SPI Closed Trade List Oct-08

Summary of trades this month.

 

A good month with all profitable trades. 

 

This sounds good, but remember this is a mean reversion system so we do have open trade drawdown.  The table shows the max adverse excursion in points for the open trade (day session only) which was up to -180 points for one trade.  Not everyone’s cup of tea and I keep reiterating its only one system of a number I trade and position sizing must be kept low.

 

Cheers, Dave

 

 

SPI trade Exited 29-Oct on open

Trade exited today at open 3980, P/L + 77 points

 

 

SPI Trade update 27-Oct-08

SPI trade update, entered on Friday at 3903.  Target exit today at 4052.  I notice this is high of last 2 days so will be target tomorrow as well after which it will drop to today’s high (3878 at this stage 1pm ).

 

Potential entry today 3753.

Dave

 

Interactive Brokers

After reviewing this for some time and recommended by The Chartist I have just opened an account with Interactive brokers.  The commission on US stocks is pretty nice after trialling US trade with a CFD provider (at $15 min & 4 cents per shares its a fair rip off in comparison).

The margin at 50% should be ok, I typically keep my risk low with average cfd margin of 25% anyway.

Opened just in time to kick off 2 trades last night from Chartist, lets hope they keep going!

Dave

SPI Model update Oct14

Quick update, the exit according to the old rules would have been this morning at open. Funnily enough, the overall trade is very profitable, but with large intraday drawdown. Yes the market did bounce but you would have had to live thru the last few days volatility, hence my original comment that the position sizing must be kept very low for this kind of trading.

SPI Signals 13 Oct

Trade signals on AB chart, (new model).  If I hadn't changed the model and exited manually I would still be in long position a few days ago with a large intrade drawdown, not good.  Seems to me I definately needed to adjust the exit conditions for this extreme volatility.  Should work on a stop or other exit rule I think, just in case.  As I said earlier the SPI had never traded this large range, but perhaps in my model development I should ask a few more 'what-if' questions and develop scenarios, some to think about anyway.

 

A new trade Friday, exited today

 

SPI Entered Friday 10-Oct 4080

SPI Exited Monday 13-Oct 4144, total + 64 points

 

I didn't trade this one on Friday after seeing the volatility so I sat out unfortunately. I entered a manual CFD trade this morning to at least catch part of the trade playing the break off the open:

 

IG Dec SPI CFD Entered 4137.5, Pyramid Entry 4198.

IG Dec SPI CFD Exited both at 4220.5, total points +105.5

 

It seems a pretty regular pattern really.  A really large sell off causes a discrepency between the SPI & cash index so the open rallies up for a while.  A similar thing occurs on an overnight rally up.  If the model gives a signal to enter is seems to be a pretty good short term trade.

 

Dave

 

9 Oct - revised model equity

Revised version...wish I had that one.

Dave

Update 9 Oct

Well the last few days are still down & old model would not have exited.  Exit target tomorrow is yesterday's high of 4493. 

 

I reviewed the SPI data & found this week had:

1. Largest postive percentage Open-Close range in history and largest Points range since 1987 crash
2. Largest High-Low range (points & %) since 1987

Crazy times.  What annoyed me a little/lot is the range is higher than anything I tested & I considered another exit rule based on 5 or 6 % profit target but up till a few weeks ago it never got hit. If I was using that I would have been out for a massive profit.  Personally after the crazy overight action & since I consider this a training period, I exited early in case we were in for bath again today.  Didn't happen but I'd rather conserve capital.  I have decided that letting a profit go isn't great so am adding the percent target exit in now.

 

Will post a chart of both versions.

 

dave

SPI trade 7-oct 2 pm

Position Update 10 am 7-Oct

Trade	L/S	Entry	Exit	Entry	Exit/Last	Target	P/L
CLOSED	L	05/09/08	09/09/08	4,847	5,107	4,923	-    260
CLOSED	S	22/09/08	24/09/08	4,997	4,982	4,923	15
CLOSED	L	30/09/08	30/09/08	4,500	4,725	4,725	-    225
OPEN	L	06/10/08	07/10/08	4,575	4,451	4,766	124
OPEN	L	07/10/08	07/10/08	4,433	4,451	4,766	-      19

Trade Log 7-Oct

Wow, how about the volatility last night. Another trigger today, enter at Limit 4575 so probably enter at open today. Lets hope we rally off open!

Recent Signals on chart

Latest trade 6-Oct

Trade entered today. Another signal tomorrow & potential entry if market drops again.

Code	Trade	L/S	Sys	Entry Date	Exit Date	Entry Price	Exit Price	Target
ASX-SP200	CLOSED	Long	MR	05/09/2008	09/09/2008	$ 4,847.00	$ 5,107.00	$ 4,923.00
ASX-SP200	CLOSED	Short	MR	22/09/2008	24/09/2008	$ 4,997.00	$ 4,982.00	$ 4,923.00
ASX-SP200	CLOSED	Long	MR	30/09/2008	30/09/2008	$ 4,500.00	$ 4,725.00	$ 4,725.00
ASX-SP200	OPEN	Long	MR	06/10/2008	07/10/2008	$ 4,575.00	$ 4,566.00	$ 4,766.00

Latest equity curve

Latest equity curve, added 1 more system.

Recent SPI Trades

Heres a pic of the last 3 trades triggered since I started the system

How am I trading this system? At the moment a full SPI is too large for me so I emulate with a SPI Forward contract with IG markets. It gets pretty close but you have to manually set the trades as there is no open auction of course for a cfd.

L/S	Entry Date	Exit Date	Entry Price	Exit Price	Points P/L
Long	05/09/2008	09/09/2008	4,847	5,107	260
Short	22/09/2008	24/09/2008	4,997	4,982	15
Long	30/09/2008	30/09/2008	4,500	4,725	225

Comments...if you look at the chart I should have waited until this morning to exit, I admit I was a bit concerned about the open profit last night after a record explosion on the SPI from open. It is the first day to reach a 5 % profit in 1 day so I closed early. As it turns out I should have waited until morning for another 100 Points!! It would have been the largest profit on the system since 1993! O well, better follow the system next time!

SPI MR System AB Output

	All trades	Long trades	Short trades
Initial capital	100000.00	100000.00	100000.00
Ending capital	463025.79	295650.92	267374.87
Net Profit	363025.79	195650.92	167374.87
Net Profit %	363.03 %	195.65 %	167.37 %
Exposure %	-0.03 %	-0.01 %	-0.02 %
Net Risk Adjusted Return %	-1438618.78 %	-2676508.82 %	-933782.35 %
Annual Return %	6.16 %	4.32 %	3.91 %
Risk Adjusted Return %	-24395.46 %	-59041.69 %	-21802.39 %
All trades	447	192 (42.95 %)	255 (57.05 %)
Avg. Profit/Loss	812.14	1019.02	656.37
Avg. Profit/Loss %	6.87 %	8.68 %	5.50 %
Avg. Bars Held	3.56	3.70	3.45
Winners	368 (82.33 %)	168 (37.58 %)	200 (44.74 %)
Total Profit	425107.88	213735.30	211372.57
Avg. Profit	1155.18	1272.23	1056.86
Avg. Profit %	9.27 %	10.65 %	8.11 %
Avg. Bars Held	3.13	3.33	2.96
Max. Consecutive	33	25	19
Largest win	14430.00	9755.00	14430.00
# bars in largest win	2	2	2
Losers	79 (17.67 %)	24 (5.37 %)	55 (12.30 %)
Total Loss	-62082.05	-18084.37	-43997.68
Avg. Loss	-785.85	-753.52	-799.96
Avg. Loss %	-4.34 %	-5.16 %	-3.98 %
Avg. Bars Held	5.56	6.25	5.25
Max. Consecutive	4	3	2
Largest loss	-4364.73	-2657.50	-4364.73
# bars in largest loss	10	5	10
Max. trade drawdown	-5535.00	-5145.00	-5535.00
Max. trade % drawdown	-51.40 %	-51.40 %	-33.59 %
Max. system drawdown	-9337.38	-9337.38	-6803.15
Max. system % drawdown	-5.73 %	-4.81 %	-6.33 %
Recovery Factor	38.88	20.95	24.60
CAR/MaxDD	1.07	0.90	0.62
RAR/MaxDD	-4256.22	-12274.10	-3446.77
Profit Factor	6.85	11.82	4.80
Payoff Ratio	1.47	1.69	1.32
Standard Error	15078.61	8941.64	7193.11
Risk-Reward Ratio	0.76	0.65	0.78
Ulcer Index	0.76	0.55	0.84
Ulcer Performance Index	0.99	-1.97	-1.77
Sharpe Ratio of trades	4.59	5.44	3.92
K-Ratio	0.0696	0.0595	0.0719
...Start Date	19830216.00
.....End Date	20081006.00
# Years	25.08
... % Exposure	-0.03
... Sharpe Ratio (>1) (>2)	4.59
# Expectancy / $Risk	1.58
ExpectancyPercent	6.87
...... Winners %	82.33
...... Win/Loss Ratio	2.14
...... Profit Factor	6.85
# Trades	447.00
...... # Trades / Week	0.34
...... # Trades / Year ------------>>>	17.82
...... # Av. Trade % ------------->>>	6.87
# Annual return % --------------->>>	14.48
..... Equity Curve - Max. DD%	-5.73
..... Average Year Profit $	14475.29
..... Capital to Max DD Ratio	-10.71
..... Max System Drawdown	-9337.38
..... Max System Drawdown %Capital	-9.34
..... Avg Year Profit to DD Ratio	1.55
ObjectiveFunction	163.59
DDVal	94.27
1000 Trade Losing Streak	3.99

ASX SPI Mean Reversion System

My first system to document is a mean reversion system of the ASX SPI. Its not my main system, its just one of a suite of systems I use. A style of trading I like is mean reversion which I currently use on the ASX & US. It's short & sharp & gets a result within a few days. The main problem is an occasional outlier can really hurt so you need to keep the risk down (have learnt this the hard way!).

I have always been interested in index trading since it seems they are prime targets for mechanical trading. However I have not yet found much with an EOD system that I am happy with, so I tried a mean reversion technique. The final system is a combination of multiple long & short individual systems. Mean reversion is about identifying a short bounce then waiting for another bounce before entering with a high probability of jumping back at least for a day or 2.

I backtested a system & started trading recently & have 3 trades to post so far. So lets show some data.

The following is a download of my backtesting spreadsheet where I document the results of my Amibroker tests & check closed trade drawdowns , equity curves etc. The test is done on a single full size SPI contact ($10K deposit, $25 per point). My first comment is that you need an account large enough for the margin + maximum possible open trade excursion, looking at below that's something like $18K ($10K Margin + $7.4K Max MAE), & if you want say a 10% max drawdown, you would need $40K account for 1 contract.

Introduction

Hi,

as a short introduction this blog is an attempt by myself to document some trading activities and ideas & try out blogging. I use mechanical systems to trade and use Amibroker almost exclusively now after using Metastock / Tradesim for a couple of years. I am an EOD trader, trading mostly the ASX, & just recently US Stocks & ASX SPI. I am hoping to update this blog weekly but lets see how we go.

Cheers, Dave (aka engtrader.)

PS: before someone asks about 'engtrader' I am not from england, I currently work as an engineer in Brisbance and also a part time trader.