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See attached chart of ES yesterday. I hope the explanations are clear.
The SETUP Bars have all the conditions. The ENTRY Bar is the 5th Bar High/Low from the Setup Bar (setup bar included in the count). Sometime the Setup bar is the Entry bar and sometime it is not. Only example 2 we see the Setup = Entry, all the others the Entry bar is another barwithin the 5 count.
With this it is easy to see where to put the Stop buy or sell order. ONE TICK below/above the entry bar.
Thanks Perry for your Prompt response and detailed demonstration (as always)!
I re-read your trading methods (Post Nos 71 and 72) and have a clearer picture now. I was a little overwhelmed when you first posted them, ie with the counting etc ooo! It's on my to-do list (Phase 2) to automate some or most of the trading conditions to give an audio alert upon which I only need to check 1-2 items on the chart before entry. BTW: I really like your suggestion of using a 2-3 Range chart with a 4-tick SL!! Thank you!
I have yet to find a simple rules based system that works consistently over time. But I spent a little bit looking at the dots on the historical charts, and it seemed worthwhile to have a closer look. The key seems to be using the high or low of the previous 5 bars as the entry mark. You will see lots of dots in the chop, but you don't get filled so it keeps you out of a lot of bad trades. Since I don't trust nt backtesting results any further than I can throw them, I decided to start the tedious process of running the market replay. I started with last week.
These are the rules I followed, which are consistent with my trading style:
1. Traded CL on a 5-minute chart.
2. Traded between 5:30 a.m. to 1:00 p.m. PST (12:00 pm on friday, connection closed early). I don't usually trade this late, but I wanted to see the results.
3. Took any and all trades up to 5 bars after the entry dot was formed regardless if the stop or profit target was already hit before. (took is a funny word, huh)
4. Set stop at 2-3 ticks off high or low of signal bar (eyeballed on chart). Two times it didn't stop out in the replay, but it came real close and may have stopped out in real trading.
5. Set profit at 15 ticks. For me, not too small and still relatively easy to hit on CL.
6. Only entered at entry mark, if the price moved past too quickly, then I waited for it to pull back, which it almost always did. I only missed one trade completely.
7. Left trade open until stop or profit hit, unless I got a signal in the other direction, then I closed at the end of the bar and placed an order going the other direction. This only happened twice.
I am a chart trader, so for me, the easiest way to trade this system is to place a buy and a sell order 50-60 ticks away from the current price (watch your news times). And then, depending on what the current signal is, drag the order to the entry mark and quickly drop it as soon as the bar is closed. As soon as a stop hits, place a new order on the entry mark. As soon as a profit hits, place another order 50-60 ticks away from the price then drag it to the entry point. If the price moves 2-3 ticks before the entry point, then quickly drop the order so the position can be filled again. If you use the dots, it's an easy system to implement because there is no judgment required, just quickly place your order, move your stop to the right place, and wait.
I have attached the results from last week. I added a separate flag for any entry more than 10 ticks outside the bollinger. Filtering on the bollinger did not have dramatic results. As you can see, it somewhat improves the average trade and eliminates two large losers on Monday, but it reduces overall profits. Also, using the high or low of the entry bar results in some pretty large stops, so it would be a necessity to control risk by eliminating trades where the entry bar is larger than the maximum desired stop (this would have also eliminated the large loser on Monday). I plan to make a version of the indicator that adds a stop dot and shows the stop amount next to the entry dot, to make it easy to determine if you want to place the order or not. I also plan to go back and add the stop amount to the results as a separate stat so I can play with it.
Although it's only 5 days, the initial results look promising. As long as they do, I will continue the replay for a few weeks back, then for the sake of expediency, I will manually step through the chart as far back as my data feed will allow and assume only 1 entry per signal. I will post the results as they are completed.
I am not sure I understand, so you trade during the bar once the criteria is met? For example, assuming the other conditions are satisfied, as soon as the ema 5 and ema 20 rise above the prior ema's during the bar then you place an order, even though the bar may close with the ema 5 and ema 20 down from the prior bar. Is that correct?
No, I always wait for the bar to close to CONFIRM the setup bar, but the technique is very simple.
1. I use a little indicator called jtRAngeMarker that shows me where the bar will close.
2. When the bar is still forming and it conforms to a setup bar, you can easily see what is the lowest LOW of the last 5 bars (setup bar included) - i.e. if we are looking for a short.
3. If the lowest low of the last 5 bars is ANOTHER bar and not the setup bar, I can already place my Sell stop. (Remember my jtRAngeMarker indicator will show me if the poptential setup bar will be the lowest low or not reach the other bars low.).
4. If the jtRAngeMarker indicator shows that the setup bar will eventually be the lowest low of the last 5 bars when it CLOSES, then I can still place my Stop order 1 tick below the jtRAngeMarkers bottom line, as this shows me where the current bar will close.
I hope that the above explanation gives you a clearer picture. If not let me know. Take a look at post 141 there is a chart that shows examples.
OIC, cuz ur using a range chart. Hmmm. On a range chart it would have to take the current high or low, add or substract the range setting, and then compare to the prior bars. I am sure it is doable, but not by me. If "calculate on bar close" is set to false, it can still be used to indicate when the conditions are satisfied, it just won't give the correct entry point.
No, that doesn't work, it is plotting the dots but not removing them if the conditions are no longer satisfied. Will keep working on it. FYI, your strategy is 4/4 so far today on a 5-minute cl chart, lookin pretty sweet.
Not tryin to lojack your thread, but moving the entry point on my basic strategy to the high or low of the last 5 bars would have taken it from 7/10 today to 7/7. It would have eliminated all 3 losers. I have to keep looking at it, but it appears to be a simple way to improve a lot of strategies. Thanks again.
Glad to read that you are having success. Yes, it works basically on any timeframe or chart type i.e. minute, Range, Ticks etc. You are basically acting on the Price action. Let me know how you fair, and if you have any more ideas to improve this method for the benefit of all.
Can you show me examples of exactly what you mean by moving the entry to the high or low of the last 5 bars. Would that also be connected to your profit target.
I trade trend, counter trend, and ranging. My primary signal, which I filter using considerable judgement, is a red or green bar crossing the high or low of a yellow bar from the eco 2 paint bars. For trend and ranging, I wait for the price to hit s&r and fail. For counter trend, I set a hard 15 tick profit, but really take anything I can get.
As shown on the attached, in all 3 counter trend trades that failed to hit the 15 tick target, the price crossed the high of the yellow bar but lost steam before crossing the high of the prior 5 bars. So, my plan is to roll the high of the last 5 bars forward each bar and enter as long as I still have red or green and the setup still looks good, which happened on the first and last trade, both of which were winners.
