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Is there a hill-o-beans chance this day trading system could work?
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Is there a hill-o-beans chance this day trading system could work?

  #11 (permalink)
Hi Mom!
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@risingfire Are all the strategies you've coded so far been on minute bars? I have an idea for you that you might like to try over the weekend.

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  #12 (permalink)
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TheShrike View Post
@risingfire Are all the strategies you've coded so far been on minute bars? I have an idea for you that you might like to try over the weekend.

They are not. The smallest time resolution of any of my strategies are hourly bars. So this was quite a departure from what I am used to. And, sure--would always love to try a new idea!

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  #13 (permalink)
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the thing that confuses me most about this thread is the phrase 'hill-o-beans chance' .. i've yet to encounter that in statistics.

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  #14 (permalink)
Hi Mom!
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risingfire View Post
They are not. The smallest time resolution of any of my strategies are hourly bars. So this was quite a departure from what I am used to. And, sure--would always love to try a new idea!

Here's a picture with a rudimentary explanation..

Try taking the high of the last 10 bars and then go short after at least a 2 tick break of the high and then a close below in that bar or the one after. There is a native ninja indicator called swing you can use. The stop is 1 tick above the bar that broke the high and the target is equal to the stop. Only use the most recent high. You can reverse it for longs. You're a programmer so I'm sure this is an easy one to take a look at. I'd be interested to see how it backtests on minute bars as I've never tried it but the concept should be okay on any bar you'd like to use.

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Last edited by TheShrike; January 29th, 2016 at 02:42 PM.
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  #15 (permalink)
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TheShrike View Post
Here's a picture with a rudimentary explanation..

Try taking the high of the last 10 bars and then go short after at least a 2 tick break of the high and then a close below in that bar or the one after. There is a native ninja indicator called swing you can use. The stop is 1 tick above the bar that broke the high and the target is equal to the stop. Only use the most recent high. You can reverse it for longs. You're a programmer so I'm sure this is an easy one to take a look at. I'd be interested to see how it backtests on minute bars as I've never tried it but the concept should be okay on any bar you'd like to use.

Cool idea... I'll code it up. The only part I am hazy about is the profit target. Do you mean that once you are in the trade that your profit target equals the amount risked on the stop? So if your stop is 10 ticks then profit target is also 10 ticks? And slippage might be a real killer, here, especially in CL where price can move in the blink of an eye. I assume we are placing market orders, except perhaps for the profit target which could be set with limit orders?

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  #16 (permalink)
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Aufidius View Post
the thing that confuses me most about this thread is the phrase 'hill-o-beans chance' .. i've yet to encounter that in statistics.

It's in the appendix right between "snowball's chance" and "pie-in-the-sky"

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  #17 (permalink)
Hi Mom!
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risingfire View Post
Cool idea... I'll code it up. The only part I am hazy about is the profit target. Do you mean that once you are in the trade that your profit target equals the amount risked on the stop? So if your stop is 10 ticks then profit target is also 10 ticks? And slippage might be a real killer, here, especially in CL where price can move in the blink of an eye. I assume we are placing market orders, except perhaps for the profit target which could be set with limit orders?

Yup, you've got it right. The profit target is equal to whatever the stop is. You might be right about the slippage, but we can look it over after you code it up and perhaps tweak it from there.

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  #18 (permalink)
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TheTradeSlinger View Post
This answers the question.

But keep at it @risingfire, each system you design, create, and test can teach you the things you need to know about successful system design.

And hopefully, stops you designing systems at some point.

I'd say forget outright positions for now. Most algorithmic trading is trading spreads.

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  #19 (permalink)
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TheShrike View Post
Here's a picture with a rudimentary explanation..

Try taking the high of the last 10 bars and then go short after at least a 2 tick break of the high and then a close below in that bar or the one after. There is a native ninja indicator called swing you can use. The stop is 1 tick above the bar that broke the high and the target is equal to the stop. Only use the most recent high. You can reverse it for longs. You're a programmer so I'm sure this is an easy one to take a look at. I'd be interested to see how it backtests on minute bars as I've never tried it but the concept should be okay on any bar you'd like to use.

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It won't work.

There is a reason it won't work.

Let's say you enter the market at random. With no edge, the system will not work. There is no edge.

To make money trading, you need an edge. If trading outrights, on a long position, you need a reason that buyers will continue to buy after you in order for price to progress upwards.

Without that reason, there is no chance that any combination of bar patterns will yield an positive expectancy. There is no reason for it go generate a profit, therefore it will not generate a profit.

So without a good 'why', the 'when' is moot.


The 'why' is the most important thing. The 'when' is secondary. Looking at the 'whens' for 'whys' is going to be along search.

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  #20 (permalink)
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DionysusToast View Post
It won't work.

There is a reason it won't work.

Let's say you enter the market at random. With no edge, the system will not work. There is no edge.

To make money trading, you need an edge. If trading outrights, on a long position, you need a reason that buyers will continue to buy after you in order for price to progress upwards.

Without that reason, there is no chance that any combination of bar patterns will yield an positive expectancy. There is no reason for it go generate a profit, therefore it will not generate a profit.

So without a good 'why', the 'when' is moot.


The 'why' is the most important thing. The 'when' is secondary. Looking at the 'whens' for 'whys' is going to be along search.



hello toastie. what is a valid retail edge (rhetorical)? let us presume that the market has two states a) trending b) non trending. in this particular situation it would seem that there are two problems, and yet the vast majority of retail traders attempt to solve both problems by implementing only one basic method. a fair assessment?

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