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Could you please elaborate on the smoothening you mention above? Also do you apply these on the 15 minute charts or a lower time-frame? Also do you use RTH/24/7 or some other session settings (I like starting at 3:00AM Eastern for my stats, since that is when volume starts picking up).
Excellent observations on defining the context of the trade. Today was definitely not a trend down day so any significant break below DS2 was unlikely. BTW, what session do you use for pivots as plotted on the chart. I use the 24/7 (the NYMEX session starting at 6:30 PM EST) and the RTH on separate charts.
I do have some questions about your second target. If your stop was breakeven or more, you would have been taken out before the second target was hit. It was pretty much the high of the day post crash. It also took a long time to hit. What kind of risk management do you use on these runners?
On CL's open, wait for the first 15min bar to form.
If it's an up bar, buy
If it's a down bar, sell
If it's a doji, go in the direction of the breakout
Close your position 3 hours later (12noon Eastern)
I'm not saying this is a sure moneymaker, but it's interesting to note, at least lately, that the first bar of the day tends to portend where the market will end up at lunch time, especially when big moves are made.
The winners, on average, seem to be larger than the losers.
4 out of 5 losers happened when the opening 15 min bar crosses into last bar of the previous day's morning session. All of the winners didn't do that: there were always gaps.
Again, this is a small sample size, so definitely nothing conclusive. Just interesting...
I got really lucky with my target getting filled on that 2nd trade. Heaven knows I've had plenty of one-tick wonders go against me, nice to have one go my way.
The smoothing is really not important, as it does not make much of a difference. I used a 3-period EMA. I apply the Keltner Channels on all charts starting from 3 to 120 min. They also can be applied to tick charts, range charts etc. I use the electronic session (ETH).
I use 24/7 ETH session for the pivots. I did not trade CL that day, but you are right, I could have been taken out o the second half of my trade at break-even. The risk management part is easy to explain: I do not tarde all inside bars, but only those that have a narrow range (NR4 = lowest range of the last four bars). I place a stop several ticks below the signal bar (inside bar). As this is a narrow range bar, my risk is limited to this range and a couple of ticks.
Yes, I am using Keltner that way, but I always, always want to have a look at volume. Let us take the five (!) opportunities so far:
(1) The inside bar was pretty midrange of the climax bar - see climax volume below -, so you could expect a retest of the low. the bar also had a downclose comfirming the negative bias. On the other hand the inside bar was outside the Keltner Channel, so any short trade would have been a Greater Fool Trade. The bar pattern is also known as a bullish Harami, so you also would expect the market to rise. 2 bullish, 2 bearish arguments. I would not have taken this trade at all.
(2) Inside bar after the retest of low just above resistance. Very bullish pattern, confirmed by bullish breakout. If you do not take this one, you never will make any trade. Target 1 is 2 ticks below yesterday's low, target 2 fibline. Excellent reward-to-risk ratio.
(3) This is not an inside bar, but a NR7 - narrow range 7 - bar. I also would have taken the trade, but the reward-to-risk ratio of this one is not very good. The first target (two ticks below yesterday's low) is closer than the stop loss below the bar. Exit the whole position at floor pivot S1.
(4) You cannot trade this NR7 bar as a breakout. If at all you could have gone short just below resistance, but as there still were the long positions you would do nothing.
(5) Two doji pattern marks a consolidation. The upside breakout is a fast and easy trade with the first target at the fib line.
(6) Another NR 7 bar. I would not have take the short there, because the bar was sitting on the midrange and yesterday's volume weighted average price. So no trade for me, as I only would have taken an upside breakout.
Nice job Lolu, yeah that first IB was a loser for me because I had larger targets (+24). And because I was still in a position I missed the next IB, which was a winner. Got bad slippage too because I'm entering on a 1-range time frame because, while this works best for backtesting purposes, it adds slippage in real-time when the range bars gap. -20 ticks.
-2 on CL so far, 1 winner and 1 loser.
Has anybody ever considered time in trade? I've seen some breakout strategies that, for example, if they go long, and they haven't reached their intended target after a certain amount of time they get out of the trade. The thought is that if an IB represents a pause, consolidation, and a period right before the next big move, then if no big move is made after a certain amount of time it probably wasn't meant to be so the trade is aborted. That 6E loser lasted almost an hour as it bounced off of the lows of the session 3 of the bars.
