NexusFi: Find Your Edge


Home Menu

 





THREE SET UPS


Discussion in Trading Journals

Updated
      Top Posters
    1. looks_one Jeff Castille with 215 posts (430 thanks)
    2. looks_two cunparis with 146 posts (154 thanks)
    3. looks_3 shodson with 125 posts (211 thanks)
    4. looks_4 Fat Tails with 73 posts (189 thanks)
      Best Posters
    1. looks_one Fat Tails with 2.6 thanks per post
    2. looks_two Jeff Castille with 2 thanks per post
    3. looks_3 shodson with 1.7 thanks per post
    4. looks_4 cunparis with 1.1 thanks per post
    1. trending_up 252,656 views
    2. thumb_up 1,369 thanks given
    3. group 124 followers
    1. forum 1,073 posts
    2. attach_file 239 attachments




 
Search this Thread

THREE SET UPS

  #271 (permalink)
 
shodson's Avatar
 shodson 
OC, California, USA
Quantoholic
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
Posts: 1,976 since Jun 2009
Thanks Given: 533
Thanks Received: 3,709

cunparis/Jeff/Beth,

Are you entering with Stop Limit orders or just Stop orders, which fire a market order once a stop level is hit? If just Stops, what kind of slippage are you experiencing?

Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Are there any eval firms that allow you to sink to your …
Traders Hideout
Deepmoney LLM
Elite Quantitative GenAI/LLM
Better Renko Gaps
The Elite Circle
Build trailing stop for micro index(s)
Psychology and Money Management
NexusFi Journal Challenge - April 2024
Feedback and Announcements
 
  #272 (permalink)
 
Jeff Castille's Avatar
 Jeff Castille 
Northern California
 
Experience: Intermediate
Platform: Ninja Trader
Broker: Amp Futures/ Zen-Fire
Trading: YM and CL
Posts: 2,109 since Jun 2009
Thanks Given: 1,783
Thanks Received: 3,303


shodson View Post
cunparis/Jeff/Beth,

Are you entering with Stop Limit orders or just Stop orders, which fire a market order once a stop level is hit? If just Stops, what kind of slippage are you experiencing?

Hey Shodson,

Just stop orders for me.......slippage is a tick or two at most.......usually good fills.

How is the news "eliminator" coming along? I believe that you were going to try and do back testing with the 15 minutes prior to and following high priority news as being no trade zones?

Thanks, Jeff

Follow me on Twitter Started this thread Reply With Quote
  #273 (permalink)
 
cunparis's Avatar
 cunparis 
Paris, France
 
Experience: Advanced
Platform: Market Delta & Ninjatrader
Trading: ES
Posts: 2,565 since Jun 2009
Thanks Given: 1,162
Thanks Received: 2,093



shodson View Post
cunparis/Jeff/Beth,

Are you entering with Stop Limit orders or just Stop orders, which fire a market order once a stop level is hit? If just Stops, what kind of slippage are you experiencing?

I almost always use stop limit on entries because the chances of it pulling back one tick and filling you are greater than the chances of it running away and you missing the trade. But I've used a lot of stops with CL and slippage is rare but it depends on what kind of trades you do. If you put entries & exits at obvious places (and 1 tick above/below a high/low is freakin' obvious) then you can get slippage. I kept track of it once and I think it was less than 1 in 4 trades so that's about $2.50 / trade slippage.

on exits I think stop limit is better too but not much experience with that.

For my backtesting I'm using stop orders for entry & exit.

Great question!

Follow me on Twitter Reply With Quote
  #274 (permalink)
 
shodson's Avatar
 shodson 
OC, California, USA
Quantoholic
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
Posts: 1,976 since Jun 2009
Thanks Given: 533
Thanks Received: 3,709


Jeff Castille View Post
How is the news "eliminator" coming along? I believe that you were going to try and do back testing with the 15 minutes prior to and following high priority news as being no trade zones?

I haven't spent too much time on it lately, too many other things going on. For these setups though I do have lunch and CL and NG inventory reports baked into my strategy, which I'm still working on.


Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
  #275 (permalink)
 
Jeff Castille's Avatar
 Jeff Castille 
Northern California
 
Experience: Intermediate
Platform: Ninja Trader
Broker: Amp Futures/ Zen-Fire
Trading: YM and CL
Posts: 2,109 since Jun 2009
Thanks Given: 1,783
Thanks Received: 3,303


shodson View Post
I haven't spent too much time on it lately, too many other things going on. For these setups though I do have lunch and CL and NG inventory reports baked into my strategy, which I'm still working on.



Cool !! Do you think that you will be able to get the high priority news in there?

Follow me on Twitter Started this thread Reply With Quote
  #276 (permalink)
 wgreenie 
Cambridge, Ontario
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Zen-Fire
Trading: 6E
Posts: 1,778 since Dec 2009
Thanks Given: 1,258
Thanks Received: 1,203


shodson View Post
cunparis/Jeff/Beth,

Are you entering with Stop Limit orders or just Stop orders, which fire a market order once a stop level is hit? If just Stops, what kind of slippage are you experiencing?

Hi Shodson

For my Fri sim trades and Inside Bar strategies, I use Buy/Sell stop orders. No slippage experience so far ... though I'd suggest your counting Jeff and Cunparis' results.

Beth

Visit my NexusFi Trade Journal Reply With Quote
  #277 (permalink)
 
shodson's Avatar
 shodson 
OC, California, USA
Quantoholic
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
Posts: 1,976 since Jun 2009
Thanks Given: 533
Thanks Received: 3,709

I backtested back to November '09 just using minute bars and I was getting similar equity curves that cunparis is seeing: it works so-so but starting in Jan '10 it really works well. I think this is due to more recent currency volatility which, as I mentioned in an earlier post, most of the time I believe oil moves in-line with the dollar because oil is priced in dollars. The occasional times it doesn't is when we get inventory reports or we get some geopolitical news in oil-rich countries.

Here is last week's action just in inside bars, avoiding lunch and news. I'm still getting some strange bugs but it probably has to do with some inaccurate range bar data. If I switch to entering on 1 min bars I don't get the errors and my B/E stops work better. So take it with a grain of salt.




Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #278 (permalink)
 famed 
Jeddah
 
Experience: Intermediate
Platform: NinjaTrader
Broker: GFETC/ESignal
Trading: ES
Posts: 14 since Nov 2009
Thanks Given: 54
Thanks Received: 18

Unfortunately I couldn't find the pdf I wanted to post so I'll try my best to explain.
Instrument: ES
Chart: 10 minute candlestick chart
Pattern: Bullish and Bearish engulfing patterns
Criteria for buyside:
1-Bullish engulfing has to occur after a significant down move
2-Either the bar being engulfed or the engulfing bar itself should have made the most recent low
Criteria for sellside:
1-Bearish engulfing has to occur after a significant up move
2-Either the bar being engulfed or the engulfing bar itself should have made the most recent hi

There are three possible ways to enter and they are as follows:
1-Enter at market as soon as the engulfing bar is completed
2-Enter at market as soon as the bar starts engulfing (of course this would be before the close of the engulfing bar and is therefore considered aggressive)
3-At the completion of engulfing bar place a limit buy/sell at or close to the opening price of the engulfed bar (this is the safest entry)

Stops:
For sellside the stop has to be 1 tick above the most recent hi
For buyside the stop has to be 1 tick below the most recent low

Profit targets:
This is supposed to be traded in multiples of 2 contracts with target 1 being 2 points and target 2 being 4 points.
Stops can be moved to BE or 1 point away from entry after first target is hit (discretionary).

I've attached a screenshot from THU-FRI and hilighted when the patterns occured.
On the first one entry 1 would be at around 1081.50 and entries 2 and 3 around 1082.50 and stop at 1084.25.
The second one is not valid because it happened in a sideways market and neither of the bars made the most recent low.
On the third one entry 1 would be at around 1067.50 and entries 2 and 3 around 1067.25 and stop at 1065.

Hope this helps

Attached Thumbnails
Click image for larger version

Name:	63FF.jpg
Views:	264
Size:	106.9 KB
ID:	16189  
Reply With Quote
Thanked by:
  #279 (permalink)
 
shodson's Avatar
 shodson 
OC, California, USA
Quantoholic
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
Posts: 1,976 since Jun 2009
Thanks Given: 533
Thanks Received: 3,709

I fixed the B/E logic on the 2nd lot, works better now.

Looks good on 6E too, just tested this week though.




Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
  #280 (permalink)
 Zoethecus 
United States of America
 
Experience: Advanced
Platform: NT
Posts: 1,145 since Aug 2009


Shodson, will you please post the ninjascipt so we can evaluate and perhaps improve upon it?

Reply With Quote




Last Updated on May 15, 2014


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts