Gallery 1 - Intraday NASDAQ Futures E-Mini
Gallery 2 - Intraday S&P Futures E-Mini - (also see S&P Channel Tutorial)
Gallery 3 - Stock selection example with S&P
Gallery 4 - Juniper Networks (JNPR)
Gallery 5 - Apple Computer (AAPL), DELL Computer (DELL)
NASDAQ E-MINI - 30 Minute Bar Analysis
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Group 1 -- NASDAQ 30-minute, Professional Breakout System (PBS), base-price=close
NASDAQ 30-minute, PBS, base-price=close, long-trades-only: The ARR (annualized rate of return) only applies to daily charts, so ignore it in these 30-min. samples. <<>> During a bear market, the EQ of 282.625, gained over about 14 months, is equal to $5,652.50. This is great considering that it's bucking the market all the way, and averaging a trade every 2.37 days. Now let's see what happened on the short side, trading *with* the trend instead of against it.
NASDAQ 30-minute, PBS, base-price=close, short-trades-only: Here we've got the same contract, looking at the sum of all the system's short-trades. The EQ has jumped up to 1359.125 points, or $27,182.50, over the same number of trades in a 14-month period, again trading off of 30-minute bars. Trading with the trend has increased the equity by 1076.50 points or $21,530.00.
NASDAQ 30-minute, PBS base-price=close, long-plus-short-trades = total: The combined trading total EQ was 1641.75, or $32,835.00 in 14 months, trading only every two or three days. What else could you want? It made big money on the short side and enough to be worthwhile on the long side - and the drawdown was only about 9%. Here's the best part: the equity never went below initial equity. So it was profitable from the start, and whatever drawdown there was, was only a temporary reduction of accumulated profits. About $20,000 had already been earned before any significant drawdown occurred and then it only declined by about 300 points, or $6000, or 9% - and even that was other people's money - never leaving less than a $14,000 profit cushion above the break-even mark.
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Group2 -- NASDAQ 30-minute, Professional Breakout System (PBS), base-price=open
NASDAQ 30-minute, PBS, base-price=open, long-trades-only: Since I made these samples I've discussed with some day traders, the use of PBS with base-price=close versus PBS with base-price=open. The consensus is that, unlike daily data where there are often overnight gaps, intraday data has much less variation between the close of one bar and the open of the next. In liquid markets the maximum difference, theoretically, should be only one tick.Therefore, it makes little sense to use the base-price=open with intraday data. The disadvantage is that it requires you to wait for the open tick and then complete the calculation for the buy/sell targets manually. PBS base-price=close is able to make the full buy/sell stop calculations automatically - before the current bar even appears on the screen.
In the above example and the two following, I repeated the NASDAQ 100 tests. The only change was that I switched the base-price to open. The results were slightly lower in all three tests: long, short, and total equity. However, this might not always be so, depending on the market and conditions. Larry Williams strongly argues in favor of using the base price=open. However, I, being lazy, found a way to correct for any potential morning-gap-openings. I enjoy being able to sleep late, or not to have to check the market but once a day (this works with daily data only, not if using intraday).
In any case, both base price settings are available in Powerkit, and you may find situations where base price=open is advantageous - probably with daily data. Ok, now back to our samples: the long trades (in the picture above) gave an equity of 165.375 points during a down market - versus 282.625 points using PBS with base-price=close.
NASDAQ 30-minute (PBS, base-price=open) short-trades-only: This gave a result of 1225.625 points - versus 1359.125 points using PBS with base-price=close.
NASDAQ 30-minute, PBS, base-price=open, long-plus-short trades:
This gave a result of 1391 points - versus 1641.74 points using PBS with base-price=close.
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Group 3 -- NASDAQ 30-minute (Turtle System)
NASDAQ 30-minute (Turtle System) long: Applying the Turtle System to the same data as the samples above, the result was less than either variation of PBS (the Professional Breakout System). In this case the long side gave -87 points, for a loss of $1740. Even so, that wasn't bad at all considering the strong downward trend during most of the period tested. There are many easy techniques - such as adding a simple 50-day moving average, or using Wilder's Volatility indicator as a trend filter - to trade only in the direction of the trend. In the above chart, note that during one period there was a two-week-long very strong upswing. Using 30-minute data you'd certainly be aware while trading during such trend shifts, and you'd simply stay on the side of the trend.
NASDAQ 30-minute (Turtle System) short: Here the Turtle System does much better, trading with the trend. You can see that the 3D Surface Chart is very robust - with good profits almost everywhere. This type of setup makes the system's real-world follow up performance extremely reliable. Here the profit was 892.5 points ($17,850.00).We must often make real-world decisions geared for the probable, and not for the merely possible. So, rather than demanding maximum hypothetical points that aren't likely to materialize, it's better to look for robust situations like these - where the profit projection is lower, but the likelihood of actual success is very high.
NASDAQ 30-minute (Turtle System) long-plus-short = total:
813 points, $16,260.00.
