Disclosing the theoretical grail for futures on the RTS exchange

Regarding yesterday's system test, which exploits the inefficiency of the RTS Index futures schedule.
http://jc-trader.livejournal.com/398820.html
Today I simplified it altogether. — that is, you don't even need any system. Without a system, results are even BETTER. Just exploitation of the first seconds of trading in its purest form.

Also published the results of this system on Smartlab. So there at all, have written such nonsense, like it's all because i tested with reinvestment, re-optimized, tester is buggy, etc.. It's a pity that I can not answer in Smartlab. Что-то случилось, but I don’t understand what is connected with. I can create posts, edit too, but I can't create comments — when the button is pressed, the page hangs and nothing happens. I have already removed all the viruses and reinstalled the browser, still doesn't help.

All in all, explaining the grail, or rather not yesterday's system, and a simplified version of it to the maximum:


Если открытие первой candles сессии больше чем предыдущее закрытие прошлой сессии, then immediately buy stupidly at the opening of the first candle. We close the position in five minutes (Fifteen minutes, half an hour, time). For shorts vice versa.
Pity, I can't test for a minute, to close in a minute, since for some reason I only have five minutes open in WLD6, but not a minute.

To avoid accusations against me that it is impossible to enter a position in the first seconds of the session, I will repeat it right away: I know it myself, I talked about this in a previous post, this is a theoretical test, such trade is not available for a mere mortal — only for especially close to the RTS exchange. This test is to show where all the money is and why the majority loses..

Here is a test for five minutes. That is, closing a position through 5 minutes after the start of the session. Pay attention to the profit factor and the recovery factor. And also on the percentage of winning trades:

  I suck ya blood dry



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Just in case, I will give the code for WLD6 — if someone does not believe can check with their own eyes. Code set to exit in five minutes, but you can easily alter, for example, for watches by changing the time of exit from the position.

———————————————————————–
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;
namespace WealthLab.Strategies
{
public class MyStrategy : WealthScript
{
public MyStrategy()
{
}
protected override void Execute()
{
Utility u = new Utility(this);
Utility u_1 = new Utility(this);
Utility u_2 = new Utility(this);
Utility u_3 = new Utility(this);
Utility u_4 = new Utility(this);
for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
{
if (IsLastPositionActive)
{
Position p = LastPosition;
if (p.EntrySignal.Contains(&quot;Group2|&quot;))
{
if (Bars.IsIntraday && u_4.GetTime(bar) > 1004)
CoverAtMarket(bar, p, &quot;Group2&quot;);
}
if (p.EntrySignal.Contains(&quot;Group1|&quot;))
{
if (Bars.IsIntraday && u_4.GetTime(bar) > 1004)
SellAtMarket(bar, p, &quot;Group1&quot;);
}
}
else
{
if (Open[bar] < Close[bar-1])
if (Bars.IsIntraday && u_2.GetTime(bar) < 1006)
{
if (Bars.IsIntraday && u_3.GetTime(bar) > 959)
{
ShortAtMarket(bar, &quot;Group2|&quot;);
}
}
if (Open[bar] > Close[bar-1])
if (Bars.IsIntraday && u.GetTime(bar) < 1006)
{
if (Bars.IsIntraday && u_1.GetTime(bar) > 959)
{
BuyAtMarket(bar, &quot;Group1|&quot;);
}
}
}
}
}
}
}
—————————————————

By the way, this inefficiency of the chart can be traced on ALL futures, traded on the RTS stock exchange. Someone is pretty good at sawing loot!

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