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Monday September 6th 2010 : Sell Order at 2669 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is selling futures when the Eurostoxx index is breaking 2669 (cash level) on the downside. If the order is executed, the position is bought back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bearish...
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Monday January 17th 2011 : Sell Order at 2838 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is buying futures when the Eurostoxx index is breaking 2838 (cash level) on the upside. If the order is executed, the position is sold back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bullish...
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Tuesday August 3rd 2010 : Sell Order at 2770 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is selling futures when the Eurostoxx index is breaking 2770 (cash level) on the downside. If the order is executed, the position is bought back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bearish...
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Friday September 10th 2010 : Sell Order at 2744 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is selling futures when the Eurostoxx index is breaking 2744 (cash level) on the downside. If the order is executed, the position is bought back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bearish...
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Monday July 5th 2010 : Buy Order at 2583 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is buying futures when the Eurostoxx index is breaking 2583 (cash level) on the upside. If the order is executed, the position is sold back at 17h35 (Paris time) at the closing bell. If the market is opening with a bullish...
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Friday August 13th 2010 : Buy Order at 2778 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is buying futures when the Eurostoxx index is breaking 2778 (cash level) on the upside. If the order is executed, the position is sold back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bullish...
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Thursday July 29th 2010 : Sell Order at 2715 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is selling futures when the Eurostoxx index is breaking 2715 (cash level) on the downside. If the order is executed, the position is bought back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bearish...
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Thursday July 15th 2010 : Sell Order at 2698 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is selling futures when the Eurostoxx index is breaking 2698 (cash level) on the downside. If the order is executed, the position is bought back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bearish...
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Tuesday July 20th 2010 : Buy Order at 2697 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is buying futures when the Eurostoxx index is breaking 2697 (cash level) on the upside. If the order is executed, the position is sold back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bullish...
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Wednesday July 28th 2010 : Sell Order at 2696 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is selling futures when the Eurostoxx index is breaking 2696 (cash level) on the downside. If the order is executed, the position is bought back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bearish...
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Monday July 26th 2010 : Sell Order at 2658 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is selling futures when the Eurostoxx index is breaking 2658 (cash level) on the downside. If the order is executed, the position is bought back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bearish...
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Tuesday December 7th 2010 : Sell Order at 2725 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is selling futures when the Eurostoxx index is breaking 2725 (cash level) on the downside. If the order is executed, the position is bought back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bearish...
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Monday September 20th 2010 : Entry Point at 2793 (cash level) of the Systematic Trading Model on Eurostoxx
If the market opens above 2793, the model is waiting until a come back to 2793, then it sells futures. If the market is opening below 2793, the model is waiting until a come back to 2793, then it buys futures. If any order is executed, the position is...
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Monday July 12th 2010 : Sell Order at 2588 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is selling futures when the Eurostoxx index is breaking 2588 (cash level) on the downside. If the order is executed, the position is bought back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bearish...
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Thursday September 16th 2010 : Sell Order at 2784 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is selling futures when the Eurostoxx index is breaking 2784 (cash level) on the downside. If the order is executed, the position is bought back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bearish...
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Thursday July 1st 2010 : Buy Order at 2631 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is buying futures when the Eurostoxx index is breaking 2631 (cash level) on the upside. If the order is executed, the position is sold back at 17h35 (Paris time) at the closing bell. If the market is opening with a bullish...
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Thursday October 28th 2010 : Entry Point at 2861 (cash level) of the Systematic Trading Model on Eurostoxx
If the market opens above 2861, the model is waiting until a come back to 2861, then it sells futures. If the market is opening below 2861, the model is waiting until a come back to 2861, then it buys futures. If any order is executed, the position is...
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Thursday August 26th 2010 : Buy Order at 2652 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is buying futures when the Eurostoxx index is breaking 2652 (cash level) on the upside. If the order is executed, the position is sold back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bullish...
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Monday August 23rd 2010 : Buy Order at 2703 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is buying futures when the Eurostoxx index is breaking 2703 (cash level) on the upside. If the order is executed, the position is sold back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bullish...
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Monday April 30th 2012 : Entry Point at 2298 (cash level) of the Systematic Trading Model on Eurostox
If the market opens above 2298, the model is waiting until a come back to 2298, then it sells futures. If the market is opening below 2298, the model is waiting until a come back to 2298, then it buys futures. If any order is executed, the position is...
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Wednesday November 17th 2010 : Buy Order at 2824 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is buying futures when the Eurostoxx index is breaking 2824 (cash level) on the upside. If the order is executed, the position is sold back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bullish...
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Wednesday September 15th 2010 : Sell Order at 2766 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is selling futures when the Eurostoxx index is breaking 2766 (cash level) on the downside. If the order is executed, the position is bought back at 17h35 ( Paris time) at the closing bell. If the market is opening with a bearish...
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Wednesday December 1st 2010 : Buy Order at 2719 (cash level) of the Systematic Trading Model on Eurostoxx
The systematic trading model is buying futures when the Eurostoxx index is breaking 2719 (cash level) on the upside. If the order is executed, the position is sold back at 17h35 (Paris time) at the closing bell. If the market is opening with a bullish...
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A few Stories about the Backtesting of this Systematic Model
1- The number of active sessions is 758 (between January 22nd 2001 and March 8th 2010) over 2318. That is a ratio of 32.7%. 2- The number of bullish positions is 456 over 758 active sessions. That is a ratio of 60.2%. 3- The average gain per position...
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Wednesday October 27th 2010 : Entry Point at 2859 (cash level) of the Systematic Trading Model on Eurostoxx
If the market opens above 2859, the model is waiting until a come back to 2859, then it sells futures. If the market is opening below 2859, the model is waiting until a come back to 2859, then it buys futures. If any order is executed, the position is...