When I last wrote about Lazy Man’s system for trading the S&P E-minis, the system had been optimized on in-sample data and then backtested on out-of-sample data. The out-of-sample results were not very good, but I am always hesitant to write off a system due to a short period of under performance.
I ran a test [...]
Equity Curve, Lazy Man System Out-of-Sample
As evident from the above report, the system did not perform nearly as well during the out-of-sample testing. There are likely many reasons for this, but here are several that I’m considering:
1. The system is still working well but has just entered a drawdown or phase of under-performance. Or…
2. Due [...]
Clicking on the Tradestation Performance Summary will enlarge it.
As I have determined that the RSI exits and Stops and Targets seem to perform the best, I optimized those variables using exhaustive optimization. The results of the system run with the optimizations is above.
The system generates roughly four trades a day with the average trade earning [...]
This was a very basic test. I simply coupled Lazy Man’s entry with his time of day requirements (9:30-3:00) and set the optimizer to calculate the best Profit Target and Stop. The system was optimized for highest net profit. I tested values between $50-$2,000.
I was surprised that the best stop turned out to be 3x [...]
As this series edges towards completion, we need to examine the effect of stops and profit targets on the system.
Lazy Man’s preferred stop triggers when a bar extends 50% of the length of the bar beyond the EMA20. (Remember the EMA20 is an important part of his entry criteria.)
I will be running the stop strategy [...]
Part 4 will focus on using Bollinger Bands for exits.
Specifically, if the bar closes outside the upper (long entry) or lower (short entry) bands, the trade will be exited on the open of the next bar. This is a very basic exit, and could easily be tweaked. For example, an exit could triggered if the [...]
As I am running out of time to get this information out for Lazy Man to digest before the market opens, I am going to report on only one exit tonight: the RSI(2) exit.
I had to make some minor changes in the way the testing was performed. In prior tests, all trades were executed at [...]
