Hi guys,
The tendency of the last and first days of the month is one of the most well known and reliable statistical setups. This pattern has been working for decades and in many indices. I would like to share a trading system that based on the TDOM (trading day of the month) idea from Larry Williams one of the famous statistical traders.
The basic idea is to short the market around the first trading day of the month and to turn the position at the statistical monthly turning point. The system uses smart position management mechanism such as order cumulation, position sizing based on historical monthly behavior and maximal position size monitoring. Money management will be done by procentage stop loss and take profit orders. The system is very simple but amazing profitable and works without any technical indicators.
The idea looks like a holy grail but of course it isn’t and I would like to point two issues:
– the algo is relatively long time invested (in average 43% of the month) and this means significant overnight costs for cfd’s and potentialy a higher drawdown risk
– wide stop loss value for long positions, backtest shows only moderate losses but also a significant max drawdown which mean higher volatility of running P&L which some may find hard to handle.
The so-called Navigator trading system works in all intraday timeframes and the backtest was done with 200.000 4 hours candles. Please find attached the first version for the DAX.
Reviews and suggestions for improvement are welcome.
Best, Reiner
Navigator strategy offers a statistical advantage but is of course not a holy grail and there is no guarantee to make money with it. The system is optimized for historical data and historical gains are not a garantee to be successful in the future. I strictly recommend to adjust the position sizes to your personal account size and try first in demo mode. The results in life trading will differ from the backtest results. I also recommend to start in life trading with a small account size. Anyone can use the programs for free and at their own risk.
Thanks again Reiner for sharing your trading strategies with the community. I think it would help gaining more new comers (and there are a lot each day) to this new thread if you kindly post this strategy in the Library too.
just import it in PRT ….
nice reiner onmore time ….
@ reiner
if you have the time , i need some help here ….
A little help for this strategy that works very well …
Many thanks Reiner for your work, as always great.
@Paris
The codes that you have put in the thread “https://www.prorealcode.com/topic/a-little-help-for-this-strategy-that-works-very-well/” are the same codes that has developed and shared @Raul VG in the thread “https://www.prorealcode.com/topic/5-min-mini1e-dax-spread-1/“. I agree with you that they are very interesting and sure that @Reiner can improve it with their knowledge and experience.
But, if it seems okay and @ Nicolás agrees, maybe the improvement of this code would have to treat it in the original thread. It would also be wise to respect the original name of the code, to avoid confusion.
Best regards to all.
just before to go beyond of course these two codes are from raul , not mine . i wrote him a message in his thread .
The code is now also in the Library, original post is now here: Navigator DAX Trading Strategy 4 hours timeframe
Averaging down strategy is risky if you do not afford to lose. This strategy has a percentage stoploss and that’s great, thanks again Reiner for sharing your knowledge and hard research with us. Have a nice weekend!
ok ….nice code and nice backtest , but does anybody test it with the new system of forward in PRT ? and what are the results ….
Nice algo Reiner. Haven´t had time too look into the code but how can it work exactly as good in 5 min as in 4hours?
Joachim…because it’s magic😎
Ok, it’ easy to explain because the conditions are the same in all timeframes. Navigator will allways sell at 9:00 at the first tdom and will accumulate at 17:00 beginning with the 8.th tdom. stop and take profit is also independent from the timeframe.
Hi, first of all, thank you very much for sharing these strategies, Reiner. I have a question, when is it? How does stop and take work in%? So I understand that if you put a stop and a take on%, it is a% on the total of my account, that is, if we put 8% and we have 10000 euros in the account, the stop will be placed in -800 Euros. But my doubt comes here, if I operate on the 1 euro mini with a contract, I will place the stop at -800 points, if I operate with 10 contracts, will it stop at -80 points? How does PRT know the money I have in mind?
@Raul
Percentage stoploss and takeprofit are in price format not money, calculated from the average position price.
Ah okay! I was reading the manual and more or less I understood it, but I was not clear at all, thank you!
CNParticipant
Senior
Added to live, thanks as allways Reiner
