The Scalping System

This is a very powerful system that takes quick profits on a 2-minute or 3-minute chart.

We tested this system on many symbols in different markets, from equities, futures to forex. The performance is satisfactory. 

Equities:

AIG, BIDU, C, DIA, GOOG, IWM, OXY, SPY and more

Forex:

EURJPY    EURUSD     GBPUSD     USDCHF     USDJPY and more

Futures:

@CL    @EMD    @ES     @NQ      @QM     @TF   @YG    @YM    @ZG and more

Precise entry and trailing exit

The system has precise entry signal and trailing exit signal.

We use our Indicators as signals to enter the market. After a position is established, we use trailing stop orders to let the profit run as well as protective stop orders to exit a losing position.

Market Timing

In addition to the indicators mentioned above, we also applied market timing to the system. Research found that excess return can be achieved during certain hours of a trading day.

We performed a statistics analysis of variance in returns of holding a stock, forex and futures contract for some time on a 5-minute chart. Take the S&P 500 eMini Futures as an example, there are 65,000 observations from 1999 to 2008. This futures contract has the lowest return around 8:30 am, and the highest return around 10:00 am and 15:15 pm. The p value is around 0.004, meaning the results are statistically significant (not happened by chance).

 

Analysis of Variance of Returns Results for: @ES

One-way ANOVA: Return versus Time

Source     DF        SS   MS     F      P

Time       47     393.2  8.4  1.64  0.004

Total   65534  334856.4

S = 2.260   R-Sq = 0.12%   R-Sq(adj) = 0.05%

                            Individual 95% CIs For Mean Based on Pooled StDev

CHICAGO  Time  Mean  StDev   --+---------+---------+---------+-------

   0   1230   0.043  0.559                  (---------*--------)

  30   1300  -0.004  0.661                  (------*------)

 100   1330   0.012  0.685                   (------*------)

 130   1400   0.081  0.870                       (------*------)

 200   1430   0.072  0.959                       (------*-----)

 230   1500   0.037  1.325                     (-----*------)

 300   1530   0.077  1.468                       (------*------)

 330   1600   0.012  1.327                   (------*-----)

 400   1630  -0.026  1.227                 (-----*------)

 430   1700  -0.046  1.148               (------*------)

 500   1730  -0.011  1.226                  (-----*------)

 530   1800  -0.023  1.245                 (------*-----)

 600   1830   0.060  1.243                      (------*-----)

 630   1900  -0.004  1.413                  (------*-----)

 700   1930   0.068  1.418                       (-----*------)

 730   2000   0.084  1.664                        (-----*------)

 800   2030  -0.043  3.006                (-----*------)

 830   2100  -0.251  1.832   (-----*------)

 900   2130  -0.069  3.973              (------*-----)

 930   2200  -0.124  4.278           (-----*------)

1000   2230   0.110  3.748                         (------*------)

1030   2300  -0.131  2.894          (------*-----)

1100   2330  -0.026  2.978                 (-----*------)

1130   0000  -0.067  2.532              (------*-----)

1200   0030   0.057  2.505                      (------*-----)

1230   0100   0.048  2.776                     (------*------)

1300   0130   0.049  2.773                     (------*------)

1330   0200  -0.124  3.272           (-----*------)

1400   0230  -0.096  3.403            (------*------)

1430   0300   0.091  4.047                        (------*-----)

1500   0330   0.017  4.174                   (------*------)

1515   0400   0.156  2.375                            (------*-----)

1600   0430  -0.037  0.911            (----------*----------)

1630   0500  -0.010  1.039             (----------*----------)

1700   0530   0.035  0.791               (-----------*------------)

1730   0600  -0.010  0.721              (---------*----------)

1800   0630   0.035  1.008                  (--------*---------)

1830   0700   0.020  0.629                 (--------*---------)

1900   0730  -0.004  0.568               (---------*--------)

1930   0800   0.001  0.573               (---------*---------)

2000   0830   0.029  0.604                 (---------*--------)

2030   0900  -0.010  0.596               (--------*---------)

2100   0930  -0.021  0.606              (---------*--------)

2130   1000  -0.022  0.538              (---------*--------)

2200   1030   0.030  0.534                 (---------*--------)

2230   1100   0.012  0.450           (--------------*-------------)

2300   1130  -0.018  0.483         (--------------*--------------)

2330   1200  -0.014  0.647              (---------*---------)

                             --+---------+---------+---------+-------

                            -0.32     -0.16      0.00      0.16

 

Pooled StDev = 2.260

 

 

Million $ System

We have built some powerful systems for Tradestation that turned 50,000 into 1 million in less than 6 years hypothetically trading forex, futures, or equities.

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Risk Disclosure

Investment involves risk. Hypothetical performance results have many limitations. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. One of the limitations of hypothetical performance trading results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading.