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All you need
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Created: by Jeff Castille Attachments:534

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All you need

  #2091 (permalink)
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Jeff Castille View Post
For those who have been following the ORB and push into the close trade for CL.....

Cunparis has developed a strategy for the Ninja strategy analyzer and this is what the month of November looked like.

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Not too schabby.

The settings used......25 tick target, 30 tick stop and 15 tick to b/e

Is this strategy available anywhere? I'd like to backtest it on more months, see what we get.

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  #2092 (permalink)
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omaron View Post
Is this strategy available anywhere? I'd like to backtest it on more months, see what we get.

The strategy is not being made public at this time.

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  #2093 (permalink)
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Can you share what the rules are? I'd like to give a shot to implement the strategy. Thanks!



Jeff Castille View Post
The strategy is not being made public at this time.


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  #2094 (permalink)
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wuolong View Post
Can you share what the rules are? I'd like to give a shot to implement the strategy. Thanks!

Hi Wuolong,

The purpose of the testing is to divise rules for the trade........we are trying everything we can think of. Optimizing stops and targets, narrowing the prior range, observing breakouts of both ends of the range, looking at reversal times.....you name it we're trying it. The possibilities are endless.

Jeff

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  #2095 (permalink)
Trade with the flow
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wuolong View Post
Can you share what the rules are? I'd like to give a shot to implement the strategy. Thanks!

The basic idea has been explained in the thread:

Using the 8:30 - 9:00 period, go long on a breakout and short on a breakdown.

It's the basic ORB strategy but rather than apply it to the first x minutes after the open, we're using the 30 minutes prior to open.

I suggest everyone plays around and tests it out. The automated strategy I wrote isn't perfect and has some problems. In the results shown commissions are not taken into account, not all days were included because of the contract expiration, and that was a period that worked very well. 6 months ago it didn't work as well.

You don't need to automate it to test it out or to trade it. So if people do some research on this please share your results and we'll be doing the same.

At this point I'm now doing my testing on Tradestation. I have problems bracketing a range with ninja which cannot accept orders to go long & short at the same time. So I'm using tradestation and I don't plan on continuing the ninjatrader version.

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  #2096 (permalink)
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what is the problem in bracketing the range?

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  #2097 (permalink)
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Just throwing out something else I've seen for others trying to get comfortable with this ORB idea... I've noticed in the last week or two that it can also be used around 10am -- playing a breakout from 30 min bar starting at 9:30. I believe this 10am time coincides with the Pit open for the CL contract as well.

*I haven't actually tested this out, its just been an eyeball observation. I know Jeff pointed out that it can be used at 2pm for the push into close as well. Very cool setup and lots of big moves (enough to meet daily goals on just these 3 times)... just need to work on stops and management of trades to suit your style

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  #2098 (permalink)
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CDesai13 View Post
Just throwing out something else I've seen for others trying to get comfortable with this ORB idea... I've noticed in the last week or two that it can also be used around 10am -- playing a breakout from 30 min bar starting at 9:30. I believe this 10am time coincides with the Pit open for the CL contract as well.

*I haven't actually tested this out, its just been an eyeball observation. I know Jeff pointed out that it can be used at 2pm for the push into close as well. Very cool setup and lots of big moves (enough to meet daily goals on just these 3 times)... just need to work on stops and management of trades to suit your style

The problem with bracketing is ninja will not accept a stop order to go long if there is already a stop order to go short. This goes for strategies, for the DOM, everything. I can't handle two orders in opposite directions. Tradestation doesn't have this limitation.

The push into the close has worked great lately but over the past several years the performance is very inconsistent. So I'm not trading that one. I will try the 30min starting at 9:30.

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  #2099 (permalink)
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cunparis View Post
The problem with bracketing is ninja will not accept a stop order to go long if there is already a stop order to go short. This goes for strategies, for the DOM, everything.

This is not the thread for this really, but yes it is possible to do as you've said with NinjaTrader. I just wrote a strategy a week or two ago for a customer that was a bracket trade and places both buy and sell stops on the DOM, simultaneously. When one gets filled, the other is cancelled.

Mike

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  #2100 (permalink)
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Cunparis
About 10 days ago, I commented that I could not enter the breakout orders above and below the 30 min bar in NT. Someone suggested using two different ATMs; one for the upward breakout and a different one for the downward move. I tried it on the DOM and it works. Both orders do appear on the chart, but only the active one appears on the DOM (to see the second order on the DOM you need to switch the ATM).

I don't do strategies in Ninja yet. I don't know if doing something like this will be a work around in the strategy area or not. Just my 2 cents.

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