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7/23/2019 BiasToGo En

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• Andrea Unger

• Born in 1966

• Degree in Mechanical engineering in 1990

• From 1992 to 2001 employed in technical-commercial

positions in multinational companies

• From 2001 Full time trader

• 2005 winner of European TopTraderCup in Futures Division

with 60,36% over 3 months

• 2008 winner of World Cup Championship of Futures Trading®

with 672% over 1 year

About me



Is there something that takes place periodically andthat we can take advantage of in the markets?

If it is out there I call it :

What do I mean for “BIAS”?



How to proceed?

Perform a test

Further Study

Basic Strategy

Any Result?

NO

YES

Filtering criteria



Perform a test

Market: SP500

Test on Day Of Week influence

50 USD Commission + Slippage

Starting date 01/01/1999 (to be in line with electronic markets)

Ending date for the Test 12/30/2005 (In sample data)



Perform a test

The aim is to find out if there is a bullish/bearish identity in the

different days of a week.

To identify this we simply buy at market when SP500 opens and sell

the day after, we do this throughout the years testing the results on

different Days Of Week.

No Stop Loss is applied as there is a “One Day” position considered



Perform a test

The rules

We perform an

optimization from 1 to 5 ofthe input “dd” in order toget results for different

Days Of Week



Perform a test

Wednesday appears clearly to lead to a

bullish setup while Monday and Thursday

lead to bearish behaviour (consider that

the rule says “if today is Wednesday then

TOMORROW buy at market”)



Perform a test

Let’s have a look at the performance report



Perform a test

And at the equity curve



Perform a test

Now let’s

test theshort side



Perform a test

Even though commissions are calculated

(and not necessarily what was losing on

the long side would transform into a

winner on the short side), we got the

confirmation on Monday and Thursday as

a bearish setup



Perform a test

Now the report for activity after Mondays



Perform a test

And its equity curve



Perform a test

Now the report for activity after Thursdays



Perform a test

And its equity curve



Perform a test

And here is the merged report considering the long entry rule and the 2 short entries



Perform a test

And the merged Equity



Further study

Can we somehow improve these results?

What can we consider to modify?

We have found a bullish behaviour on a certain day and a bearish

behaviour on other days, our strategy rides the market accordingly

with no further rule; what if we wait for a move in our direction before

entering the market? So instead of buying or selling at market open

we buy or sell at breakout of previous day high (for a buy) and low

(for a sell), let’s see what happens…



Further study

The new entry rules



Further study

The results appear very similar, did we

get an improvement or not?



Further studyNet profit is 98,850 Vs.

89,100 this is good but it

is not the main

argument.

This system trades

“only” 180 times, the

older traded 361 times,

twice the trades for

nearly the same result…

Here we have a

tremendous

improvement in Average

Trade !!



Further study

Here comes the short side

Here we get more ideas:

1) With input 1 we can enter at stop as average trade

improves.

2) with input 4 we had a win and now a loss, it may mean

that moves going down to previous low exhausted their

move, so we can short at market as we did before and

close at low of the day before

3) With input 2 low seems to be an inversion point, we can

buy here and exit the day after (new Long Entry rule)



Further study

Here are the new Rules!



Further study

Now the performance report of the merged rules from 1/1/1999 to 12/31/2005

We have half the Drawdown and increased the average trade!



Further study

And the equity line of the merged rules from 1/1/1999 to 12/31/2005



Basic Strategy

So we developed a very basic strategy, what would happen starting 1/1/2006?

The strategy continues to perform and to make money!



Basic Strategy

So we developed a very basic strategy, what would happen starting 1/1/2006?

Only the high turbolence of last part of 2008 would lead to some trouble, all the rest is great!

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