Thursday, July 18, 2019

Systematic Day Trading

I figured out a way to adapt the turtle trading method to systematic day-trading. I plan to apply it to markets which tend to move strongly after the release of US economic news at 8:30am Eastern Time on many days and which have elevated volume when US cash markets are open. The idea is to put buy and sell orders in for these markets at around 8:00am (currently 10pm here in Australia) based on the movement of the futures markets over the day up to that point. If there is a breakout of that range you go long or short automatically. Then you close the positions at the end of the trading day. This is a day trading method where you don't look at the market all day.

I don't have access to historic hourly data at the moment but I have backtested the idea for a couple of months by looking at charts for the NASDAQ 100 futures. It seems that the approach wins more times than it loses, though average wins and losses are about equal in size. Once the market starts moving in a given direction intraday it tends to keep moving in that direction. It looks like it would work well for stocks, bonds, gold, Australian Dollars... It doesn't look like it would work for oil, soybeans etc. These commodities typically expand their trading range in both directions when the market gets more active. As a result trades would tend to get stopped out.

I'll start trading it using the new micro-futures that are a 10th of the size of the e-mini NASDAQ and S&P contracts as well as with CFDs for gold (trading 10 ounces say) and Australian Dollars (starting with AUD 10k) and see how we go.

No comments: