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Hello, I'd like to share my FTSE system and get some feedback, I have backtested this since the beginning of the year The system is an end of day system that users only the market spot closing price. A high is therefore the highest closing price in the last x number of days, and a low is defined as the lowest closing price in the last x number of days. When the price has made a new day closing price high in the previous 60 days, and this day closing price high was made more recently than the last day closing price low we will say that the trend is up.
When the price has made a new day closing price low in the previous 60 days, and this day closing price low was made more recently than the last day closing price high we will say that the trend is down. During an uptrend we will go long when the price makes a new day closing price low and wait for a new day closing price high to close the trade.
During a downtrend we will go short when the price makes a new day closing price high and wait for a new day closing price low to close the trade. The results are pretty good, since the year The full details are here http: Hi I have just done my own back test on your strategy and it seems to be successful.
I ran it against the FTSE from , the gave me longs trades of which were profitable, 72 short trades of which 62 were profitable. Average gain about 2. You asked for feedback. There are many back testing scenarios which can like this one produce an edge based on the raw data.
However there are two additional steps which need to be considered before a fully blown strategy can be compiled. I have seen many strategies which had positive expectancy at the raw data stage but became negative expectancy once slippage commissions and particularly relevant for spread betting cost of carry were added.
Overnight charges when spread betting eat into potential profits. This is because some trades which eventually become profitable get stopped out before the go into profit. This last point is well described by Larry Connors in a chapter in one of his more receent books called "Stops Hurt". Having said that most spread bettors dont have a postive expectancy even at the raw data stage, so having raw data with positive expectancy can provide a start point for building an edge.More...