I doubt many of my readers trade the E-mini S&P 500 futures contract (ES), but the outcome of this TSI-vector strategy sure has me thinking.
Imagine a trade that lasts, on average, 9 trading days and then does not trade, on average, for another 9 trading days. Sounds like a trade a month, more or less. Maybe sometimes even 2 trades per month.
But for the 9 days you are "in", the average net profit is $640. Twice in one month is $1,280 net profit, on average of course.
If you are skeptical, let me tell you I am the most skeptical. I will not believe it until I see it....in real-time.
The bad news is that if it looks too good to be true, it probably is not true.
The good news is that you can come back once and awhile this fall and see what actually happens. I make no promises, but I do have an expectation that things will either turn out great, or I will learn more from my failures, and then they will turn out great!
Enjoy your long weekend and see you in September when it will be 'game-on'.
John
tsiTrader@gmail.com
![[Most Recent Quotes from www.kitco.com]](http://www.kitconet.com/images/quotes_special.gif)
John - thanks for sharing as always. Is there a stop loss on this strategy, is TradeStation rolling the futures contracts in a way that doesn't skew the figures -- I guess equity indices don't gap as much between contracts as commodities and and how did you get an IC=$8195 (ES=$50xSPindex)(initial/maintenance margin right now of 3850/3500=$7350)? It will be very interesting to follow. Thanks again, Ross
ReplyDelete16 years daily with the same conditions trading?… These are futures!….
ReplyDeleteRoss - a whole lot of those numbers given in the are jibberish to me and I'm afraid I am the wrong to ask for their meaning. What is more easily understood my me is Profit Factor, largest loss, days in the market, and so on.
ReplyDeleteEd - yeah, lots of various stop loss, profit target and TSI measurements to support the general strategy.
ReplyDeleteGetting a paycheck ever 9 days got my attention. But so did the 6% annualized return. An I figured your trading 10 million dollars. (9470/.0947=10000000/100)
ReplyDeleteThanks Bob for your comment. Beats me, but you may be right as I sure don't know the answer. What puzzles me, though, is why it says: Account size required: $8,195 If that makes sense to you or someone else, please share your thoughts! Thanks.
ReplyDeleteJohn - looks like the IC=$8195 is related to this:
Deletehttp://www.tradestation.com/education/labs/analysis-concepts/the-rrsi-strategy
"Notice that the initial capital for the strategy is set to $106,000. This number was identified historically in order to account for the strategy's drawdowns during the back-tested period (Max. Drawdown – Trade Close to Trade Close). Each $10,000 trade, set in the Format Properties for All Strategies dialog box, assumes that enough equity is available to take each strategy signal. Therefore, while the original initial capital was set to $100,000, the figure was slightly adjusted to $106,000 for the Strategy Performance Report to be as historically realistic and accurate as possible."
In fact Max Drawdown shows as $8195 so that's where it comes from. Don't know why I didn't see this sooner.
DeleteReturn on Account is coming from Total Net Profit(157877.5)/Account Size Required(8195) x 100. Initial Capital must be set to $100,000 in the inputs to give a Return On Initial Capital of 157.88%. So it'd be interesting to see if Initial Capital was set to $8195/$8200 would it give the same results? Also, you're only using one contract throughout and not building your position size so it might be interesting to see a low-medium-aggressive position build-up? I'm still curious to see what contract splicing method and rolling dates Tradestation is using or you picked and is rolling the contracts built in to the commission.
DeleteFriday close INDEXSP:.INX times fifty shares times ten percent down = 8165
ReplyDeletebut ross seems to know what he's talking about
Looking pretty good John. I would love to see a screen shot of the "buy/sell signals" on the actual chart of ES.
ReplyDeleteDear John
ReplyDeleteGary claims Gold is going down to 900??? he has advised his subscribers to go into cash.
whats your opinion on same.
thanks for your time and efforts
Hi John, TSI trend line break today on daily generated sell signal. Not negative yet, but already crashing.
ReplyDeleteYour thoughts on whether we are still in the bear market ... or this is simply a correction? Where is the line in the sand for the "acceptable" correction depth in your opinion.
Thank you.
Hello, John. I've been away from the computers for some time, and now that I'm back I went to study your new system. I notice the list under "TSI-Vector Strategy" in the left column says for NEE, hold long. Yet when I get to the Trading Record, it doesn't appear to show any trades yet. Were you already long before September and your only showing trades beginning in September? Or am I missing something?
ReplyDeleteThanks for your efforts.
Joe
Joe - sorry for the confusion.
ReplyDeleteWhat I did was begin on September 3rd. If *any* of the symbols were currently in a trade on September 3rd, I said hold long, hold short, or whatever. But I did not pretend that the trade was a part of the study as it opened (long or short) *before* September 3rd. My apology for not communicating this!
So as these 'previously begun' trades conclude, I say 'sell' but don't notate that on the spreadsheet because the opening trade is not notated either.
Counting the trades for tomorrow's open, we just have 4 that are true blue. Some of those strategies are long only, btw...... so I would think they will trade less frequently than some of the others. Patience, I suppose.
Anon - regarding gold, the line in the sand is very simple. It is the price trend line drawn from the beginning of this Intermediate cycle (June 28) to the 1st day of the 2nd daily cycle (Aug 7) and then upwards and onwards. At one point this morning we were within about $15 of touching that trend line. If it does not hold and gets some trash paper thrown into the market, yeah, it will get ugly and quick.
ReplyDeleteAnon - regarding gold, the line in the sand is very simple. It is the price trend line drawn from the beginning of this Intermediate cycle (June 28) to the 1st day of the 2nd daily cycle (Aug 7) and then upwards and onwards. At one point this morning we were within about $15 of touching that trend line. If it does not hold and gets some trash paper thrown into the market, yeah, it will get ugly and quick.
ReplyDelete