Day Trading System Hang Seng

Codename: ORB

Day Trading Secrets present two day trading systems for the Hang Seng codenamed (unimaginatively) ORB.1 and ORB.2. They were designed in recognition of the straight(er) trending nature of this major Asian market, which has little retracement or at least does not retrace in the same way as major US markets. Hence, Crawler, the day trading scalping system, which seems to work well with a basket of index futures, does not work at all system scalping the Hang Seng Index Futures.

There is further indirect evidence of this, in that the worse performing Crawler months with the ES contract occurred during the month of March and April 2000. This was during the rapid market falls which outlined the start of the DOTCOM implosion.

As presented, both ORBs run on 5 minute Hang Seng charts. As these systems are true day trading systems, closing any position by the close of the market, contracts were rolled together without adjustment, when the forward contract volume became higher than the trailing contract volume. Tradestation was set to assume HKD250 costs and slippage. This is a rather conservative measure considering that Interactive Brokers charges something less than HKD60 per contract round-trip. At the current peg, roughly 7.7 HKD buys 1 USD.

The high costs used worked against ORB.1 as it trades twice as often as ORB.2. However we wanted to stress test both systems to get a better idea if they would be successful in real trading.

The system testing was ran from January 2001 to May 2004, or about 3.4 years of tick test data. All trades were one contract only and no attempt was made to size the position. The system has two entry parameters and one exit parameter.

Clearly, (see performance summaries below), ORB.2 is the superior system on paper. While derived from ORB.1, it uses filters to determine the trend in the higher time frame. The point of the systems though is to support the assertion above, “They were designed in recognition of the straight(er) trending nature of this major Asian market, which has little retracement or at least does not retrace in the same way as major US markets”.

Click here for the Tradestation 2000i performance summary of day trading system Hang Seng, ORB.1.

Click here for the Tradestation 2000i equity curve of day trading system Hang Seng, ORB.1.

Click here for the Tradestation 2000i performance summary of day trading system Hang Seng, ORB.2.

Click here for the Tradestation 2000i equity curve of day trading system Hang Seng, ORB.2.

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