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TOPIC: 5 Min Index Trading

5 Min Index Trading 20 Feb 2013 10:08 #1

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next number 6393WaveSurfer wrote:
ftse still remain is a buy :-)

today's number is 6375.8

looking @ interim target 6420/50, we see nearer the time.
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5 Min Index Trading 20 Feb 2013 10:01 #2

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ftse still remain is a buy :-)

today's number is 6375.8

looking @ interim target 6420/50, we see nearer the time.
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5 Min Index Trading 19 Feb 2013 20:10 #3

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not stupid at all, were are all here to learn and help so no issues. yes 'd like to see both for full confirmation.

imo as explained early you can have a sell whilst the macd is 0+ but its not confirmed and can be choppy...

its like this... when you eat a piece of fish you want the bit in the middle cos that's where most of the meat is and probably taste better than the head or tail right ? well for me anyway..., same principle applies i.e catching tops n bottoms (head of fish and tail)(going in early in an unconfirmed buy/sell - it may leave a bad taste in the mouth but when you get that confirmation you can increase the size of your stake and enjoy it with knowing you've gone into a trade that's technically confirmed.

i think its not that straight cut tho, it helps if you now the direction of the trend etc you still got to be thinking of your targets, your risk, your stoploss cos it could go against you at anytime, nothing is guaranteed, so common sense and discipline must be applied.

in fact Remo's - 1st hour trading would have worked today too, so combining what you know helps.

paper trade it and see how it goes.....

rgds WS
Last Edit: 19 Feb 2013 20:13 by WaveSurfer.
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5 Min Index Trading 19 Feb 2013 19:36 #4

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Sorry to sound stupid but to clarify, do you mean the 12 ma didnt cross zero into negative territory, which is what i think you mean.
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5 Min Index Trading 19 Feb 2013 19:35 #5

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Hi Amo,

RSI only use to assess oversold / overbought conditions but mainly to look out to see potential Divergences and confirmation of divergence has kicked in via this vs price
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5 Min Index Trading 19 Feb 2013 16:47 #6

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Hi guys, I've been lurking in the shadows silently reading this thread. All very interesting.

So Wavesurfer if the MA's cross, the MACD is giving a BUY/SELL signal, how do you use the RSI?

Jackozy did you call IG index? Any joy? I remember I needed to change payment details once and I had open positions, they did it over the phone for me as it wouldn't let me online. Being overseas may make things a little difficult though.
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5 Min Index Trading 19 Feb 2013 16:32 #7

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and a nice ftse Divi to boot ! day done... no focus on the dow - currently in a buy mode since open ;-)
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5 Min Index Trading 19 Feb 2013 16:16 #8

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Always nice to spend time with the children. enjoy it because they grow up so fast & after all there is more to life than trading :)

Macd never crossed below 0 ( i aint talking abt the histogram either -it's the Ma's on mcd) at any of those time you mentioned on the 5 mins chart:

dl.dropbox.com/u/40497882/ftse5Min_19thFEB.JPG

5 min still on a buy, but we need to apply some common sense here, i wouldnt buy here lol. just run with what you have. ftse now in the 80's

you can also look at shorter and longer timeframes to assess shorter and longer term trends but usually if you buy on 5 min chart u stay on 5mins.

hope that make sense and enjoy your time with the little one.
Last Edit: 19 Feb 2013 16:23 by WaveSurfer.
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5 Min Index Trading 19 Feb 2013 15:54 #9

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In the absence of an ability to trade indices, FX and gold I did what any sane man would do...I went out to build a snowman with my son lol :-)

I'm not sure I'm seeing the same things as you WS. I see the buy signal with MACD cross confirmation at 08:30 this am, but I also see sell signals with MA crosses and MACD cross below 0 at 11:15 and 14:00. Are you on the 5 min chart too?

I'll try and be online to chat about it later.

For me the buy this am was clear from a wave count and (more importantly) from the test of the RSI(14) bullish divergence trendline (5 min chart).

Catch you later!
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5 Min Index Trading 19 Feb 2013 15:31 #10

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still no sell signal. :-)

but at my number 6373..so taken some off here. let the rest ride now
Last Edit: 19 Feb 2013 15:32 by WaveSurfer.
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5 Min Index Trading 19 Feb 2013 13:57 #11

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no prbs Jacks...

I remain long since this morning, just taken a bit off to lock in, targeting -6373 (watch that number imo)for now to close some more off then lock in the rest or go cash.

Macd - 12 26 29
MA simple 5 & 10
rsi 5

Re: gold just posted under that thread

looking coming online - familia dependant at around 9ish

Re IG that sucks man, hope it gets sorted out
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5 Min Index Trading 19 Feb 2013 13:34 #12

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Not sure if I'll be on the online chat WS, depends what time? The sell signal has been superceded by a new buy signal now.

Re the weekly gold chart, how far back are you going? I can see the similarilty between gold since $1921 and the 5 min FTSE chart we've been discussing if that's what you mean (your abc correction), or are you referring to something else? I'm guessing the former since it's related to the thread.

Since we've been talking, I've developed some problems with IG (address not matching even though nothing's been changed) and not only can they not fund my account (you have to withdraw everything before you can change cards) but they have now also suspended my whole account lol!

No more trading FX, indices or gold for me until I can get this sorted.

The perils of having an overseas address!

Let me know what time you'll be online. I'm an hour ahead here and have the little one so can't promise anything ok? Thanks though.

Oh, in the meantime, what parameters are you using for your MAs and MACD? TIA.
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5 Min Index Trading 19 Feb 2013 12:11 #13

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interesting, i'll be on the online chat feature this evening , if your around when can discuss further ?

in the meantime 6335 ;-)

also take a look at the weekly gold chart what do you see ?
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5 Min Index Trading 19 Feb 2013 11:57 #14

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No worries WS - have fun at the grind :unsure:

Here's the sell signal I was referring to:

FTSE5minRSIsystem19_02_13.gif


dl.dropbox.com/u/20815047/FTSE5minRSIsystem19_02_13.gif
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5 Min Index Trading 19 Feb 2013 11:37 #15

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Thanks mate - i'll taker closer look later this evening, got busy afternoon with work... :-(
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5 Min Index Trading 19 Feb 2013 11:30 #16

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dont think so imo - the longer timeframes have taken a grip and remain a buy, as long your as 5 min macd remain abv 0, it wont confirm a true sell signal. that's the key confirmation here. or if we look at price, a bar close below 6335 - scene of crime 12 feb Doji & 15 Feb, followed by another, you may miss a few points but what you have is confirmation.

I dont do true EW jackozy, not my thing, i do the unconventional when it come with waves and remain objective, i just like to surf em and ride the rips. :-)

you could says it's an abcde down from the recent highs accounting for out of hours, also 50% fib retracement looks decent enough, looking beyond the future times of trading you have a straight abc (zig zag) in my view. it wont be confirmed though until the highs are taken out....so we see and go with direction of the trend....
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5 Min Index Trading 19 Feb 2013 11:10 #17

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PS It looks like that system is about to produce a sell signal.

PPS Also, let me know if you want me to look at the system on any other instruments or timeframes.
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5 Min Index Trading 19 Feb 2013 11:09 #18

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Thanks WS. That's got very odd subwaves of C though hasn't it? I'm not saying you're wrong but it looks odd to me and normally (in my experience) that means it's probably unfinished.

We'll see.

Anyway, I forgot to point out the parameters for that RSI MA system. The MAs used on the RSI(14) line are 9 and 27 and there's the additional check that buy signals when RSI(14) is above 65 are discounted as are sell signals with an RSI(14) below 35.

Let me know if you want me to produce results for any other parameters - it's a piece of cake so no need to worry about it taking time!
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5 Min Index Trading 19 Feb 2013 10:52 #19

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Hi Jack - with reference to you c down, im looking at an alt here

dl.dropbox.com/u/40497882/ftse19thfeb.JPG

Actually, yesterday (and today) I got drawn into trading waves as they seemed so clear so I was expecting a bounce off 6302 this am and bought that. Sold it just inside the 61.8% Fib and gap at 6330 and then went short again since I had that as a wave 2 up of either C or 3 down.

Anyway, going back to systems, I was searching updata's system library and while they have a simple MA crossover system, I couldn't get it to short and cover short as well as sell and go long so the results didn't tally. In fact, of about 20 systems or so that I tried with systems tests on the FTSE 5 min (and some on GBPUSD too), most of them failed to produce a profit, even when trade costs were reduced to zero.

One of the few which showed a profit over both the period I've been trading the MAs (since 11 Feb) and also over the last 2000 periods was a similar system but using MAs on RSI rather than price. Here's a chart showing the price chart, RSI chart and an equity line (which began at 10000 on 11 Feb):

FTSERSIMAsystem.gif


dl.dropbox.com/u/20815047/FTSERSIMAsystem.gif

And here's a screenshot showing the detail of the trades:

FTSERSIMAsystemdetail.png


dl.dropbox.com/u/20815047/FTSERSIMAsystemdetail.png

I've looked through the trades and it seems to be a much smoother system with fewer false signals and fewer trades in general. As you can see, yesterday's buy signal was not phased by today's drop first thing and remained valid (as it still does) thereby keeping you in the trade. When I checked some other stats on this system I think (from memory) that it showed an annualised return of c. 337% which ain't too shabby if correct!

What is very clear, as has already been noted, is that few systems work during sideways moves. Apparently, the only type of system that does work then are what are termed "trend fading systems". There are a few of these in the updata system library but not one of them showed a profit during the period tested.

I'll continue to search systems and test them (there's also an optimisation facility) to look for something better but, for now, the RSI based MA crossover system is the best I've found. There was one other with similar results (called the Cliche System!) but that produced over 250 trades during the same 4 day period!

Thanks for your input. It's much appreciated :-)[/quote]
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5 Min Index Trading 19 Feb 2013 10:04 #20

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your welcome Jackozy - and i'll check it out thanks..

i had a sell all day on ftse yesterday, yes it went up but every bounce got sold into.... macd remained below 0, nothing fancy in it, was all abt price and using in conjunction with the MA's and Macd. indicators imo lag price, today price was important - the indicators just confirmed my buy. ;-)

today Ftse has remained in Buy and i too am long. incidentally i'm looking for final parabolic thrust now 6380 - 6420 before a deeper correction set's in. we shall see.

all the best mate
Last Edit: 19 Feb 2013 10:27 by WaveSurfer.
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5 Min Index Trading 19 Feb 2013 09:51 #21

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Thanks wavesurfer.

Actually, yesterday (and today) I got drawn into trading waves as they seemed so clear so I was expecting a bounce off 6302 this am and bought that. Sold it just inside the 61.8% Fib and gap at 6330 and then went short again since I had that as a wave 2 up of either C or 3 down.

Anyway, going back to systems, I was searching updata's system library and while they have a simple MA crossover system, I couldn't get it to short and cover short as well as sell and go long so the results didn't tally. In fact, of about 20 systems or so that I tried with systems tests on the FTSE 5 min (and some on GBPUSD too), most of them failed to produce a profit, even when trade costs were reduced to zero.

One of the few which showed a profit over both the period I've been trading the MAs (since 11 Feb) and also over the last 2000 periods was a similar system but using MAs on RSI rather than price. Here's a chart showing the price chart, RSI chart and an equity line (which began at 10000 on 11 Feb):

FTSERSIMAsystem.gif


dl.dropbox.com/u/20815047/FTSERSIMAsystem.gif

And here's a screenshot showing the detail of the trades:

FTSERSIMAsystemdetail.png


dl.dropbox.com/u/20815047/FTSERSIMAsystemdetail.png

I've looked through the trades and it seems to be a much smoother system with fewer false signals and fewer trades in general. As you can see, yesterday's buy signal was not phased by today's drop first thing and remained valid (as it still does) thereby keeping you in the trade. When I checked some other stats on this system I think (from memory) that it showed an annualised return of c. 337% which ain't too shabby if correct!

What is very clear, as has already been noted, is that few systems work during sideways moves. Apparently, the only type of system that does work then are what are termed "trend fading systems". There are a few of these in the updata system library but not one of them showed a profit during the period tested.

I'll continue to search systems and test them (there's also an optimisation facility) to look for something better but, for now, the RSI based MA crossover system is the best I've found. There was one other with similar results (called the Cliche System!) but that produced over 250 trades during the same 4 day period!

Thanks for your input. It's much appreciated :-)
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5 Min Index Trading 19 Feb 2013 09:30 #22

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Jackozy - I've used this system and still do, however i have found this system will keep chopping you in and out of trades, buy, sell, buy ,sell etc...

Try using this in conjunction with the MACD. crossover on your MA's confirmed by Macd X and going up abv 0 to confirm buy signal and remains in a buy until: This i have found to maximise the trades.

a Sell, cross on your MA's followed by MacD X, confirmed sell by going -0

a good example of this morning @ 8:05 strong Buy signal & 9:00 a weak sell signal due no X on Macd and remaining abv 0.
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5 Min Index Trading 19 Feb 2013 08:05 #23

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Sorry for the delayed report on this. Due to tiredness yesterday morning I lost my discipline and broke the rules, started playing catch up and lost the plot completely so these results are not my trading results, just those from the chart and triggers:

10 trades, 2 winners for + 16pts, 8 losers for - 43pts.

Again, this was down to the largely sideways day. It did give me chance to run a few systems tests using updata and I'll report my findings on those later on.
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5 Min Index Trading 17 Feb 2013 19:36 #24

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OK, I've done a bit of a review and some testing on this system. I still think there's a lot of room for improvement, but I've only toyed around with mixing up some of the MA pairs and also using a combo of MAs and EMAs.

The previous results, based on trading every signal by going long/cover short and selling/going short at each one, were (results for first two days are amalgamated)

12th, 13th Feb: +47.5pts
14th Feb: +46.2pts
15th Feb: -21.2pts

This gives a total gain of +72.5pts for the period.

Now, using MA5 as the fast oscillator and MA 21 as the slow one and also using the worst case points of the triggering candles (eg if a signal to go long occurs, I've used the highest price of that candle to close the previous short and open the long), the results for the same period would have been:

12th, 13th Feb: +56pts
14th Feb: +31pts
15th Feb: -7pts

This would have given a gain of +80pts for the same period. Remember, that was assuming that the trades where opened and closed at the worst possible price on every occasion, unlike the live version above where few of the trades were at the worst price.

I will therefore be running with the 5 and 21 MAs from open tomorrow. This trial is also only being run during market hours.

I'm pretty sure that this can be improved upon, perhaps by using bull and bear divergences to ignore counter-trend signals. I'll let you know how it goes.
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5 Min Index Trading 15 Feb 2013 18:29 #25

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Hi waverider2,

I've been trading it purely on the signals per the rules I set out at the start of this thread. That's been a deliberate strategy even though I knew it wasn't optimal. I wanted to get some idea of to what extent ignoring the hourly trend would have. It seems, so far, that 50% of the gains are lost be trading counter-trend.

I'll review it properly over the weekend and make some revisions to the system to refine it. I'll post the new rules once they're worked out and then continue to post daily trading results.

I actually knew while I was trading the signals around 6350 area that I would lose on all the trades. Up until then I'd added a further 37 pips profit. I could have walked away but wanted to stick with the system to the end of the day.
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5 Min Index Trading 15 Feb 2013 16:34 #26

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Hi Jackozy,


You state a very important point, but very subtly at the end. "You favour the short side on Monday..."

With this method - do you trade purely by the signals or do you trade with your bias, the bigger picture and where the general trend is?

Thanks mate
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5 Min Index Trading 15 Feb 2013 16:31 #27

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Yeah. I knew when I started this that a sideways move would be bad but I figure that a 5 min chart is probably only sideways for a small percentage of the time.

I could probably tweak the slow MA to avoid some of the false triggers.

Interestingly, I was also counting waves and checking Fibs and today hit the 61.8% Fin of the drop from 6384 perfectly after a perfect set of 5 subwaves for wave C of 2 up. There was a bearish RSI divergence and everthing so it wasn't easy to stick to the system when it gave signals contrary to my other analysis.

The whole point of a system is that you stick with it though so that's what I did.

Pretty sure it'll favour the short side on Monday though.
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5 Min Index Trading 15 Feb 2013 16:25 #28

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sideways markets beats the best systems out there.
Thats why sideways is dangerous.
Interesting system never the less.
Information Purposes Only, Do Your Own Research
remo
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5 Min Index Trading 15 Feb 2013 16:20 #29

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Just called it a day on this. Here's today's results:

15 trades, 5 wins for + 27.8 pts, 10 losers for - 49 pts

Total gain of - 21.2 pts.

Here's the daily chart showing why the results were poor today:

FTSE5min15_02_13.gif


dl.dropbox.com/u/20815047/FTSE5min15_02_13.gif


A system using MAs clearly needs to be trending to work!
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5 Min Index Trading 15 Feb 2013 08:15 #30

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Hi remo,

Thanks for reminding me about that. I'll look into it over the weekend. Re glued to the screen, yes and no. At first I was as I wasn't sure how often the signals would come. After 3 days the average number of trades per day is 8 so it's only 1 an hour. You can get a pretty good feel for when it can be left alone for a bit - when the MAs are sideways you can't leave but when the crossover is clear (steep) then you can leave it for a bit.

I think updata also let's you set an alarm for when the trigger comes. In any event, one of the beauties of a system like this is that you can just exit your positions, go away for however long you want and then come back and start again at the next signal.

I'll carry on posting daily results as long as I remember to do so.
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5 Min Index Trading 15 Feb 2013 00:09 #31

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Hi jackozy
Just wondering if your clued to the screen all day whilst trying this system out.
Updata has a function that will test the historical prices based in your system. I think it's the system tester.
You can also tweak it by optimising for best results.
Obviously I'm not with Updata any more but I know they have that facility for you to use.
Have fun
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5 Min Index Trading 14 Feb 2013 21:38 #32

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Yes, that was following the same rules.
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5 Min Index Trading 14 Feb 2013 20:47 #33

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Hi Jackozy, Are you still trading counter trend?
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5 Min Index Trading 14 Feb 2013 16:35 #34

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Today's trading results are:

8 trades in total.

5 winning trades for 64.8 pts

3 losing trades for -18.6 pts

Total gain +46.2 pts


FTSE day's trading range 6365 - 6302 = 63 pts, FTSE open to close 6359 to 6333 = 26 pts.
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5 Min Index Trading 13 Feb 2013 18:32 #35

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I forgot to add the following in the results:
--'
Of the 15 trades, only 5 were profitable which is only 33%. Without the counter-trend trades the 5 winning trades would represent 62.5% of the trades.
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5 Min Index Trading 13 Feb 2013 16:53 #36

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For the last 2 days I've been trading a simple moving average system on the FTSE 5 min chart. I'm using the 5MA and 10MA cross-overs to enter long and short. I've been doing it with £2 per pip trades rather than paper trading it as that way I get an exact figure for the pips and it includes oversights, distractions and other "real world" stuff. It's not a new system by any means but I thought I'd share the results with you.

Here's the chart covering the period I traded:

FTSE5minsystem.gif


dl.dropbox.com/u/20815047/FTSE5minsystem.gif

First, since I wanted a "pure" result, my rules were as follows:

1) Take no account of the prevailing trend on the longer timeframe (eg hourly) chart.
2) 5MA crossing above 10MA triggers a buy AND a short close (if a short was open).
3) 5MA crossing below 10MA triggers a sell (if a long was open) AND a short open.
4) Do not wait until the 5 min candle is complete. As soon as the signal appears, take it.

That's it. I had to go out at 2pm yesterday so I stopped at that point when I closed my last long. My opening trade was a long at 10.25am yesterday and my last was a close at a limit order of 6375 due to the 6377 resistance where I had orders to go short based on normal resistance.

The results are:

15 trades (including both longs and shorts) for a total gain of 47.5 pips.

When considering the prevailing trend from the hourly chart, I can strip out the counter-trend trades by ignoring pips gained/lost by going short since the trend was up. I've still closed longs at the sell triggers and then re-opened them at the buy triggers. The results then would be:

8 trades for a gain of 71.5 pips. That shows that counter-trend positions cost 24 pips, approximately 50% of the with-trend plays.

Overall FTSE gain during the period was 6375-6284 = 91 pips.

I will continue to run this trial and am currently short based on the sell trigger at 6377 abd will provide an update in a week or so.
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