This is a new system that Im trying live. It performs well enough for me (expectancy of between 1 & 2 ticks after commissions) in
back-testing and in simulation. I expect to be able to make this system mechanical at some time in the future. The trial time is one month and I will re-evaluate performance. The goal of this system is to provide lower risk entries.
Futures traded CL, NQ, GC, YM
Typical hours of trading 7:30 - 11:00 am CST
(I won't normally trade NQ or YM till after 9:00 CST, as the risk is noticeably higher at the open, sometimes I will trade around ~8:50, depending on what reports are coming out)
Max of 2 losing trades per instrument per day
Assuming standard risk numbers, this will mean a max loss of approximately 650.00 per day.
I will stop the trial if my cumulative losses exceed 7.5k.
Wait for low volume signal and enter market. These volume signals happen on about 90% of the days, but there are days where
no trade signal arrives. (the recent NQ and YM move down did not produce any low volume signals)
Direction chosen by trader except for GC.
It turns out Im exceptionally poor at choosing the direction for GC, so a random direction is supplied
2 contracts per underlying are used.
The first contract has a minimum price target (providing 2.5 to 1 reward/risk) that can be extended if the price structure shows
favorable odds. Stops can be made more aggressive (tighter only) at any time at traders discretion
The target price can be lowered if a high volume signal happens during the trade before the price target is reached. (atypical)
The goal with the second contract is to capture larger moves than the first contract.
The stop is typically brought to break-even after the first contract reaches its price target. If a trade loses money, there is a 5 minute cool
down period before trading that instrument again.
If the range of the candles is determined to be larger than normal, more risk than the normal stop can be taken. However, this will limit
my losing trades to 1, for each instrument that is deemed to need extra risk. (This should keep the daily max loss about the same)
The following measurements reported on a weekly basis, separated per instrument and by contract,
effectively making two trading systems, one per contract.
percentage of trades with correct direction
percentage of trades that failed because of not enough risk
Win/loss ratio
Average winning trade
Average losing trade
Average time per winning trade
Average time per losing trade
Expectancy