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Help with my Current Futures Trading System


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Help with my Current Futures Trading System

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  #1 (permalink)
Fort Lee, NJ USA
 
Experience: Intermediate
Platform: ninjatrader
Trading: NQ
 
Posts: 60 since Mar 2014
Thanks: 4 given, 47 received

Hello All,

I will be posting my current trading system which I have tested for the last month (demo) with profitable results. What I need is feedback and further testing and refining from you fine folks.

The system uses absolutely no indicators as currently I haven't found any to be useful. Currently the last 10 days trading the NQ the system is up $7,730 trading 2 contracts. This is not a holy grail, there are losing days, just not many and the losses are small, largest losing day has been 11 points. I tested it on on TF and it also seemed profitable, it is probably profitable in a wide range of markets, I just don't have the time physically to manually keep up with it.

Maybe somebody with some technical know how, can back-test these strategies the only problem you might run into is that I was range charts.

Lastly, by the grace of Jesus Christ have I been able to stumble upon this after prayer, I do not take any credit for this system.


General Trading Rules & Info

The system uses Range Bars and Keltner Channels to enter and exit trades. The beauty of Keltner Channels with these chart settings is that they contain about 95% of the price action, so during range bound conditions it won't offer alot of signals. You will still get the false breakouts of course. These channels were originally designed as trend following, which nobody seems to use them like that anymore. Everyone seems to use them for range trades.

Time: 9:30AM-11:30AM

Entry: About half or more than half of the range bar closes outside the Keltner Channel.

Exit: Exit all position 6-8 ticks above/below Keltner Channel moving average line.

I tested different exit strategies, such as exiting 1st contract at 5 points, and 2nd at 10, exit all at the moving average, and 5 points and moving average, exit all at the line lets you follow the a massive trend and profits are better then the other strategies. Anyway, feel free to test different exit strategies.

Stops: 1.5 points (6 ticks) initial, with a +1 tick break-even after a 1.75-2pt move.

These are the best settings I have found, usually the strong trends seem to not re-test entry price. In the event that you do get stopped out, I would re-enter another 2-3 times depending on how far the move has gone, but after the 2nd time usually, I will wait for a reversal of the trend to enter a position again, or wait for the Upper/Bottom channel to be fully tested. I will explain this in detail in the subsequent charts.

Chart Settings:

4 Range Chart
Keltner Channel: Offset Multiplier: 2.4
Period: 20


Charts

My charts might look different from yours as I am using a template from a service I subscribed too once. Also, it looks like some of the bars closed below the channel again because of the template but they did not, they were up bars.

Below is today's trading Day:

All charts located here: Image Upper.com - View Gallery Photos











BELOW IS THE LOW RISK SCALP BOUNCE TRADE




Anyway I await your responses and hopefully better refinement and development of this system.

ALSO, PLEASE DO NOT TRADE THIS LIVE, THIS SYSTEM IS CURRENTLY IN TESTING IT'S NOT BEING TRADED LIVE.

Kind Regards,
Elsid

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  #3 (permalink)
Nashville, Tennessee
 
Experience: Intermediate
Platform: Ninja / Jigsaw / 9G
Broker: AMP / CQG
Trading: NQ, YM and ES
 
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I am an NQ fan myself ... I will look into your setup later on...

good work


AJ
Nashville, Tennessee


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  #4 (permalink)
BOSTON, MA
 
Experience: Advanced
Platform: Tradestation, TOS
Trading: commodities, TF
 
mfbreakout's Avatar
 
Posts: 7,244 since Oct 2010
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My recommendation will be to incorporate market internals with your system to gauage trend day vs range days.

On trend days having tight STOP LOSS have little chance of success since NQ whips around 4-8 handles in between till hitting major support etc. NQ ADR is around 40 points on trend days. If one wants to catch majority of this

type of move it helps to keep an eye on market internals and use wider stop loss than normal.

In general trying to trade 2-5 points etc move is competing with algos, HFT etc. I have not found this to be a viable strategy over 5 years of back testing. However, i trade differently and my risk profile is different ( i am assuming)

so my back testing may have little value for your trading.

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  #5 (permalink)
Fort Lee, NJ USA
 
Experience: Intermediate
Platform: ninjatrader
Trading: NQ
 
Posts: 60 since Mar 2014
Thanks: 4 given, 47 received


mfbreakout View Post
My recommendation will be to incorporate market internals with your system to gauage trend day vs range days.

On trend days having tight STOP LOSS have little chance of success since NQ whips around 4-8 handles in between till hit or support etc. NQ ADR is around 40 points on trend days. If one wants to catch majority of this

type of move it helps to keep an eye on market internals and use wider stop loss than normal.

In general trying to trade 2-5 points etc move is competing with algos, HFT etc. I have not found this to be a viable strategy over 5 years of back testing. However, i trade differently and my risk profile is different ( i am assuming)

so my back testing may have little value for your trading.

How consistent is ADR in predicting range or trend days? I would like to keep out of range days conpletely but as of right now, it's not that big of an issue since even during extremely high whipsawing days, the draw downs are much. Also my main focus is capturing big moves not scalping small trades.

Also, for taking 2-5 points I have another conservative system based on the same channels. It's basically you enter on breakout outside the channel after a bounce from the channels midline. It has been extremely consistent with capturing a few points a day. I think the reason the general system works as well as the scalping system is that most Algos momentum driven with their 10 point targets, just a general thought. I'll post a picture in a bit.

Thanks for your help

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  #6 (permalink)
BOSTON, MA
 
Experience: Advanced
Platform: Tradestation, TOS
Trading: commodities, TF
 
mfbreakout's Avatar
 
Posts: 7,244 since Oct 2010
Thanks: 3,467 given, 15,279 received


gselsidi View Post
How consistent is ADR in predicting range or trend days? I would like to keep out of range days conpletely but as of right now, it's not that big of an issue since even during extremely high whipsawing days, the draw downs are much.

Also, for taking 2-5 points I have another conservative system based on the same channels. It's basically you enter on breakout outside the channel after a bounce from the channels midline. It has been extremely consistent with capturing a few points a day. I think the reason the general system works as well as the scalping system is that most Algos momentum driven with their 10 point targets, just a general thought. I'll post a picture in a bit.

Thanks for your help

ADR does not help in predicting trend days VS range days. It helps with position size, order entry, profit target etc.

ADR on a range day is around 16-25 points ( today is a good example) one bettter have a very good reason to

initiate a new short or add to short if NQ is already down 16 points etc. and vice versa.

I use market internals and VIX to gauage probability of range days vs trend days.

VIX is stuck around 13. NQ got sold at NY open. Goes down about 24 points and then just got stuck above

yesterday close. I was short from NY open. Around 3545 i am trying to decide ;

1) Should i book profits.

2) Should i add to short

3) Cover and go long.

VIX came down from being up 45 cents and gave up all the gains. 30 minutes of consolidation around 3548 area.

Cover short and go long.

In summary, market inernals and VIX are tools i rely on to see if we have a range day vs trend day with probability

of 40 or more points.

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  #7 (permalink)
Fort Lee, NJ USA
 
Experience: Intermediate
Platform: ninjatrader
Trading: NQ
 
Posts: 60 since Mar 2014
Thanks: 4 given, 47 received


mfbreakout View Post
ADR does not help in predicting trend days VS range days. It helps with position size, order entry, profit target etc.

ADR on a range day is around 16-25 points ( today is a good example) one bettter have a very good reason to

initiate a new short or add to short if NQ is already down 16 points etc. and vice versa.

I use market internals and VIX to gauage probability of range days vs trend days.

VIX is stuck around 13. NQ got sold at NY open. Goes down about 24 points and then just got stuck above

yesterday close. I was short from NY open. Around 3545 i am trying to decide ;

1) Should i book profits.

2) Should i add to short

3) Cover and go long.

VIX came down from being up 45 cents and gave up all the gains. 30 minutes of consolidation around 3548 area.

Cover short and go long.

In summary, market inernals and VIX are tools i rely on to see if we have a range day vs trend day with probability

of 40 or more points.

Yeah I have to look into ADR and how it effects entries, but even in "Range Days" you can get some trendy moves intraday where it moves 10-15 points in one direction, and doesn't chop.

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  #8 (permalink)
Fort Lee, NJ USA
 
Experience: Intermediate
Platform: ninjatrader
Trading: NQ
 
Posts: 60 since Mar 2014
Thanks: 4 given, 47 received

Also today the system was up 13.5pts with a 1.75pt autobreakeven setting, incase someone wanted to compare. That is on 2 contracts.

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  #9 (permalink)
Phoenix, AZ
 
Experience: Intermediate
Platform: TradeStation
Trading: Currency Futures & Oil
 
Posts: 3 since Feb 2014
Thanks: 14 given, 2 received


gselsidi View Post
Also today the system was up 13.5pts with a 1.75pt autobreakeven setting, incase someone wanted to compare. That is on 2 contracts.

Thanks, gselsidi - I'm interested in following your thread, thanks for starting.

Do you mind posting your chart(s) from today with your results mentioned above?

Thanks!

Korey

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  #10 (permalink)
Fort Lee, NJ USA
 
Experience: Intermediate
Platform: ninjatrader
Trading: NQ
 
Posts: 60 since Mar 2014
Thanks: 4 given, 47 received



stewk2 View Post
Thanks, gselsidi - I'm interested in following your thread, thanks for starting.

Do you mind posting your chart(s) from today with your results mentioned above?

Thanks!

Korey

Yes I will later on tonight it's a pain with print screen copying pasting, but today was a good choppy day with some minor trends. I'll also post charts of a losing day complete chop fest just to get the general idea, whenever the next one occurs.

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