|
66 Example: Below is a table showing the results of trading the High/Low strategy on a 5-minute chart of the E-Mini S&P for the week beginning 5th August 2002. S&P 5 Min High/Low 5th-9th August 2002 5-Min 5-Min filtered by 60-Min Points Trades Points Trades 05/08/2002 9.75 3 14.75 2 06/08/2002 16.75 4 0.5 1 07/08/2002 24.25 2 0 0 08/08/2002 7.0 4 9.0 2 09/08/2002 16.25 3 20.5 2 Total $3,700 16 $2238 7 Average $231 $320 The results are for trading one contract and do not take into account slippage and commissions. As you can see it was a good week. The results in the right hand columns above come from only taking the trades that are in line with the High/Low strategy on the 60-minute chart. It makes less money overall, but the average profit per trade is greater. Also there were 5 losing trades trading just the 5-minute strategy (68% profitable), but with the filtered approach there were no losing trades (100% profitable)! This was a good week, but what happens on a not so good week? 67 If we try out the strategy on the previous week, beginning on July 29th 2002, we get the results in the table below. S&P 5 Min High/Low 29th-2nd August 2002 5-Min 5-Min filtered by 60-Min Points Trades Points Trades 29/07/2002 -0.25 3 4.25 2 30/07/2002 -3.25 6 8 3 31/07/2002 1.5 4 8.5 2 01/08/2002 -5 6 -6.5 3 02/08/2002 -3.25 4 4.75 2 Total -$513 23 950 12 Average -$22 $79 This time trading the High/Low strategy on the 5-minute chart produces a loss of over $500. Look at the right hand columns though and you can see the value of using the High/Low strategy on the 60-minute chart as a filter. There is a swing of $1500 to produce a profit of $950! In the 5-minute only there were 14 out of 23 losing trades (39% profitable), in the 60-minute filtered approach there were 6 out of 12 losing trades (50% profitable). |
|
