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range bars, dukascopy, tradestation, strategy, ideas
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range bars, dukascopy, tradestation, strategy, ideas

  #11 (permalink)
skrubtrader
Boynton Beach
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: ES,TF,CL
 
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Posts: 182 since Mar 2012
Thanks: 300 given, 130 received


strmci View Post
Hi kburks, i try to backtest some candle patterns with some market position management but I have a little progress yet.
You trade these 123 setups on the same chart, is it automated? Where do you trade and how many trades you make per month with this strategy?

Hey strmci, I have done some back-testing, manual back-testing. It is the most time consuming but the best accuracy (in my opinion). No it is not automated. I trade ES, CL, and the currency futures. I only use range bars, no candles (did that for years). I use anywhere from 6 range to 16 range depending on the speed of the market. The faster the market is moving, the larger the range bars. I mostly use 16 range. I am aware of economic reports that are coming out. I keep things very simple. Practice, practice, practice. If you get a 1-2-3 at a good S/R level, that is a good reversal signal - get in, or you can enter with trend at any Ross hook that follows the 1-2-3 signal,(if you miss or doubt the reversal). I usually trade 2 and 3 lots, taking one off at .75R and move stop to break even. I take another one off at 2R, then look for that big runner. I get stopped out at break even quite often, but that is the name of the game, that is a free trade on the runners. Its that occasional big runner that adds the icing on the cake. After years of trying what seems like everything, that is what works for me. There are many many ways to make it work, this one works fro me. Hop that helps. KEEP IT SIMPLE

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  #12 (permalink)
Elite Member
Luxembourg, Luxembourg
 
Futures Experience: Advanced
Platform: TWS
Broker/Data: Interactive Brokers
Favorite Futures: Stocks
 
Posts: 487 since May 2012
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wintergasp View Post
Hmmmmmmmm

The Swiss event was very small and hedge funds where mainly bearish so they mainly made money. We weren't trading it for other reasons but we were also bearish. Maybe 1 guy blew up from Miami. The reason for the Swiss event wasn't to punish speculator, but because they were expecting the ECB to lower rate which would have make it harder to keep the 1.20 EUR/CHF fix.

I don't know any large player who will show you their volume. Either they have full time trader who's job is to execute positions throughout the day, hence getting a few lots every minute in a linear way or they outsource that job to their broker who will execute it for them.

If I were you I wouldn't look at volume much (or not at all actually) it's pure noise and you'll just get confused for nothing.

I know in our fund nobody looks at them and I think I've never heard of anyone doing money this way, in the institutional space. The only thing we look at is the Open Interest on a daily basis to make sure we keep trading the front contract.

My point regarding the Swiss central bank was that there could always be something unforeseen that catches even the biggest players. There were 2 central bank interventions like this from the Swiss post 2008 - I can't remember all details, but for the first one, the official who made the announcement actually used the words "to punish speculators" - Switzerland Under Siege: Free Markets May Yet Save the Swiss Franc | Axel G Merk | FINANCIAL SENSE. Large players usually hide their trades - it has been this way since before I was born. However, there are always times when even the large players feel they need to move fast to get their position on otherwise they will be left behind. Just look at earnings reports of stocks - mutual funds & pension funds are the largest players there and they are so desperate for returns that they will chase stocks on good earnings reports. They may have upper limits were they stop chasing, but you can definitely see when they are interested in stocks.

I also do not believe that anyone needs to know what the "big guys" are doing to trade successfully. I was working in fund administration during the 2008 fiasco and we had a few fund-of-hedge-funds under administration - I had access to quite a lot of hedge fund returns / monthly reports during that period. Several funds blew up due to Lehman, but several others just blew up due to incompetence that was hidden by the prior bull market. I would rather make up my own mind about my own trades than rely on someone informing me on what the "big guys" are doing.

Regarding volume, just because you do not see a use for it, it does not mean that it is useless. Using volume on its own would probably not be a good way to trade, but using other contextual information volume can be pretty useful. For instance, if the market breaks out of a range on tiny volume, you may want to pass on the trade. If it breaks out on massive volume, then you may need to jump on board. If you are trading fx though, then volume is pretty useless since the marketplace itself makes it impossible to capture all volume.

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  #13 (permalink)
Trading Apprentice
Prague, Czech Republic
 
Futures Experience: Intermediate
Platform: Tradestation, Dukascopy Jforex
Favorite Futures: EUR/USD
 
Posts: 12 since Sep 2014
Thanks: 13 given, 0 received



kburks View Post
Hey strmci, I have done some back-testing, manual back-testing. It is the most time consuming but the best accuracy (in my opinion). No it is not automated. I trade ES, CL, and the currency futures. I only use range bars, no candles (did that for years). I use anywhere from 6 range to 16 range depending on the speed of the market. The faster the market is moving, the larger the range bars. I mostly use 16 range. I am aware of economic reports that are coming out. I keep things very simple. Practice, practice, practice. If you get a 1-2-3 at a good S/R level, that is a good reversal signal - get in, or you can enter with trend at any Ross hook that follows the 1-2-3 signal,(if you miss or doubt the reversal). I usually trade 2 and 3 lots, taking one off at .75R and move stop to break even. I take another one off at 2R, then look for that big runner. I get stopped out at break even quite often, but that is the name of the game, that is a free trade on the runners. Its that occasional big runner that adds the icing on the cake. After years of trying what seems like everything, that is what works for me. There are many many ways to make it work, this one works fro me. Hop that helps. KEEP IT SIMPLE

Hm, it seems good, I looked at the ross hook pattern, I have not heard about it before, it looks good. Why have you not tried to automate it? Do you think there are many various things to look at, so it will be complicated to write it down to code and backtest?


Last edited by strmci; October 3rd, 2016 at 08:22 AM.
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  #14 (permalink)
skrubtrader
Boynton Beach
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: ES,TF,CL
 
kburks's Avatar
 
Posts: 182 since Mar 2012
Thanks: 300 given, 130 received


strmci View Post
Hm, it seems good, I looked at the ross hook pattern, I have not heard about it before, it looks good. Why have you not tried to automate it? Do you think there are many various things to look at, so it will be complicated to write it down to code and backtest?

Do not code, do not know how to automate it. Would not trade it automated anyway, I do not take every 123 set-up, or ross hook, market structure needs to look right for me to enter, very hard to automate all the structure variables.

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