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Taking the two weeks together below, we can see that the filter doubles the average profit per trade and significantly increases the percentage of profitable trades. S&P 5 Min High/Low 29th July-9th August 2002 5-Min 5- Min filtered by 60-Min Points Trades Points Trades Total $3,187 39 $ 3,188 19 Average $81.73 $167.76 % Profitable 51% 68% 68 The 60-Minute Chart I favor the 60-minute chart as a trend filter for intraday trading; it is broad enough to keep you from excessive whipsaw, while being short enough to allow for a change in trend within a day. In testing the High/Low strategy during July 2002, it has produced impressive results, whether this performance will continue, only time will tell. I am not that concerned to extensively back test trading ideas and strategies, I use these ideas as a guide to, and support of, my trading decisions and I appreciate that these ideas go in and out of success. I think it is important to adjust our approach to trading according to the prevailing conditions; when the market is trading in a narrow range a more sensitive filter is required; when volatile, a broader filter is required. Below are the results of trading High/Low strategy on 60-minute charts for the FTSE and the E-Mini S&P500. FTSE 60-min chart Price Profit 01-Jul-02 Sell 1 4622 04-Jul-02 Buy 2 4469 153 09-Jul-02 Sell 2 4565 96 17-Jul-02 Buy 2 4077 488 19-Jul-02 Sell 2 4170 93 24-Jul-02 Buy 2 3758 412 25-Jul-02 Sell 2 3855 97 25-Jul-02 Buy 2 3930 -75 30-Jul-02 Sell 2 4138 208 31-Jul-02 Buy 2 4274 -136 31-Jul-02 Sell 1 4173 -101 TOTAL: 20 1235 12,350 Average profit per trade 1235 69 |
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