Over the past few weeks I have developed a True Strength Index (TSI) related indicator/strategy that shows great promise when run through numerous back test parameters. At this point I would like to find out how it behaves in real-time. In the quest to satisfy my curiosity, I intend to update the table below for new signals generated by the system after each day's trade has closed.
At the end of this 3-week experiment I should have a sense for whether further real-time testing is needed to draw a conclusion about the system, or whether it is either a pure dud or an inspired strategy (unlikely, but I can hope).
And if you choose to follow the daily updates I am quite sure you have your own opinion of the system, which I invite you to share.
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Here are 56 Futures Contracts available to me using the ThinkorSwim trading platform.
I have created a new indicator/strategy that back tests well but I do not know how well it tests in real-time. My intention is to update this table after each day’s close for a period of 3 weeks. I expect that this real-time documentation will help me determine how well the system works.
THIS IS AN EXPERIMENT – DO NOT TRADE THESE SIGNALS AS I HAVE NO IDEA HOW RELIABLE THEY WILL BE!
I will only enter new data within a cell if there is a new signal. Cells that are blank mean the existing signal remains in effect. Red = Sell, Green = Buy
At the conclusion, assuming I can keep up with this for 3 weeks, I intend to summarize the findings of this EXPERIMENT - for both the good and the bad outcomes, and offer an opinion about the system’s reliability and profitability.
John
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| FUTURES CONTRACT | TICKER SYMBOL | BEGIN |
| WEEK 1 |
| WEEK 2 |
| WEEK 3 |
| Aug 24 |
| Aug 27 | Aug 28 | Aug 29 | Aug 30 | Aug 31 |
| Sep 3 | Sep 4 | Sep 5 | Sep 6 | Sep 7 |
| Sep 10 | Sep 11 | Sep 12 | Sep 13 | Sep 14 |
| 1. | Australian Dollar | 6A | 8/13 1.0487 |
| 1.0351 | 1.0358 | 1.0332 | 1.0277 | 1.0314 |
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| 2. | British Pound | 6B | 8/24 1.5802 |
| 1.5796 | 1.5814 | 1.5832 | 1.5787 | 1.5877 |
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| 3. | Canadian Dollar | 6C | 8/22 1.0083 |
| 1.0087 | 1.0114 | 1.0105 | 1.0071 | 8/31 1.0144 |
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| 4. | Euro FX | 6E | 7/25 1.2166 |
| 1.2502 | 1.2569 | 1.2533 | 8/30 1.2508 | 8/31 1.2585 |
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| 5. | Japanese Yen | 6J | 8/1 0.012758 |
| 8/22 0.012733 | 0.012741 | 0.012711 | 0.01272 | 0.012777 |
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| 6. | Mexican Peso | 6M | 8/13 0.075725 |
| 0.075675 | 0.0757 | 0.075025 | 0.07485 | 8/31 0.075675 |
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| 7. | New Zealand Dollar | 6N | 8/7 0.8133 |
| 0.8073 | 0.8036 | 0.7997 | 0.7974 | 8/31 0.8025 |
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| 8. | Swiss Franc | 6S | 7/25 1.0135 |
| 1.0409 | 1.0471 | 1.0437 | 8/30 1.042 | 8/31 1.048 |
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| 9. | Cocoa | CC | 8/13 2388 |
| 8/27 2472 | 2584 | 2580 | 2613 | 2611 |
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| 10. | Light Sweet Crude Oil | CL | 8/23 96.04 |
| 95.69 | 96.14 | 95.18 | 94.77 | 8/31 96.56 |
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| 11. | Cotton | CT | 8/10 73.02 |
| 76.04 | 75.85 | 76.53 | 76.94 | 77.26 |
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| 12. | U.S. Dollar Index | DX | 7/13 83.44 |
| 81.71 | 81.36 | 81.58 | 8/30 81.725 | 8/31 81.195 |
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| 13. | E-Mini Euro FX | E7 | 7/25 1.2158 |
| 1.252 | 1.2568 | 1.2534 | 8/30 1.251 | 8/31 1.2584 |
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| 14. | E-Mini S&P MidCap 400 | EMD | 8/23 966.7 |
| 968.9 | 972.7 | 971.9 | 965.3 | 971.5 |
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| 15. | E-Mini S&P 500 | ES | 8/23 1400 |
| 1408 | 1407.75 | 1407.5 | 1396.25 | 1404.75 |
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| 16. | Gold | GC | 7/25 1603.5 |
| 1666 | 1669 | 8/29 1658.7 | 1657.6 | 8/31 1692.6 |
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| 17. | Eurodollar | GE | 8/22 99.5925 |
| 99.6 | 99.605 | 99.605 | 99.6025 | 99.6125 |
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| 18. | Feeder Cattle | GF | 7/18 137.2 |
| 8/27 143.95 | 8/28 144.525 | 145.0 | 145.2 | 146.825 |
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| 19. | Libor one-month | GLB | 8/6 99.77 |
| 99.7675 | 99.7675 | 99.7675 | 99.7675 | 8/31 99.775 |
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| 20. | Lean Hog | HE | 8/13 77.1 |
| 73.1 | 73.125 | 73.85 | 74.225 | 74.1 |
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| 21. | Copper | HG | 8/3 3.365 |
| 3.4675 | 3.461 | 3.438 | 3.442 | 3.4615 |
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| 22. | Heating Oil | HO | 8/3 2.9289 |
| 3.1303 | 3.1257 | 3.1295 | 3.14 | 3.1815 |
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| 23. | E-Mini Japanese Yen | J7 | 8/22 0.012728 |
| 0.012703 | 0.01274 | 0.012721 | 0.012725 | 0.012778 |
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| 24. | Coffee | KC | 8/24 163.1 |
| 166.75 | 167.9 | 165.95 | 163.7 | 164.35 |
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| 25. | Random Length Lumber | LBS | 8/16 309.5 |
| 290.8 | 286.5 | 286.9 | 288 | 289 |
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| 26. | Live Cattle | LE | 8/16 125.425 |
| 123.35 | 123.825 | 8/29 125.625 | 125.8 | 126.125 |
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| 27. | E-Micro AUD/USD | M6A | 8/13 1.0488 |
| 1.0351 | 1.0359 | 1.0334 | 1.0279 | 1.0314 |
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| 28. | E-Micro GPB/USD | M6B | 6/4 1.538 |
| 8/27 1.5794 | 8/28 1.5818 | 1.5827 | 8/30 1.5782 | 8/31 1.5879 |
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| 29. | E-Micro EUR/USD | M6E | 7/25 1.2167 |
| 1.2501 | 1.2568 | 1.2529 | 8/30 1.2509 | 8/31 1.2583 |
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| 30. | Natural Gas | NG | 8/21 2.83 |
| 8/27 2.664 | 2.608 | 8/29 2.691 | 2.76 | 2.802 |
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| 31. | Nikkei 225 Stock Average Index | NKD | 8/22 9085 |
| 9100 | 9100 | 9065 | 8905 | 8895 |
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| 32. | E-Mini Nasdaq 100 Index | NQ | 8/23 2762.75 |
| 2783 | 2783 | 2781.25 | 2754.25 | 2770.5 |
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| 33. | Frozen Concentrate Orange Juice | OJ | 8/24 119 |
| 113.7 | 113.7 | 117.85 | 117.95 | 118.65 |
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| 34. | Palladium | PA | 6/29 582.2 |
| 649.5 | 649.5 | 8/29 631.4 | 620.25 | 629.9 |
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| 35. | Platinum | PL | 6/29 1452.1 |
| 1543 | 1519.7 | 8/29 1517 | 1508 | 1540.9 |
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| 36. | miNy Natural Gas | QG | 8/21 2.83 |
| 8/27 2.665 | 2.608 | 8/29 2.695 | 2.76 | 2.80 |
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| 37. | NYMEX miNY Light Sweet Crude Oil | QM | 8/23 96.05 |
| 95.725 | 96.125 | 95.25 | 94.825 | 8/31 96.575 |
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| 38. | RBOB Gasoline | RB | 8/24 2.9069 |
| 2.9553 | 2.9359 | 2.922 | 2.915 | 8/31 2.9715 |
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| 39. | Sugar | SB | 7/24 23.48 |
| 19.59 | 8/28 20.16 | 19.69 | 19.81 | 19.78 |
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| 40. | Silver | SI | 5/17 28.015 |
| 30.67 | 30.85 | 30.775 | 8/30 30.49 | 8/31 31.79 |
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| 41. | Russell 2000 Index Mini-size | TF | 8/23 805.2 |
| 809.6 | 813.8 | 814.1 | 805.9 | 811.1 |
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| 42. | Ultra T-Bond | UB | 8/22 166’21 |
| 166’18 | 167 | 166’17 | 167’06 | 169’17 |
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| 43. | Mini-sized Gold | YG | 6/29 1598.2 |
| 1666 | 1669.3 | 8/29 1658.7 | 1658.1 | 8/31 1694.1 |
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| 44. | Mini-sized Silver | YI | 6/29 27.43 |
| 30.67 | 30.821 | 30.725 | 8/30 30.461 | 8/31 31.767 |
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| 45. | Mini Dow Jones Industrial Average | YM | 8/21 13199 |
| 13104 | 13086 | 13086 | 12985 | 13082 |
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| 46. | 30-Year U.S. Treasury Bond | ZB | 8/22 148 |
| 149’23 | 150 | 149’26 | 150’12 | 151’21 |
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| 47. | Corn | ZC | 7/23 785.5 |
| 800.25 | 796.25 | 8/29 814 | 808 | 8/31 800 |
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| 48. | 5-Year U.S. Treasury Note | ZF | 8/22 124’130 |
| 8/27 124’030 | 124’045 | 124’050 | 124’100 | 8/31 124’225 |
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| 49. | Soybean Oil | ZL | 8/9 53.17 |
| 56.6 | 56.4 | 57.38 | 57.25 | 56.96 |
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| 50. | Soybean Meal | ZM | 8/15 493.7 |
| 519.6 | 523 | 529.6 | 534.7 | 533 |
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| 51. | 10-Year U.S. Treasury Note | ZN | 8/22 133’165 |
| 8/27 132’220 | 132’270 | 132’250 | 133’025 | 8/31 133’260 |
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| 52. | Oats | ZO | 8/16 383.75 |
| 387 | 382.25 | 396.75 | 395.5 | 396.5 |
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| 53. | Thirty-Day Fed Funds | ZQ | 8/14 99.86 |
| 99.87 | 99.865 | 8/29 99.865 | 99.865 | 99.865 |
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| 54. | Soybean | ZS | 8/15 1634.5 |
| 1720.75 | 1724.25 | 1752 | 1761.25 | 1754 |
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| 55. | 2-Year U.S. Treasury Note | ZT | 8/22 110’065 |
| 110’067 | 110’067 | 8/29 110’06 | 8/30 110’072 | 110’095 |
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| 56. | Wheat | ZW | 8/20 879.75 |
| 881.5 | 876 | 906.5 | 903 | 888.75 |
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Terimakasih anda telah membaca artikel tentang Real-Time TSI Trading System Test. Jika ingin menduplikasi artikel ini diharapkan anda untuk mencantumkan link https://btcetherium.blogspot.com/2012/08/real-time-tsi-trading-system-test.html. Terimakasih atas perhatiannya.