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caprica's money and trade management system


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caprica's money and trade management system

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  #1 (permalink)
USA
 
Experience: Master
Platform: NinjaTrader
 
caprica's Avatar
 
Posts: 155 since Jul 2009
Thanks: 45 given, 112 received

This is a work in progress. I'm using a complex ninjascript strategy to manage the trades. The basic premise of phase 1 of this project was to focus on trade management (stops, targets, emergency exits). Phase 2 is to pay more attention to risk management (read: don't take certain trades).

The work has proven that the indicator entry signal is not the most important part of making money by a long shot. My strategy uses three custom indicators and that's it. They are spread out across three time frames. A fourth time frame is used for trade management (with a 1 range size for granularity).

Some basic features of the trade management system (so far):
  • Up to 9 managed stops per trade
  • Up to 9 distinct targets per trade
  • Ability to specify number of contracts per target uniquely
  • Ability to scale out of targets on-the-fly
  • Ability to reverse under certain conditions

In more detail I'll discuss:
The system can be optimized and decide based on historical data if it should use anywhere from 0 to 9 trailing stops. Let's decide it wants to use all 9 stops. It then has custom weights for each of those stops. They are cumulative, so if stop 1 has a weight of 4 ticks and stop 2 has a weight of 2 ticks and stop 3 has a weight of 4 ticks, it would look like this:
-> Once price moves 4 ticks (stop 1 weight), move stop to (entry) minus (stop 1 weight) 4 ticks
-> Once price moves another 2 ticks (stop 2 weight), move stop to (entry) minus (stop 1 weight + stop 2 weight) 6 ticks
-> Once price moves another 4 ticks (stop 3 weight), move stop to (entry) minus (stop 1 weight + stop 2 weight + stop 3 weight) 10 ticks.

Obviously it accounts for once the stop is no longer negative in relation to entry but is in fact positive and has locked in profits.

It places up to 9 individual entry orders, each with a unique name property so they can be managed independently of each other. I normally only use 3 targets but it can handle 9. The targets (in ticks) can be controlled individually, so lets say it determines that target 1 should be 6 ticks, target 2 is 12 ticks, and target 3 is 30 ticks. It will set them up that way at the beginning of the trade, and then as the trade progresses it will move the stops for all three per the stop management.

If something bad triggers, then it will first determine how many ticks of profit have already been locked in. If few ticks have been locked in (ie: not even to first target) then it will bail on the entire trade, all targets. But if some profits are locked in (past first target) then it will smartly only bail on contracts other than the runner. The last contract is left on as a runner and not bailed on in this case, so it has that extra room to breathe and perform.

On the reversals, if a stop is taken (any loss, not necessarily a full stop) then it will determine if a reversal should be taken (if it was long and got stopped, it would consider going short immediately). It doesn't follow the same rules as normal entry setups but it does filter a few obvious things. I currently have it setup to only trade 1 target on the reversal, although I am still playing with this. Many reversals are powerful moves and can run.

I hope this helps give you a lot of ideas. Understand I won't be posting the code because it represents years of learning, exercise and blood sweat and tears, and lots of money.

As I continue working on phase 2, I'll come back to this post later and update some of the risk management stuff.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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  #2 (permalink)
MIAMI,FL
 
Experience: Advanced
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what 3 custom indicators do you use and what tells you to enter or exit a trade?

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  #3 (permalink)
USA
 
Experience: Master
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Posts: 155 since Jul 2009
Thanks: 45 given, 112 received



sharky View Post
what 3 custom indicators do you use and what tells you to enter or exit a trade?

they are not available so there is no "name" or something for the indicators. they just look to identify trending and non-trending zones and identify strength of individual pushes of the market.

entry is straight forward: is market trending? is there a pullback with strength? take entry once comes out of pullback.

Target is to be right 60% + of the time and for the average win loss ratio to be 1.5 or better. stop is usually 8 ticks with targets from 6 to 30 ticks (scale out).

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  #4 (permalink)
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sorry forgot to answer second part. exiting trade is using same indicators. since i use mtf i have wide variety of tools because what will move a small volume chart quickly wont move a large range chart so i can avoid fakeouts and whipsaws.

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  #5 (permalink)
Toronto, CA
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: YM, ES
 
record100's Avatar
 
Posts: 105 since Jun 2009
Thanks: 34 given, 43 received

was watching Caprica yesterday

Did you find that using 3 time frames is better then 1, what is the % of bad trade filtered ? what is the % of good trades did not happened?

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  #6 (permalink)
Rocky Mountains
 
 
Posts: 19 since Jun 2009
Thanks: 17 given, 36 received

Caprica,

Thanks for the post and ideas. It's been a long day and I think I re-read your OP at least 3 times but I'm still a bit confused with regards to the trailing stops. Using your example, if you see 4 ticks profit - you move the stop to entry minus 4 ticks. And if you see another 2 ticks, you move the stop to entry minus 6 ticks (4 + 2). So the trailing stops are actually getting wider as the trade moves in your direction?

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  #7 (permalink)
USA
 
Experience: Master
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Posts: 155 since Jul 2009
Thanks: 45 given, 112 received


systrader View Post
Caprica,

Thanks for the post and ideas. It's been a long day and I think I re-read your OP at least 3 times but I'm still a bit confused with regards to the trailing stops. Using your example, if you see 4 ticks profit - you move the stop to entry minus 4 ticks. And if you see another 2 ticks, you move the stop to entry minus 6 ticks (4 + 2). So the trailing stops are actually getting wider as the trade moves in your direction?

Hi, sorry that was poor wording probably. What I mean to say is each stop weight is cumulative, there is no going backwards. Each time the stop is moved it is always tighter inward. For purpose of optimizer a weighted stop where each level adds the prior levels is much preferred, that was the point I was trying to make so people writing MM strategies can benefit from my experience in this area.

Snippet below.

 
Code
                            
double _stop1    Stop1Weight TickSize;

double _stop2    _stop1 + (Stop2Weight TickSize);

if (
Position.MarketPosition == MarketPosition.Long)
  if (!
stop1adjusted && Close[0] > (entryprice _stop1))
    
AdjustStop(1_stop1);
                
  if (!
stop2adjusted && Close[0] > (entryprice _stop2))
    
AdjustStop(2_stop2); 
The stops are set using CalculationMode.Price to get around some NT bugs. That is why the * TickSize is in there.

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  #8 (permalink)
Rocky Mountains
 
 
Posts: 19 since Jun 2009
Thanks: 17 given, 36 received

Makes sense now, big thanks!

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  #9 (permalink)
Australia
 
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vast's Avatar
 
Posts: 167 since Jun 2009
Thanks: 154 given, 62 received

Thanks for posting.
Wondering what markets your are trading Caprica?
Any chance of screen shots?

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  #10 (permalink)
USA
 
Experience: Master
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Posts: 155 since Jul 2009
Thanks: 45 given, 112 received



vast View Post
Thanks for posting.
Wondering what markets your are trading Caprica?
Any chance of screen shots?

Have traded everything more or less. Focused mainly on ES, FESX, FDAX, CL and ZN.

I've provided as much info as I can stand to type (so far) about my system. The system is all about money management. No fancy indicator screen shot is going to tell you anything.

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