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.
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 |