On the above table the last line shows the maximum profit. Note that the lines above it going north show progressively fewer trades and an increasing Profit Factor. Profit Factor is a standard evaluation statistic for trading strategies (PF = $ winning trades/ $ losing trades). The reason for the decreasing trade number is the second layer of the Momentum Setp Up = True from the formula given above demands increasingly selective trading, hence fewer trades.
Things to note here are that the simple non optimized test provides 469 trade examples. This is about 2 or 3 trades per month. The average win is about 4 points per ES, SPY, or SPX trade. Note the win rate of over 94% on 469 trade examples!!! .
The lead and star of our Absolute Performance Indicators is Scoupe which rhymes with “Scoop”. The testing results for this indicator may boggle your mind or make you doubt the veracity of the results. However any client can run the same tests once they own the API package.
The "Scoupe" Indicator is designed to identify entry points for trades in the primary direction of the market trend. Scoupe is very easy to use; If Scoupe Histogram is greater then zero and Scoupe Indicator Line is less then zero, then that is a Buy Set Up. If Scoupe Histogram is less then zero and Scoupe Indicator Line is greater then zero, then that is a Sell Set Up. There is then an additional Scoupe Set Up layer to verify the entry.
On your chart Scoupe is immediately visually intuitive. Scoupe will not garble up your chart with lines and colors and extraneous markings. We are ultimately trading price and we believe we need to be able to clearly see price. Scoupe is clean, simple, and powerful!
The best news is Scoupe has zero optimizable parameters. Scoupe is used on all on all time frames and can be used on time charts, renko charts and for intraday trading a personal favorite is range bar charts. There are no parameters to optimize, because there is no need to optimize.
Above is the Scoupe Indicator with a trading band which is optional. This chart employs Range Bars for intraday trading.
We run very basic empirical tests on our indicators. The purpose of testing is to test the hypothesis not torture the data to obtain great, but likely not repeatable results. The initial historical test for Scoupe is shown below. It tests historical performance on daily bars and hourly bars as indicated. This is the entire system test code. It is just a simple test to see if there is merit in the indicator.
Buy Rule: If Scoupe Histogram> 0 and Scoupe Line < 0 and Momentum Set Up = True
Sell Rule: If Scoupe Histogram < 0 and Scoupe Line > 0 and Momentum Set Up = True
Exits are very simple:
Exit at $ based Price Objective
Exit after 5 trading days.
Following are the hypothetical historical test results based on the above rules. The entry and exit rules are exactly as detailed above. The user will be able to run the exact same tesat shown here.
Scoupe Historical using SP e-mini futures.
Required U.S. Government Disclaimer
NOTICE: HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE IS THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE SUCCESS. DO NOT TRADE WITH MONEY YOU CAN NOT AFFORD TO LOSE. ALL ASSET CLASSES INCLUDING FUTURES, OPTIONS, FOREX, ETF'S AND STOCKS HAVE LARGE POTENTIAL REWARDS BUT ALSO LARGE POTENTIAL RISKS. YOU MUST BE AWARE OF THE RISKS AND WILLING TO ACCEPT THOSE RISKS IN ORDER TO INVEST. ALWAYS CONSULT A REGISTERED FINANCIAL ADVISOR BEFORE TRADING OR INVESTING TO DETERMINE IF THE INVESTMENT IS APPROPRIATE FOR YOU. THIS WEBSITE IS FOR INFORMATIONAL PURPOSES ONLY AND IS NOT A SOLICITATION TO BUY OR SELL ANY ENTITY MENTIONED.
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by Joe Duffy
For the final test we will just exit after N days after entry. There can be no less optimized exit then that!!! If we do nothing else where is the market in "N" days?
Scoupe Equity chart combining most accurate and highest dollar return using SP emini futures.
Scoupe Historical Test Results Different Profit Objectives.
Exit after "N" days.
On the above table note that maximum profit is reached with an objective of about 50 ES, SPY, or SPX points. The $P/L has increased and accuracy has decreased to just over 60%, still very good for a simple test. The Profit Factor is also above 2.0 also quite good. This is the exact same test as before except with higher profit objective.