
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10.
|
Light Sweet
Crude Oil
|
CL
|
8/23
96.04
|
|
95.69
|
96.14
|
95.18
|
94.77
|
8/31
96.56
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11.
|
Cotton
|
CT
|
8/10
73.02
|
|
76.04
|
75.85
|
76.53
|
76.94
|
77.26
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12.
|
U.S. Dollar
Index
|
DX
|
7/13
83.44
|
|
81.71
|
81.36
|
81.58
|
8/30
81.725
|
8/31
81.195
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13.
|
E-Mini Euro FX
|
E7
|
7/25
1.2158
|
|
1.252
|
1.2568
|
1.2534
|
8/30
1.251
|
8/31
1.2584
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14.
|
E-Mini S&P
MidCap 400
|
EMD
|
8/23
966.7
|
|
968.9
|
972.7
|
971.9
|
965.3
|
971.5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15.
|
E-Mini S&P
500
|
ES
|
8/23
1400
|
|
1408
|
1407.75
|
1407.5
|
1396.25
|
1404.75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16.
|
Gold
|
GC
|
7/25
1603.5
|
|
1666
|
1669
|
8/29
1658.7
|
1657.6
|
8/31
1692.6
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17.
|
Eurodollar
|
GE
|
8/22
99.5925
|
|
99.6
|
99.605
|
99.605
|
99.6025
|
99.6125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18.
|
Feeder Cattle
|
GF
|
7/18
137.2
|
|
8/27
143.95
|
8/28
144.525
|
145.0
|
145.2
|
146.825
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19.
|
Libor one-month
|
GLB
|
8/6
99.77
|
|
99.7675
|
99.7675
|
99.7675
|
99.7675
|
8/31
99.775
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20.
|
Lean Hog
|
HE
|
8/13
77.1
|
|
73.1
|
73.125
|
73.85
|
74.225
|
74.1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21.
|
Copper
|
HG
|
8/3
3.365
|
|
3.4675
|
3.461
|
3.438
|
3.442
|
3.4615
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22.
|
Heating Oil
|
HO
|
8/3
2.9289
|
|
3.1303
|
3.1257
|
3.1295
|
3.14
|
3.1815
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23.
|
E-Mini Japanese
Yen
|
J7
|
8/22
0.012728
|
|
0.012703
|
0.01274
|
0.012721
|
0.012725
|
0.012778
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24.
|
Coffee
|
KC
|
8/24
163.1
|
|
166.75
|
167.9
|
165.95
|
163.7
|
164.35
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25.
|
Random Length
Lumber
|
LBS
|
8/16
309.5
|
|
290.8
|
286.5
|
286.9
|
288
|
289
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26.
|
Live Cattle
|
LE
|
8/16
125.425
|
|
123.35
|
123.825
|
8/29
125.625
|
125.8
|
126.125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27.
|
E-Micro AUD/USD
|
M6A
|
8/13
1.0488
|
|
1.0351
|
1.0359
|
1.0334
|
1.0279
|
1.0314
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28.
|
E-Micro GPB/USD
|
M6B
|
6/4
1.538
|
|
8/27
1.5794
|
8/28
1.5818
|
1.5827
|
8/30
1.5782
|
8/31
1.5879
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29.
|
E-Micro EUR/USD
|
M6E
|
7/25
1.2167
|
|
1.2501
|
1.2568
|
1.2529
|
8/30
1.2509
|
8/31
1.2583
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30.
|
Natural Gas
|
NG
|
8/21
2.83
|
|
8/27
2.664
|
2.608
|
8/29
2.691
|
2.76
|
2.802
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31.
|
Nikkei 225
Stock Average Index
|
NKD
|
8/22
9085
|
|
9100
|
9100
|
9065
|
8905
|
8895
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32.
|
E-Mini Nasdaq
100 Index
|
NQ
|
8/23
2762.75
|
|
2783
|
2783
|
2781.25
|
2754.25
|
2770.5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33.
|
Frozen
Concentrate Orange Juice
|
OJ
|
8/24
119
|
|
113.7
|
113.7
|
117.85
|
117.95
|
118.65
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34.
|
Palladium
|
PA
|
6/29
582.2
|
|
649.5
|
649.5
|
8/29
631.4
|
620.25
|
629.9
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35.
|
Platinum
|
PL
|
6/29
1452.1
|
|
1543
|
1519.7
|
8/29
1517
|
1508
|
1540.9
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36.
|
miNy Natural
Gas
|
QG
|
8/21
2.83
|
|
8/27
2.665
|
2.608
|
8/29
2.695
|
2.76
|
2.80
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37.
|
NYMEX miNY
Light Sweet Crude Oil
|
QM
|
8/23
96.05
|
|
95.725
|
96.125
|
95.25
|
94.825
|
8/31
96.575
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38.
|
RBOB Gasoline
|
RB
|
8/24
2.9069
|
|
2.9553
|
2.9359
|
2.922
|
2.915
|
8/31
2.9715
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39.
|
Sugar
|
SB
|
7/24
23.48
|
|
19.59
|
8/28
20.16
|
19.69
|
19.81
|
19.78
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40.
|
Silver
|
SI
|
5/17
28.015
|
|
30.67
|
30.85
|
30.775
|
8/30
30.49
|
8/31
31.79
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41.
|
Russell 2000
Index Mini-size
|
TF
|
8/23
805.2
|
|
809.6
|
813.8
|
814.1
|
805.9
|
811.1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42.
|
Ultra T-Bond
|
UB
|
8/22
166’21
|
|
166’18
|
167
|
166’17
|
167’06
|
169’17
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43.
|
Mini-sized Gold
|
YG
|
6/29
1598.2
|
|
1666
|
1669.3
|
8/29
1658.7
|
1658.1
|
8/31
1694.1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44.
|
Mini-sized
Silver
|
YI
|
6/29
27.43
|
|
30.67
|
30.821
|
30.725
|
8/30
30.461
|
8/31
31.767
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45.
|
Mini Dow Jones
Industrial Average
|
YM
|
8/21
13199
|
|
13104
|
13086
|
13086
|
12985
|
13082
|
|
|
|
|
|
|
|
|
|
|
|
|
|
46.
|
30-Year U.S.
Treasury Bond
|
ZB
|
8/22
148
|
|
149’23
|
150
|
149’26
|
150’12
|
151’21
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47.
|
Corn
|
ZC
|
7/23
785.5
|
|
800.25
|
796.25
|
8/29
814
|
808
|
8/31
800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48.
|
5-Year U.S.
Treasury Note
|
ZF
|
8/22
124’130
|
|
8/27
124’030
|
124’045
|
124’050
|
124’100
|
8/31
124’225
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49.
|
Soybean Oil
|
ZL
|
8/9
53.17
|
|
56.6
|
56.4
|
57.38
|
57.25
|
56.96
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50.
|
Soybean Meal
|
ZM
|
8/15
493.7
|
|
519.6
|
523
|
529.6
|
534.7
|
533
|
|
|
|
|
|
|
|
|
|
|
|
|
|
51.
|
10-Year U.S.
Treasury Note
|
ZN
|
8/22
133’165
|
|
8/27
132’220
|
132’270
|
132’250
|
133’025
|
8/31
133’260
|
|
|
|
|
|
|
|
|
|
|
|
|
|
52.
|
Oats
|
ZO
|
8/16
383.75
|
|
387
|
382.25
|
396.75
|
395.5
|
396.5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53.
|
Thirty-Day Fed
Funds
|
ZQ
|
8/14
99.86
|
|
99.87
|
99.865
|
8/29
99.865
|
99.865
|
99.865
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54.
|
Soybean
|
ZS
|
8/15
1634.5
|
|
1720.75
|
1724.25
|
1752
|
1761.25
|
1754
|
|
|
|
|
|
|
|
|
|
|
|
|
|
55.
|
2-Year U.S.
Treasury Note
|
ZT
|
8/22
110’065
|
|
110’067
|
110’067
|
8/29
110’06
|
8/30
110’072
|
110’095
|
|
|
|
|
|
|
|
|
|
|
|
|
|
56.
|
Wheat
|
ZW
|
8/20
879.75
|
|
881.5
|
876
|
906.5
|
903
|
888.75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
![[Most Recent Quotes from www.kitco.com]](http://www.kitconet.com/images/quotes_special.gif)
This is exciting, John. But I wonder, why futures instead of etf's? Do you suspect the outcome (whatever it is) will be different for futures and etf's?
ReplyDeleteJoe
Hi Joe - whatever the outcome I believe the system would test the same with ETFs.
ReplyDeleteIt was easier for me to go down a pre-made and diversified list of futures than monkey
around making a list of ETFs. Basically, this system either works or it doesn't. It's
about that simple. If I already knew the answer I would not waste my or anyone else's
time with this experiment.
John, very ambiguous project (need help?)! But could be very exciting! One favor (if not to much trouble), could you add a column for last daily price? Are the signals generated on daily or intraday data?
ReplyDeleteLooking forward to seeing the daily results.
Gerald
Hi Gerald - I suppose as I am checking each of the 56 mouse traps after each day's close
ReplyDeleteI could add that day's closing price (black) to the empty white box. If there is a *new* signal
that day it would, as planned already, be either red or green. The signals can be generated
on any time frame. The bigger issue will be what to make of their statistical reliability.
If there is not a profitable strategy to handle this issue then it's 'back to the drawing
board'.
John,
ReplyDeleteI applaud your ambition and laying it out for open viewing. I have two questions at this time. Is the signal generated during the day or is it only on the close? Since futures markets close at different times are you taking each at their close or just grabbing them all at the same time.
I have traded wheat off and on for a few years and am always interested in new tools to help the cause. :)
Thanks again for posting this.
Chi-Town Deadhead
Chi-Town - I appreciate your polite applause and hope I can come up with something that
ReplyDeleteworks. At the moment, with so many reversal signals on Friday, I'm not so sure I have.
But I do need to give it time.
Yes, I try to very careful to get the day's closing price correct for each futures contract.
I usually find a single error for the previous day somewhere when I enter the next day's closing
numbers. I guess works as something like a double check from my side, and certainly anyone who
spots an error - no matter how small - is encouraged to graciously point it out to me so that I
can correct it.
I use the signal that is present at the day's closing bell.
The /zw daily 5 yrs Short strategy back test was +$83.4k and Long strategy was +$86.3k
This was using a single (1) contract for each trade. I guess that's pretty good. (?)
any chance you could put in the SPY? I have had some good luck trading 3X shares against the SPY using TSI based indicators, but not with futures or after-hour data (too light of volume).
ReplyDeletemuch thanks!
John,
ReplyDeleteThat is excellent.
A very simple strategy I used when I started was good for about 15 to 20k a year with one contract. I have had success with a number of strategies until they didn't work. :) It is a continuous battle because the grains are a very fickle group. I have a number of friends who are still floor traders in different commodities but all the grain traders have moved on to different careers. This helps a little as they don't mind sharing some insights as to how they used to do it and the pitfalls. The guys who are still trading are very closed lipped about any advantage they have. I don't blame them as it is their livelihood on the line too.
One of the things I can tell you, at least in wheat is to watch which contract you are checking the last two weeks of the month before the contract expiration. An example is the September contract. I would already be moving over to the December contract by August 15 at the latest. Volumes drop as the big guys move to the next monthly contract. Also, whichever broker anyone has chosen will choose different deadlines to buy/sell your contract for that month automatically. Some of them want you out by the 15th, others will let you go until the final Friday of the month prior to the contract month. Most do not let you take delivery. (Which is a good thing since where are you storing 5000 bushels of wheat?) :0 So if you are checking the closing price of September wheat right now, your testing will be incorrect as almost no one would be able to get this price unless you are taking delivery or actually selling the wheat. You need to be checking the December price.
This is where doing a large data dump for all commodities can become very involved and confusing. If, after this 3 week test you find it still favorable, maybe have some of your regulars test a certain area a little more in depth for you. Someone could do forex, another could do metals, another treasuries, you get the idea. That way if some of the regulars have an area of interest or experience they could help. I would offer to do it for grains because I don't know much about many of the others. Just a thought.
I hope your ongoing results continue to show great promise as I will be following it. If you have any other questions I will try to answer them as much as possible.
Thanks again for the blog,
Chi-Town Deadhead
kcountry - unfortunately, I have more ideas than I have time to explore. I think the /ES
ReplyDeletecontract should equate well to your interest in SPY. Please, do not make any trades based
on what you see on this spreadsheet. I will take the data that is accumulated after three
weeks - assuming I continue this that long - and I will try to figure out where the system
fails and whether there is anything I can do about it. I certainly am not trading this
information, you should be sure of that.
Chi-Town - thank you for the interesting fine points that I certainly was not aware of. fwiw,
thinkorswim is showing me the December /ZW (wheat) contract so perhaps it also knows how the
game works. Yes, having assistance is always a luxury that I appreciate. Thank you for reminding
me of that possibility. Well, I'm home from work now and have to get cracking on this before dinner.
kcounty,
ReplyDeleteS&P E-minis (ES) are one of the most heavily traded futures so there is, so volume is not the issue. The Forex (currency pairs) is larger but talk about being chum in the water with every shark waiting to attack you. It's the margin that is the issue with futures. If you have never traded futures, the ES is where I would start, but with a practice account. It is fun and can be highly addictive. From personal experience, no matter how much you practice it will never be the same as the real thing when your money is on the line. If you have any questions please ask.
Chi-Town Deadhead
John,
ReplyDeleteI'm sure it has jumped over as TOS will not let you trade the September contract anymore as they will not let you stand for delivery.
All I was saying is that if this works for say 5 of the symbols to make sure you have the nuances of that particular product when you go to the next testing phase.
Good luck,
Chi-Town