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Time based profit targets
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Time based profit targets

  #1 (permalink)
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Time based profit targets

So I've been doing some strategy development. I finding the best results with a time based profit target rather then a Tick amount. I'll post some results later. But I've been thinking a lot about time based profit/stops/entries. And seeing if there isn't a time based system of trading that could really confirm these results. Thoughts?

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  #2 (permalink)
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dtman View Post
So I've been doing some strategy development. I finding the best results with a time based profit target rather then a Tick amount. I'll post some results later. But I've been thinking a lot about time based profit/stops/entries. And seeing if there isn't a time based system of trading that could really confirm these results. Thoughts?

Do you think time is more important than price?

Mike

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  #3 (permalink)
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dtman View Post
So I've been doing some strategy development. I finding the best results with a time based profit target rather then a Tick amount. I'll post some results later. But I've been thinking a lot about time based profit/stops/entries. And seeing if there isn't a time based system of trading that could really confirm these results. Thoughts?

This is not an orthodox idea, so probably 95% or more of all traders will not agree with you. But then it is an excellent starting point for a discussion, as everybody else can put forward some arguments in favour of price.

I my own very limited approach to trading I have used time exits in two ways

(1) Base case: I try to enter a position, when volatility is low and is expected to rise. The low volatility allows me to use a narrow stop, which improves my reward-to-risk ratio. My expectation is that volatility picks up, after I have entered the trade. Either it goes my way or the wrong way, and my target or stop is hit. The time exit is the solution, if volatility does not push price anywhere, but if price stays near the entry price level and does nothing.

So I use the time exit as a complement.

(2) Cyclical trade: If I have entered a trade which is favioured by a seasonal or cyclical pattern, I might select a time based exit - in combination with another signal - when the cycle is over. Effectively the cycle becomes a filter for other signals. When the cycle is up, I ignore all short signals, and when it is down I ignore the long signals.

However, I have not found any results so far, suggesting that a time-based exit is profitable on its own.

I can imagine that such thing exists in high frequency trading, if you enter a counter trade. For very short timeframes price data is negatively auto-correlated, while for slightly larger timeframes the auto-correlation becomes neutral. Maybe you can exploit that negative auto-correlation by staying below the threshold beyond it disappears.

But I would not know how to apply that idea to larger timeframe trades. Taking a neutral time based exit means simply foregoing the opportunity to select a better exit

- near support or resistance
- after a series of high momentum bars
- after a high volume event

In fact, if your approach is already profitable with a time based exit, it should become better with an optimal exit.

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  #4 (permalink)
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This one was done on the NQ. Here's the idea. First off this is strategy is based of a HFT that I'm building. It all live sim so far. I'm using S/R created by my proprietary software on a 10 second chart. 2 contracts are used. First target is a momentum target as price breaks S/R in the flow of a new counter-trend movement up or down and at a fix number of ticks. The 2nd target is left to run as long as the initial stop loss doesn't get hit and closes at the end of the day.

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This second image of the CL are results from a strategy that should just go long as of right now. This one uses a 6 range chart with first target being 6 ticks again we are using a momentum burst off of support areas. The next target being another proprietary resistance zone being created after a fixed period of time all on the 6R chart while reading a 5min 50 SMA of trend direction.

I believe I need more time to test this, but looking at the results I'm very excited about the idea. I'm just wondering if I'm programming something for the current market conditions or if there's really something there. Personally, after trading for about 3 years, I know that if I can hold my trades out for longer period it's always good when the market is really trending. However, I don't believe the markets trend that much as they move more so from areas of supply to demand.

I have noticed more since doing these strategies that there seems to be something to this timing aspect of markets. IE: like a 7:30 am and 12:30 PST reversal. Thoughts?

As far as your question Big Mike, I've always being a believer in just Price Action trading and just PA trading is how I finally got profitable. Timing is important but I never really thought of it as a way to filter. I'm probably "way out of the box" on this one as Fat Tails says but I never believed in "the box" to begin with. That is one of the reasons I got into day trading to begin with.


Last edited by dtman; May 19th, 2012 at 04:56 PM. Reason: images not showing up
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  #5 (permalink)
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Quoting 
I believe I need more time to test this, but looking at the results I'm very excited about the idea.

No you don't need to test it more. 7 trades are much to much. I would go live and not with 2 contracts, but with 20.

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Rude posts not withstanding, you need a far larger sample size to draw any conclusions.

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  #7 (permalink)
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Thanks for the comments guys I will keep posting my results here for the next few weeks of testing. Maybe it will cool maybe a flop but it's something new to me and I believe a new idea here on forum.
"May the Trend be with you"

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I've seen session and time based stock trading strategies, for example, where you might enter within the first 5 minutes of the the open and close the position at 10 or 15 minutes into the session. Apart from that, if there is no significance to the time of entry and you are getting better results from a time based exit, then I would try to analyze what is happening during that time that is providing the superior results to a fixed stop/target.

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