Fading the Open, backtesting - Beginners and Introductions | futures io social day trading
futures io futures trading


Fading the Open, backtesting
Updated: Views / Replies:616 / 7
Created: by MNSTrading Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Fading the Open, backtesting

  #1 (permalink)
Trading Apprentice
Washington
 
Futures Experience: Beginner
Platform: TWS
Favorite Futures: NQ CL
 
MNSTrading's Avatar
 
Posts: 17 since Nov 2015
Thanks: 3 given, 5 received

Fading the Open, backtesting

Hi experienced traders! I am trying to find my edge through fading the open in the direction of the pre-open trend ( if it wasn't ranging). I trade NQ. Backtesting thorough October 2015 it worked extremely well, September, so-so. I can't go further because I can't find historical intraday data for NQU15 and previous, so 2 questions;

Any comments on my edge?

How would you choose a profit target?

What are my options for getting the historical data?

Thanks so much!

MNS.

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Energy futures Superfreak
charlotte nc
 
Futures Experience: Master
Platform: Sierra Chart, TOS, Tradestation, NinjaTrader
Favorite Futures: energy
 
Posts: 114 since Jul 2012
Thanks: 81 given, 164 received


can you define your criteria more precisely? what platform are you using to do the backtest?

a lot of times for that sort of strategy, looking for a percentage of the overnight action would be a good start. most platforms would also let you run the strategy naked and then you could tabulate the mean and 1sd/2sd of your MFE over the past 200 entries, and use those as an input.

Reply With Quote
 
  #4 (permalink)
Trading Apprentice
Washington
 
Futures Experience: Beginner
Platform: TWS
Favorite Futures: NQ CL
 
MNSTrading's Avatar
 
Posts: 17 since Nov 2015
Thanks: 3 given, 5 received

Here's a bit more detail. If there is a trend going into the open, I'm betting that trend will continue post open and buying the next (ten minute) candle after the trend resumes. If the open isn't countertrend I pass. I'm pretty much guaranteed momentum and if the trend resumes, it often does so with a vengeance. The win rate is 50/50 or less, but the constancy is quite high in my tests depending on my ticks. Winners can be 30 ticks or more.

So the questions are; is there a way to improve my win rate (like pass on long candles at the open for example)
and can I backtest manually or do I need to learn a platform and if so which one?
I was getting my data from barcharts.com which only goes to the beginning of the current contract.

Reply With Quote
 
  #5 (permalink)
Energy futures Superfreak
charlotte nc
 
Futures Experience: Master
Platform: Sierra Chart, TOS, Tradestation, NinjaTrader
Favorite Futures: energy
 
Posts: 114 since Jul 2012
Thanks: 81 given, 164 received

what is a trend? define it specifically. if you are asking people to consider your strategy, you need to provide the exact details, almost like a flowchart or the code itself.

you also asked for where to get data, but did not answer what platforms you have access to. as you have already found, TWS isnt sufficient. some platforms like tradestation and sierra chart will let you easily backtest going very far back.

In general one thing you should consider is that your system is a mean reversion based trading system. You need a 2SPOOK4ME trigger so you dont step in front of crazy events. If i may recommend that you add a CCI 5, CCI 20 and CCI 50 to your system, and make note of which trades fail. You may find that there is a pattern you can use to avoid countertrend whipsaw. An example would be do not short if cci 50 is <-100 and CCI 5 > 75 because that is likely to snap back down and continue the trend.

Reply With Quote
The following user says Thank You to hobart for this post:
 
  #6 (permalink)
Trading Apprentice
Washington
 
Futures Experience: Beginner
Platform: TWS
Favorite Futures: NQ CL
 
MNSTrading's Avatar
 
Posts: 17 since Nov 2015
Thanks: 3 given, 5 received


hobart View Post
what is a trend? define it specifically. if you are asking people to consider your strategy, you need to provide the exact details, almost like a flowchart or the code itself.

Yes! The million dollar question. Literally perhaps. By going back and taking out days that were in an obvious range pre-open, I was able to remove a bunch of losing trades and no winning ones. I had been too lenient/optimistic on the length of what I was considering trending. Thank you Thank you! I will end up trading less, but they all would have been losers anyway.

I will look at the CCI for losing trades and figure out a backtesting platform, but I'm pretty optimistic.


Reply With Quote
 
  #7 (permalink)
Energy futures Superfreak
charlotte nc
 
Futures Experience: Master
Platform: Sierra Chart, TOS, Tradestation, NinjaTrader
Favorite Futures: energy
 
Posts: 114 since Jul 2012
Thanks: 81 given, 164 received

@MNSTrading i dont have time to explain how cci works, but here is the logic for the setups/conditions i find to be very predictive. I prefer them on 5min and daily.



float CCIdiff = abs(sc.Subgraph[0][sc.Index] - sc.Subgraph[2][sc.Index]); // Difference between 5 CCI and 50 CCI
float CCIdiff2 = abs(sc.Subgraph[0][sc.Index] - sc.Subgraph[1][sc.Index]); // Difference between 20 CCI and 50 CCI
//int poszoom = 0;
//int negzoom = 0;

/*if (sc.Subgraph[0][sc.Index] >= 100)
if (sc.Subgraph[1][sc.Index] >= 100)
if (sc.Subgraph[2][sc.Index] >= 100)
{poszoom = 1;
sc.SetAlert(7);
} // all CCI's in pos. zoom

if (poszoom = 1)
if (CCIdiff <= 20)
if (CCIdiff2 <= 20)
sc.SetAlert(30); // CCI Squeeze Positive Zoom Zone
*/

if (sc.Subgraph[0][sc.Index] >= 100)
if (sc.Subgraph[1][sc.Index] >= 100)
if (sc.Subgraph[2][sc.Index] >= 100)
{sc.SetAlert(7); // all CCI's in pos. zoom
if (CCIdiff <= 20)
if (CCIdiff2 <= 20)
sc.SetAlert(30); // CCI Squeeze Positive Zoom Zone
}

if (sc.Subgraph[0][sc.Index] <= -100)
if (sc.Subgraph[1][sc.Index] <= -100)
if (sc.Subgraph[2][sc.Index] <= -100)
{sc.SetAlert(8); // all CCI's in neg. zoom
if (CCIdiff <= 20)
if (CCIdiff2 <= 20)
sc.SetAlert(31); // CCI Squeeze Negative Zoom Zone }
}

/*if (sc.Subgraph[0][sc.Index] <= -100)
if (sc.Subgraph[1][sc.Index] <= -100)
if (sc.Subgraph[2][sc.Index] <= -100)
{negzoom = 1;
sc.SetAlert(8);
} // all CCI's in neg. zoom

if (negzoom = 1)
if (CCIdiff <= 20)
if (CCIdiff2 <= 20)
sc.SetAlert(31); // CCI Squeeze Negative Zoom Zone

negzoom = 0; // reset switches
poszoom = 0;
*/
if (sc.Subgraph[0][sc.Index] > sc.Subgraph[2][sc.Index])
if (sc.Subgraph[2][sc.Index] <= -100)
if (CCIdiff >= 150)
sc.SetAlert(9); // snap back down

if (sc.Subgraph[0][sc.Index] < sc.Subgraph[2][sc.Index])
if (sc.Subgraph[2][sc.Index] >= 100)
if (CCIdiff >= 150)
sc.SetAlert(10); // snap back UP

Reply With Quote
 
  #8 (permalink)
Trading Apprentice
Washington
 
Futures Experience: Beginner
Platform: TWS
Favorite Futures: NQ CL
 
MNSTrading's Avatar
 
Posts: 17 since Nov 2015
Thanks: 3 given, 5 received

Thanks Hobart, I will look into those.
I am currently researching the possibility of trade signals as the 5 line crosses the 20.

My original fade premise does not work well enough over a range of market conditions (though it tested exceptionally well in October), but I have a modified one that I am testing now.

Reply With Quote

Reply



futures io > > > > Fading the Open, backtesting

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
why Backtesting stocks difficult vs backtesting Futures emini_Holy_Grail Traders Hideout 8 July 4th, 2015 03:14 PM
Backtesting Renko w/ "show real open" enabled jesse514 MultiCharts 4 September 5th, 2014 05:13 AM
Why Hopes of a Deal on the EU Budget Are Fading Fast Quick Summary News and Current Events 0 November 22nd, 2012 09:50 PM
Silver's Shine Is Fading Fast Quick Summary News and Current Events 0 May 3rd, 2011 08:40 PM
Volitility indicator question - Open - Open / open - close / close to open andresimon NinjaTrader 2 September 27th, 2010 01:33 AM


All times are GMT -4. The time now is 03:04 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-16 in 0.15 seconds with 19 queries on phoenix via your IP 54.163.209.109