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Help with my Current Futures Trading System
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Help with my Current Futures Trading System

  #11 (permalink)
Elite Member
Chicago, IL
 
Futures Experience: Advanced
Platform: Ninja
Broker/Data: Ninja
Favorite Futures: ES, Ym, NQ, VTI, SPY, VXUS
 
Posts: 172 since Jan 2013
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trend day

biggest thing i look at as far as anticipating trend days is....do we revisit the opening range (price). when you don't you are in store for a trend type day.

today in the YM we were on both sides of the opening range and it was a BLSH type day. however, it always seem to be one good trend in the indices before the day is out.

here is a 5 min chart of YM (RTH) the past 3 days.

The Market is Smarter than You Are
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  #12 (permalink)
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Austin, TX
 
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liquidcci's Avatar
 
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@gselsidi my suggestion would be to collect a lot more stats. Either backtest or if have no way to reliably backtest really need a long term forward test. Doing both back and forward is best. The NQ and the TF have both been easy to trade lately. It is almost hard not make money on those two markets right now. The range has been excellent which can give a short term test a skewed result. But what happens when the range tightens is what will tell you if you can survive. I have seen many strategies show incredible couple months returns only to fail and go negative over a 12 month span.

"The day I became a winning trader was the day it became boring. Daily losses no longer bother me and daily wins no longer excited me. Took years of pain and busting a few accounts before finally got my mind right. I survived the darkness within and now just chillax and let my black box do the work."
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  #13 (permalink)
Elite Member
Fort Lee, NJ USA
 
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liquidcci View Post
@gselsidi my suggestion would be to collect a lot more stats. Either backtest or if have no way to reliably backtest really need a long forward test. Doing both back and forward is best. The NQ and the TF have both been easy to trade lately. It is almost hard not make money on those two markets right now. The range has been excellent which can give a short term test a skewed result. But what happens when the range tightens is what will tell you if you can survive. I have seen many strategies show incredible couple months returns only to fail and go negative over a 12 month span.

Unfortunately I have no idea how to run back tests especially on range bars. Maybe someone here can help, until then I'm stuck forward testing.

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  #14 (permalink)
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05/16/2014



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+13.5 PT

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  #15 (permalink)
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05/19/2014

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+4 PT

Today as you can see was a pretty choppy day, besides 1-2 minuscule trends. If it was just chopping sideways completely and range boundish most of the price action would be contained within the bands and not many signals would be generated.

For a more conservative approach you would only enter once, after a upper or lower channel bounce, instead of the 2nd entries I had after a failed breakout. Even though the price sometimes grinded higher it wasn't a good trend just a choppy grind higher.

So for example, It bounces from the lower channel, then moves up and breaks-out the upper channel, you would enter, if you get stopped out, that's it don't try for subsequent entries until the trend resets itself by going back towards the lower channel again, and breaks out. Just reverse for downtrends.

But even with these aggressive entries you were still able to make 4PTs, if you were more conservative you would of probably made more today, but I'm not 100% sure that is the best method for capturing the most points in the long run. Hence I need help with backtesting this to find the best scenarios for entries, exits, stops.

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  #16 (permalink)
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Today was one of the worst choppy days so far of testing, below is how the system performed it had losses. This of course is if you trade it without a hard daily loss limit. Usually if by 5-6 trades you have not caught a trend you should probably stop trading for the day.

Usually, by trade 4 you should catch a trend.

05/21/2014

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-32 PT or -17 PT using 2 tick/waiting 1-2 seconds entry

Even with today's losses the system is still up, $7,500 in 17 days. Ignore the CCI indicator I do not use it, I just had it on there testing something before, forgot to remove it. Also, for conservative people the bounce trade posted in the OP would be a better system. For example Today it had 0 trades. That one is up $2,300 in 17 days, so it makes about 1/3rd the income, but is much much safer as far as draw downs go.

I will most likely stop posting these charts for now, unless something I really want to share. Hopefully I get some help with backtesting and optimizing these strategies, If not I will spend the rest of the summer learning to backtest and code.


Last edited by gselsidi; May 21st, 2014 at 05:00 AM.
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  #17 (permalink)
Trading Apprentice
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Reverse your entries...fade instead of going with.

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  #18 (permalink)
Trading for Profit
Birmingham UK
 
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Interesting, your charts setup wise are very similar and basic just like I'm using.

I don't use and Candle rules, not a believer, I just play the odds of the range working in my favour between the envelopes, I trade up and down if there is no real trend and only with the trend if there is trend, keep it simple.

I have a 2nd envelope which is my SL and a 120ema to help me view longer direction, all M1 charts.

Can't see how to upload a screen shot

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  #19 (permalink)
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mpxtreme View Post
Reverse your entries...fade instead of going with.

Can you elaborate a bit? Do you mean to use the bands as resistance? If so haven't seen a successful way to do that, unless I only trade cloud cover set ups at the bands.

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  #20 (permalink)
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Turveyd View Post
Interesting, your charts setup wise are very similar and basic just like I'm using.

I don't use and Candle rules, not a believer, I just play the odds of the range working in my favour between the envelopes, I trade up and down if there is no real trend and only with the trend if there is trend, keep it simple.

I have a 2nd envelope which is my SL and a 120ema to help me view longer direction, all M1 charts.

Can't see how to upload a screen shot

There is a little paper clip icon you click that to upload, then click imbed and it adds it into your post. You might need to click advanced options to have the paper clip show up.

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