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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.
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?
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?
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?
