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10 tick open range play...
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Created: by Jugador Attachments:5

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10 tick open range play...

  #11 (permalink)
Elite Member
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I have this book in .pdf just start reading it, looks interesting...

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  #12 (permalink)
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yuri View Post
I have this book in .pdf just start reading it, looks interesting...

Yeah, I always enjoy reading books written by (real) traders like Toby. Especially, because he actually shows us how he approaches trading. He gives us a little glimpse of his thought process. (bar patterns, probabilities, the stretch, etc.)

And you know he knows what he's talking about, or he wouldn't have a hundred people working for him, and be managing 3 billion dollars. (That's Billion with a B! lol

Here's a little audio interview I ran across the other night, it's sorta interesting if you want to check it out. He says his company trades 200,000 future contracts a day.

I traded one, and risked $75 today!

Toby Crabel Interview

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  #13 (permalink)
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Jugador,
Is that still interesting for you ?
What timeframe used on your chart examples ?
do you know about CME published ORs ?
Are you suing stops ?

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  #14 (permalink)
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Andrew View Post
Jugador,
Is that still interesting for you ?
What timeframe used on your chart examples ?
do you know about CME published ORs ?
Are you suing stops ?

Hi...I haven't really thought about it lately. I manually back-tested it on the (little) data I have, and I wasn't that impressed.

I was using a 700 tick chart, but you can use any timeframe. Just go long, or short at the first 10 ticks up or down. A 10 tick "range bar" would probably work good.

No, didn't know about the CME published OR's, I'll check it out. Thanks

At the time, I was putting the stop at the other side of the range (10 ticks), and using a S&R (stop and reverse).

If you have any suggestions or ideas, feel free to comment!

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  #15 (permalink)
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I use to do a breakout trade off the opening swing that worked soso. To get the swing I charted the opening i 133tk and noted the low/high of the first push in on direction and then the low/high in the other (all those market on open orders). I played for 4 pts in the ES and SL was the other side of the swing after the breakout. I actually reversed the postion up to 3 times.

The problem is that these kinds of open-range-breakouts worked great in the past but nowdays get killed by all the algo fading the breakouts. There´s a lot of simple programs out there that just sell new intraday highs or buy new intraday lows playing to pop the stops of intraday traders.

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  #16 (permalink)
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fiki View Post
There´s a lot of simple programs out there that just sell new intraday highs or buy new intraday lows playing to pop the stops of intraday traders.

Yeah, like this one

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  #17 (permalink)
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fiki View Post

The problem is that these kinds of open-range-breakouts worked great in the past but nowdays get killed by all the algo fading the breakouts. There´s a lot of simple programs out there that just sell new intraday highs or buy new intraday lows playing to pop the stops of intraday traders.

Yeah...another problem is volatility. It works a lot better when the ATR (average true range) is around 80 (ticks) or so (ES), but lately the ATR has been around 40, so that makes it difficult to get a decent risk/reward ratio when your risking 10 ticks.

So, right now, maybe a "5 tick open range play" would be wiser ?

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  #18 (permalink)
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You don't have to pay a fortune for Crabel's book, simply go to www.scribd.com and type Toby Crabel into the top search box there and then download it for free.

Market Gauge uses the "average" of the first 5 minutes of the RTH session, but I don't know where they put their stop or what the stats are as to how often that 5 min. average strategy works out.

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  #19 (permalink)
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Jugador,
CME published Open and Close range is range of 1 minute of pit traded instruments.
I'm watched lately level drawn from close of first 2 minute bar on ZF on 2 minute chart. Then waited for pullback to that level and entered long or short. Sometimes that levels still important through the whole day.
Also I've noted that close of first bar often is first Peak Volume Price level in the day.
Right now trying to optimize that simple strategy and also to incorporate into that and check who it correlates with CME published ranges.
Any comments/corrections/suggestions about that is more then welcome.
P.s. anyway I've noted that there are important price levels around which market plays every day, so I try to find 1-2 or 2-3 of them.
Krgds,
Andrew

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  #20 (permalink)
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Garry,
Please clarify what do you mean as Premarket ? Official premarket (don't remember exactly time of that) or overnight globex session ?
I agree with you as also noted at least on ZF that often when market unable to breakout Globex high or low it reverses and goes back.
Only when market breaks and confirms that it goes further beyond high or low, sometimes it's quite good moves
Krgds,
Andrew


GarryM View Post
Jugador,

I have not tried your thought, but one of my hard fast rules is: If it can't take out the Premarket high or low it will reverse and go the other way. This is usually good for a few points right off the bat.

GarryM


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