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Sierra Cumulative Tick Strategy
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Sierra Cumulative Tick Strategy

  #1 (permalink)
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Sierra Cumulative Tick Strategy

Does any Sierra programmer want to code this up?

1. Take the cumulative tick (IQFeed JTNT or JT6T) for each session (resetting to zero).
2. Over last 'x' bars (ie 20 5 minute bars) calculate the range from high to low.
3. If cumulative tick > 0 long, if cumulative tick < 0 short.
4. For every 10% move on cum tick of the established range in your favor, add a contract.
5. For every 10% move against you, decrease a contract.

An example:

Cum tick high-low over last 20 bars is 50,000.00. That's our range reading. So 10% increments would be a move of 5,000 on the cum tick indicator.

Cum tick is > 0, so we're long only. At a reading of 5,000 we are long 1. Once the reading is 10,000 we're long 2. If it moves back to 5,000 we sell 1 and are only long 1 total.

Between -5000 and +5000 we're flat.

If it reverses below -5000, we're short.

Just an idea that I'd like to test.

Mike

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  #2 (permalink)
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I'd like to see the outcome of this as well. I assume you are visually seeing some sort of pattern in relation to this. Have you done any back-testing with positive results, or just for fun?

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  #3 (permalink)
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Dear Mike,

I am running some strategies based on CDV with SC, I will code and backtest your idea in the next weeks and give feddback. Which markets/instruments are you thinking about this may work?

Best regards, bstrader

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  #4 (permalink)
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bstrader View Post
Dear Mike,

I am running some strategies based on CDV with SC, I will code and backtest your idea in the next weeks and give feddback. Which markets/instruments are you thinking about this may work?

Best regards, bstrader

I'm curious --Did anything come of the backtest on this ? Thanks.

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  #5 (permalink)
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Big Mike View Post
Does any Sierra programmer want to code this up?

1. Take the cumulative tick (IQFeed JTNT or JT6T) for each session (resetting to zero).
2. Over last 'x' bars (ie 20 5 minute bars) calculate the range from high to low.
3. If cumulative tick > 0 long, if cumulative tick < 0 short.
4. For every 10% move on cum tick of the established range in your favor, add a contract.
5. For every 10% move against you, decrease a contract.

An example:

Cum tick high-low over last 20 bars is 50,000.00. That's our range reading. So 10% increments would be a move of 5,000 on the cum tick indicator.

Cum tick is > 0, so we're long only. At a reading of 5,000 we are long 1. Once the reading is 10,000 we're long 2. If it moves back to 5,000 we sell 1 and are only long 1 total.

Between -5000 and +5000 we're flat.

If it reverses below -5000, we're short.

Just an idea that I'd like to test.

Mike

I know this is an old post, but it is interesting.

I am trying to understand your strategy. I have a couple requirements that need to be clarified.

When the day begins, using your example, the cum tick is zero, so nothing happens. When the first 20 bars are done (20 x 5=100 minutes after open) the cum tick is 50,000. So 10% of that is 5000.

Q: So do we go long 1 contract now at 50,000, and then add a contract at 55,000 and again at 60,000 etc.? We missed the 5000 mark, so we didn't trade then.

Q: Or did you want to go long 10 contracts at 50,000 and then start ratcheting up/down 1 contract per every 5000?

Q: Or do you wait until the cumulative tick gets back to zero and then start going long or short at each +/- 5000?

Q: Do you recalculate the 20 bar range as the day goes on or do you leave it fixed at the 100 minute value?

Q: Do you hold over night or get out at the end of the day?

Q: Is there a stop loss strategy other than buying and selling contracts?

Q: is there a target at which you say, "that's good, I will take profits now?"

Q: Any particular reason why you picked 20 5 minute bars to start?

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