first test of the trading simulator

For the first test of my trading simulator I use the e-mini SP500 data for the day of April 29, 2005.

I zipped the Ensign data file:

ES050429.zip

First, I run the script that extracts the tick stream from the Ensign data file.
I zipped the stream files as well. It's comma delimited:

stream.zip

I will do the test using the 1-2 setup with 5m time bars. The bar data are available in a comma delimited file:

bars5m.csv

This is the corresponding bar chart (click on it to see it full-size):



Then, I run the script that finds the 1-2 setups and issue the orders, using as stops the setup natural stops (1 tick above the 2nd high or 1 tick below the 2nd low for a short and, respectively, long, 1-2 setup). I do not set any target, that is the simulator will attempt to stay in the market as much as possible. This file has the data:

orders5m.csv

Finally, I run the script that execute the orders. I assume that a tick is 1/4 of a contract point and that each contract point is worth $50. I also assume a commission of $2.4 per transaction per contract. The data are in this file:

execs5m.csv

This chart shows the trades (click on the chart to see it full size):



My trading comments are noted on the chart. You will have to click on the thumbnail chart above to see the full-size chart in order to read them. To understand what is going on, bear in mind that the chart shows:

1) the highs and lows of the 5m bars in grey
2) short entries as black dots
3) long entries as blue dots
4) stop executions as red dots
5) entries resulting in a loss as red circles around the corresponding dot
6) green lines connecting entry and exit of a winning trade
7) red lines connecting entry and exit of a losing trade

For the record, this simulation results in a total loss of $284.9 per contract.

Categories: trading simulator, trading setups, price action