Image 1

FIGURE 3: Here you see an out-of-sample one-minute bar chart of Russell 2000 index emini futures (TF) from May 1, 2013 to May 3, 2013 with the repeated median velocity (RMV) indicator and buy & sell signals.

 

SIDEBAR:
Walk-Forward Out-Of-Sample Performance Summary
TF-mini 1-min bars
Repeated median velocity system

TF 1-minute bars from March 30, 2011 to May 3, 2013 using the filter given below on each in-sample segment. The input values N, vup, and vdn are found from applying the filter to the in-sample’s optimization run.

In-sample section filter: Bottom 20 tLB, then highest tnp

where:
tLB = Total losing bars in losing trades in the in-sample section
tnp = Total net profit in the in-sample section
osnp = Weekly out-of-sample net profit from strategy inputs chosen by the in-sample section filter
ollt = Out-of-sample largest losing trade for that week from strategy inputs chosen by the in-sample section filter
odd = Out-of-sample closing trade drawdown for that week
ont = The number of trades in the out-of-sample week from strategy inputs chosen by the in-sample section filter
Equity = Running sum of the weekly out-of-sample profits (Osnp)
NetEq = Running sum of the weekly out-of-sample profits minus $30*Ont

Note: Blank rows indicate that no out-of-sample trades were made that week.

Week In-Sample Dates Out-Of-Sample Dates osnp ont Equity NOnp$30 NetEq ollt odd N vup vdn
1 03/30/11 to 04/29/11 05/02/11 to 05/06/11 260 10 260 (40) (40) (710) (760) 20 9.5 10
2 04/06/11 to 05/06/11 05/09/11 to 05/13/11 1270 7 1530 1060 1020 (590) (590) 40 9.5 9
3 04/13/11 to 05/13/11 05/16/11 to 05/20/11 650 10 2180 350 1370 (620) (670) 30 8 9
4 04/20/11 to 05/20/11 05/23/11 to 05/27/11 500 3 2680 410 1780 0 0 70 10 7.5
5 04/27/11 to 05/27/11 05/30/11 to 06/03/11 (1550) 8 1130 (1790) (10) (1020) (2420) 20 9 9
6 05/04/11 to 06/03/11 06/06/11 to 06/10/11 1480 6 2610 1300 1290 (270) (270) 50 10 6.5
7 05/11/11 to 06/10/11 06/13/11 to 06/17/11 1160 6 3770 980 2270 (540) (540) 50 10 6.5
8 05/18/11 to 06/17/11 06/20/11 to 06/24/11 (30) 17 3740 (540) 1730 (430) (950) 20 10 3.5
9 05/25/11 to 06/24/11 06/27/11 to 07/01/11 1100 4 4840 980 2710 (210) (210) 60 10 5.5
10 06/01/11 to 07/01/11 07/04/11 to 07/08/11 (650) 3 4190 (740) 1970 (770) (770) 60 10 5.5
11 06/08/11 to 07/08/11 07/11/11 to 07/15/11 1630 3 5820 1540 3510 0 0 50 9.5 10
12 06/15/11 to 07/15/11 07/18/11 to 07/22/11 1240 3 7060 1150 4660 0 0 50 9.5 9.5
13 06/22/11 to 07/22/11 07/25/11 to 07/29/11 (170) 7 6890 (380) 4280 (1070) (1450) 60 9 9
14 06/29/11 to 07/29/11 08/01/11 to 08/05/11 3460 10 10350 3160 7440 (1360) (2190) 70 9 8.5
15 07/06/11 to 08/05/11 08/08/11 to 08/12/11 6630 13 16980 6240 13680 (1150) (2180) 60 8.5 9
16 07/13/11 to 08/12/11 08/15/11 to 08/19/11 (990) 17 15990 (1500) 12180 (800) (3060) 30 10 8
17 07/20/11 to 08/19/11 08/22/11 to 08/26/11 1170 25 17160 420 12600 (730) (2330) 40 9 1.5
18 07/27/11 to 08/26/11 08/29/11 to 09/02/11 820 16 17980 340 12940 (730) (1700) 30 8.5 10
19 08/03/11 to 09/02/11 09/05/11 to 09/09/11 (1200) 14 16780 (1620) 11320 (1000) (2520) 70 5.5 4
20 08/10/11 to 09/09/11 09/12/11 to 09/16/11 (400) 22 16380 (1060) 10260 (720) (3260) 30 7.5 10
21 08/17/11 to 09/16/11 09/19/11 to 09/23/11 (1030) 25 15350 (1780) 8480 (840) (1810) 30 9 8
22 08/24/11 to 09/23/11 09/26/11 to 09/30/11 1920 16 17270 1440 9920 (930) (1380) 70 9 3.5
23 08/31/11 to 09/30/11 10/03/11 to 10/07/11 4300 21 21570 3670 13590 (980) (2360) 30 10 8
24 09/07/11 to 10/07/11 10/10/11 to 10/14/11 180 13 21750 (210) 13380 (720) (1410) 40 7 10
25 09/14/11 to 10/14/11 10/17/11 to 10/21/11 2460 13 24210 2070 15450 (840) (1400) 40 7.5 8
26 09/21/11 to 10/21/11 10/24/11 to 10/28/11 2160 12 26370 1800 17250 (680) (750) 40 7.5 8.5
27 09/28/11 to 10/28/11 10/31/11 to 11/04/11 1610 14 27980 1190 18440 (820) (1720) 40 7.5 8.5
28 10/05/11 to 11/04/11 11/07/11 to 11/11/11 340 18 28320 (200) 18240 (820) (1360) 30 6 9.5
29 10/12/11 to 11/11/11 11/14/11 to 11/18/11 1990 12 30310 1630 19870 (370) (560) 50 4 8
30 10/19/11 to 11/18/11 11/21/11 to 11/25/11 2160 8 32470 1920 21790 (770) (770) 40 6 7.5
31 10/26/11 to 11/25/11 11/28/11 to 12/02/11 (700) 13 31770 (1090) 20700 (780) (2230) 40 6 8
Week In-Sample Dates Out-Of-Sample Dates osnp ont Equity NOnp$30 NetEq ollt odd N vup vdn
32 11/02/11 to 12/02/11 12/05/11 to 12/09/11 1510 14 33280 1090 21790 (740) (1040) 40 6 6.5
33 11/09/11 to 12/09/11 12/12/11 to 12/16/11 (430) 11 32850 (760) 21030 (590) (1590) 60 10 3.5
34 11/16/11 to 12/16/11 12/19/11 to 12/23/11 870 7 33720 660 21690 (1100) (1770) 50 9.5 3.5
35 11/23/11 to 12/23/11 12/26/11 to 12/30/11 690 2 34410 630 22320 (60) (60) 30 7 10
36 11/30/11 to 12/30/11 01/02/12 to 01/06/12 1050 2 35460 990 23310 0 0 20 9.5 9
37 12/07/11 to 01/06/12 01/09/12 to 01/13/12 (730) 6 34730 (910) 22400 (680) (1200) 30 7.5 10
38 12/14/11 to 01/13/12 01/16/12 to 01/20/12 800 1 35530 770 23170 0 0 40 8 10
39 12/21/11 to 01/20/12 01/23/12 to 01/27/12 160 6 35690 (20) 23150 (820) (1010) 30 8 8.5
40 12/28/11 to 01/27/12 01/30/12 to 02/03/12 (190) 7 35500 (400) 22750 (460) (780) 30 8 7
41 01/04/12 to 02/03/12 02/06/12 to 02/10/12 2140 12 37640 1780 24530 (230) (230) 20 0.5 6
42 01/11/12 to 02/10/12 02/13/12 to 02/17/12 (600) 28 37040 (1440) 23090 (430) (1390) 20 1.5 6
43 01/18/12 to 02/17/12 02/20/12 to 02/24/12 1380 11 38420 1050 24140 (280) (560) 20 3 6.5
44 01/25/12 to 02/24/12 02/27/12 to 03/02/12 (600) 33 37820 (1590) 22550 (850) (2250) 20 4 6.5
45 02/01/12 to 03/02/12 03/05/12 to 03/09/12 1840 11 39660 1510 24060 (300) (510) 20 7 4
46 02/08/12 to 03/09/12 03/12/12 to 03/16/12 (2120) 11 37540 (2450) 21610 (830) (2120) 50 7 3.5
47 02/15/12 to 03/16/12 03/19/12 to 03/23/12 60 3 37600 (30) 21580 0 0 70 10 8
48 02/22/12 to 03/23/12 03/26/12 to 03/30/12 30 4 37630 (90) 21490 (440) (680) 70 10 8
49 02/29/12 to 03/30/12 04/02/12 to 04/06/12 710 3 38340 620 22110 (320) (320) 60 7 9
50 03/07/12 to 04/06/12 04/09/12 to 04/13/12 2310 5 40650 2160 24270 0 0 60 7 8.5
51 03/14/12 to 04/13/12 04/16/12 to 04/20/12 (1610) 7 39040 (1820) 22450 (1040) (1750) 70 6.5 10
52 03/21/12 to 04/20/12 04/23/12 to 04/27/12 870 11 39910 540 22990 (460) (530) 70 3 2.5
53 03/28/12 to 04/27/12 04/30/12 to 05/04/12 2250 14 42160 1830 24820 (340) (990) 50 3.5 3
54 04/04/12 to 05/04/12 05/07/12 to 05/11/12 (1160) 25 41000 (1910) 22910 (390) (1480) 50 3.5 2.5
55 04/11/12 to 05/11/12 05/14/12 to 05/18/12 1900 16 42900 1420 24330 (520) (1030) 60 3.5 3
56 04/18/12 to 05/18/12 05/21/12 to 05/25/12 510 27 43410 (300) 24030 (580) (1130) 40 4 3
57 04/25/12 to 05/25/12 05/28/12 to 06/01/12 2600 14 46010 2180 26210 (370) (370) 40 5 3
58 05/02/12 to 06/01/12 06/04/12 to 06/08/12 (900) 24 45110 (1620) 24590 (500) (1570) 40 5 2.5
59 05/09/12 to 06/08/12 06/11/12 to 06/15/12 1940 7 47050 1730 26320 (780) (1100) 40 10 8.5
60 05/16/12 to 06/15/12 06/18/12 to 06/22/12 1000 4 48050 880 27200 (500) (500) 40 10 8.5
61 05/23/12 to 06/22/12 06/25/12 to 06/29/12 2590 6 50640 2410 29610 (400) (400) 70 5 9.5
62 05/30/12 to 06/29/12 07/02/12 to 07/06/12 1550 4 52190 1430 31040 (140) (140) 70 5 8
63 06/06/12 to 07/06/12 07/09/12 to 07/13/12 440 5 52630 290 31330 (540) (540) 60 7.5 10
64 06/13/12 to 07/13/12 07/16/12 to 07/20/12 (780) 6 51850 (960) 30370 (600) (910) 70 4 10
65 06/20/12 to 07/20/12 07/23/12 to 07/27/12 570 5 52420 420 30790 (430) (1050) 70 4.5 10
66 06/27/12 to 07/27/12 07/30/12 to 08/03/12 760 16 53180 280 31070 (490) (2010) 40 3.5 3.5
67 07/04/12 to 08/03/12 08/06/12 to 08/10/12 (940) 7 52240 (1150) 29920 (390) (990) 30 8 3.5
68 07/11/12 to 08/10/12 08/13/12 to 08/17/12 0 2 52240 (60) 29860 (360) (360) 30 10 4.5
69 07/18/12 to 08/17/12 08/20/12 to 08/24/12 450 6 52690 270 30130 (260) (350) 30 10 5
70 07/25/12 to 08/24/12 08/27/12 to 08/31/12 (880) 3 51810 (970) 29160 (520) (940) 30 10 10
71 08/01/12 to 08/31/12 09/03/12 to 09/07/12 (720) 3 51090 (810) 28350 (1480) (1530) 70 9.5 8.5
72 08/08/12 to 09/07/12 09/10/12 to 09/14/12 1650 2 52740 1590 29940 (400) (400) 70 7.5 10
73 08/15/12 to 09/14/12 09/17/12 to 09/21/12 (2850) 3 49890 (2940) 27000 (2850) (4600) 70 8 9
74 08/22/12 to 09/21/12 09/24/12 to 09/28/12 3350 5 53240 3200 30200 (1300) (1300) 70 7.5 9
75 08/29/12 to 09/28/12 10/01/12 to 10/05/12 5300 23 58540 4610 34810 (3000) (4900) 20 5.5 2
76 09/05/12 to 10/05/12 10/08/12 to 10/12/12 4350 13 62890 3960 38770 (1800) (2400) 20 6 1
77 09/12/12 to 10/12/12 10/15/12 to 10/19/12 (2400) 10 60490 (2700) 36070 (2500) (5050) 20 8.5 4
78 09/19/12 to 10/19/12 10/22/12 to 10/26/12 (250) 6 60240 (430) 35640 (3950) (3950) 20 10 6.5
79 09/26/12 to 10/26/12 10/29/12 to 11/02/12 6450 4 66690 6330 41970 (100) (100) 20 10 6.5
80 10/03/12 to 11/02/12 11/05/12 to 11/09/12 5200 6 71890 5020 46990 (950) (1150) 50 5 10
81 10/10/12 to 11/09/12 11/12/12 to 11/16/12 3350 4 75240 3230 50220 (3300) (3300) 50 6 9.5
82 10/17/12 to 11/16/12 11/19/12 to 11/23/12 3700 2 78940 3640 53860 0 0 70 7.5 10
83 10/24/12 to 11/23/12 11/26/12 to 11/30/12 (400) 4 78540 (520) 53340 (3350) (3350) 70 7.5 10
84 10/31/12 to 11/30/12 12/03/12 to 12/07/12 (4700) 3 73840 (4790) 48550 (3000) (4700) 70 8 7.5
85 11/07/12 to 12/07/12 12/10/12 to 12/14/12 100 1 73940 70 48620 0 0 70 8 9.5
86 11/14/12 to 12/14/12 12/17/12 to 12/21/12 3500 3 77440 3410 52030 (1200) (1200) 70 8 9.5
Week In-Sample Dates Out-Of-Sample Dates osnp ont Equity NOnp$30 NetEq ollt odd N vup vdn
87 11/21/12 to 12/21/12 12/24/12 to 12/28/12 0 2 77440 (60) 51970 (600) (600) 60 9 9.5
88 11/28/12 to 12/28/12 12/31/12 to 01/04/13 4150 2 81590 4090 56060 (150) (150) 50 9 9.5
89 12/05/12 to 01/04/13 01/07/13 to 01/11/13     81590   56060     50 9 10
90 12/12/12 to 01/11/13 01/14/13 to 01/18/13     81590   56060     40 9 8.5
91 12/19/12 to 01/18/13 01/21/13 to 01/25/13 (1350) 1 80240 (1380) 54680 0 0 30 8.5 9.5
92 12/26/12 to 01/25/13 01/28/13 to 02/01/13 1400 3 81640 1310 55990 (2400) (2400) 30 8.5 9.5
93 01/02/13 to 02/01/13 02/04/13 to 02/08/13 (2050) 1 79590 (2080) 53910 0 0 70 9.5 8.5
94 01/09/13 to 02/08/13 02/11/13 to 02/15/13 1500 3 81090 1410 55320 (1650) (1650) 70 5 8
95 01/16/13 to 02/15/13 02/18/13 to 02/22/13 4050 4 85140 3930 59250 0 0 70 9.5 7.5
96 01/23/13 to 02/22/13 02/25/13 to 03/01/13 6100 5 91240 5950 65200 (4050) (4050) 70 9.5 7.5
97 01/30/13 to 03/01/13 03/04/13 to 03/08/13 (2200) 4 89040 (2320) 62880 (2700) (2700) 70 5 7.5
98 02/06/13 to 03/08/13 03/11/13 to 03/15/13     89040   62880     40 8.5 7.5
99 02/13/13 to 03/15/13 03/18/13 to 03/22/13 2750 2 91790 2690 65570 (200) (200) 40 8.5 7.5
100 02/20/13 to 03/22/13 03/25/13 to 03/29/13 1200 4 92990 1080 66650 (1350) (1450) 40 6 6.5
101 02/27/13 to 03/29/13 04/01/13 to 04/05/13 7550 6 100540 7370 74020 (4850) (4850) 30 7.5 8.5
102 03/06/13 to 04/05/13 04/08/13 to 04/12/13 (3800) 5 96740 (3950) 70070 (3900) (5900) 40 6.5 8
103 03/13/13 to 04/12/13 04/15/13 to 04/19/13 16000 8 112740 15760 85830 (2900) (5600) 40 8 9
104 03/20/13 to 04/19/13 04/22/13 to 04/26/13 4900 4 117640 4780 90610 (950) (950) 40 8 9.5
105 03/27/13 to 04/26/13 04/29/13 to 05/03/13 8550 4 126190 8430 99040 (450) (450) 60 7.5 7