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STRATEGYDESK JOURNAL
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STRATEGYDESK JOURNAL

  #1 (permalink)
Atlas
Bloomington
 
Futures Experience: Beginner
Platform: NinjaTrader
Broker/Data: Interactive Brokers
Favorite Futures: Stocks
 
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Posts: 191 since Apr 2011
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STRATEGYDESK JOURNAL

THIS JOURNAL OUTLINES MY METHODS USING THE STRATEGYDESK PLATFORM FROM AMERITRADE. THE METHOD I'M CURRENTLY TRADING SEEKS TO FIND A STOCK MOVING STRONGLY IN A LARGER TIME FRAME (60 MINUTE) AND IDENTIFY A RETRACEMENT USING A SHORTER TIME PERIODS USUALLY 10 OR 5 MINUTES. I ALSO WATCH THE 2 MINUTE FOR VOLUME INFORMATION THAT MAY HELP ME PREDICT WHAT IS LIKELY TO HAPPEN IN THE 5 AND 10 MINUTE TIME FRAMES. MY METHOD INCORPORATES ELDER TRIPLE SCREEN. I HAVE CREATED MY OWN INDICATOR WHICH SEEMS TO BE VERY EFFECTIVE AT IDENTIFYING RETRACED STOCKS THAT ARE LIKELY TO BOUNCE BACK. IN OTHER WORDS, I'M PICKING BOTTOMS OF CYCLES AND TRADING WITH THE LARGER TREND. NOTHING NEW HERE BUT THIS IS MY WAY OF DOING IT AND SO FAR IT HAS BEEN SUCCESSFUL. I WILL DISCUSS HOW I CHOOSE THE NUMBER OF SHARES TO TRADE; I'VE CREATED AN INDICATOR TO TELL ME INSTANTLY THE NUMBER OF SHARES TO TRADE BASED ONLY ON MY PREDEFINED RISK LEVEL. THERE IS MORE TO TELL BUT I'LL POST MORE AS I ILLUSTRATE WHAT I'M DOING HERE IN THIS FORUM.
THX!

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  #2 (permalink)
Quick Summary
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  #3 (permalink)
Atlas
Bloomington
 
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Platform: NinjaTrader
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EXPLAINATION OF THE METHODOLOGY


My trading method is primarily based on Alexander Elders Triple Screen trading method described in his book and elsewhere on the internet. I do not follow the method exactly but rather I have incorporated some key aspects of his trading style. The fundamental aspects of the method are as follows:

1. Use two time frames when setting up a trade - in my case I use 60 minutes for the long term and 10 minutes for the short term with an eye on the 5 and 2 minute charts for more precise timing.
2. 60 minutes must be trending strongly (up or down) based on the ADX and 20 period SMA
3. My indicator which I call the reversal index is an odd blend of the RSI, Stochastic and CCI indicators. I have merged them and created an indicator which does a pretty decent job of accentuating bottoms of cycles; At least better than any one of these indicators does on it's own.
4. Once the indicator shows a sharp spike down below it's oversold threshold a reversal is imminent. i look for price to close above the previous bars high before entering a trade at the open of the next bar.
5. Once trade is initiated I place a stop at 10 period lower price channel minus whatever the current bid-ask spread is (i'll explain this in greater detail on a later post)
6. I raise my stop only when the lower price channel begins to rise or with PSAR values (minus bid-ask spread amount)

Some rules i follow:

1. I never trade this strategy on a gap opening - i wait a minimum of least 10 minutes to discover market direction
2. I am cautious to avoid entering a trade on a very long bar - i'll wait for the next bounce
3. I trade with a flat $100 risk (including $10 commissions)
4. I avoid entering a trade at the open or after 3:30pm (preferring to wait until 9:40am and during the midday lull)
5. I do not require a perfect signal to trigger a trade - this method is robust enough that i can trade it when it is 'close enough'

On future posts I will break the steps down one by one and explain the rational for each step in greater detail.


Last edited by ShruggedAtlas; May 25th, 2011 at 09:11 AM. Reason: correction
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  #4 (permalink)
Atlas
Bloomington
 
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5-24-11 TRADE USING MY REVERSAL INDEX INDICATOR

The image in this post shows a trade I made on Monday 5-24-11. The stock is EXPE and the chart is 10 minutes. Entry was based on the 5 minute bar which explains the slightly better entry. Waiting for the 10 minute bar would have cost me a couple of pennies of movement. The share calculation based on my predetermined risk allowed only a 200 share purchase. Bought at 27.25 and sold at 27.81 as price moved down below PSAR. Note how i waited until the bar closed before selling. Often price will test those PSAR levels (because everyone and their cat is using them as stop levels) and then resume the advance. In this case price fell off quickly so I didn't wait any longer than the end of the bar.

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  #5 (permalink)
Atlas
Bloomington
 
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sorry forgot to hit the upload button - grrrrr!



This was a May 23rd trade...not the 24th as I stated in the last post. Sorry! It's late and past my bedtime :-)

Attached Thumbnails
STRATEGYDESK JOURNAL-expe-trade-5-24-11.jpg  

Last edited by ShruggedAtlas; May 25th, 2011 at 02:05 AM. Reason: correction
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  #6 (permalink)
Atlas
Bloomington
 
Futures Experience: Beginner
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Posts: 191 since Apr 2011
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TRADES FOR 5-25-11

THIS FIRST TRADE WAS A LOSER. BECAUSE I KEEP MY INITIAL STOPS PRETTY TIGHT I WAS ABLE TO KEEP THE LOSS TO A MINIMUM. ACTUALLY IT WAS TWO TRADES - IN TOTAL THE LOSS WAS ABOUT HALF OF MY RISK TOLERANCE FOR ANY ONE TRADE. ABOUT $45 IN TOTAL. I MADE A SECOND ATTEMPT AT ABOUT 13:10 AND THEN GAVE UP AFTER THE STOCK TRADED SIDEWAYS FOR THE REST OF THE DAY. THE CHART ILLUSTRATES MY ENTRY. IT SHOWS WHAT MY INDICATOR LOOKED LIKE AND THE SHARE CALCULATION INDICATOR WHICH ALLOWED ME TO QUICKLY CALCULATE THIS VERY IMPORTANT NUMBER WITHOUT ERROR OR TIME DELAY. THIS TRADE ILLUSTRATES A COUPLE OF KEY MISTAKES I MADE.

1. I FAILED TO LOOK CLOSELY AT THE 60 MINUTE CHART WHICH WAS ACTUALLY IN A DOWNTREND EVEN AS THE 20SMA WAS MOVING UP AND THE ADX >25. MY STRATEGY IDENTIFIED THIS BLINDLY AS AN UPTREND. 90% OF THE TIME, THESE TWO CONDITIONS INDICATE A TRUE UPTREND. THIS SHOWS THAT THERE ARE ALWAYS EXCEPTIONS TO THE RULE.
2. I STAYED IN THE TRADE EVEN THOUGH I DID NOT GET A CONFIRMED SIGNAL ON THE 10 MINUTE - I SHOULD HAVE SEEN A BAR CLOSING ABOVE PREVIOUS BAR HIGH - THIS ONLY HAPPENED ON THE 5 MINUTE CHART. IT NEEDS TO HAPPEN ON BOTH 5 AND 10 MINUTE CHARTS!
3. I ENTERED THE TRADE TOO FAR ABOVE THE LOWER PRICE CHANNEL. THIS INTRODUCED MORE RISK THAN NECESSARY. EVEN THOUGH MY MONEY MANAGEMENT DICTATED FEWER SHARES THIS STILL WAS NOT A GOOD IDEA. KIND OF LIKE WALKING ON THE EDGE OF A CLIFF. I PREFER TO WALK ON STABLE GROUND..DON'T YOU?

FORTUNATELY THE CONSEQUENCES OF THESE MISTAKES WERE MITIGATED BY GOOD MONEY MANAGEMENT AND WILLINGNESS TO GET OUT OF THE TRADE ONCE I SAW CLEARLY THAT THE TRADE WAS A FLAWED ONE. YOU'LL NOTICE THAT I EXITED JUST BEFORE PRICE BROKE OUT TO THE DOWNSIDE. LUCKY ME

FIRST CHART IS 60 MINUTE; SECOND CHART IS 10 MINUTE. I ENTERED BASED ON 5 MINUTE CHART (NOT SHOWN)

Attached Thumbnails
STRATEGYDESK JOURNAL-spls-60-minute-chart-5-25-11.bmp   STRATEGYDESK JOURNAL-spls-10-minute-chart-5-25-11.jpg  
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  #7 (permalink)
Atlas
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AMT TRADE 5-25-11

This was my other trade for 5-25-11. This one was almost flawless except for one mistake. I neglected to allow the strategy to run it's course. The actual sell signal came about 20 cents higher than my exit. still i made $481 minus commissions so i can't complain too much. A couple of things to notice:

1. Strategydesk buy and sell signals appeared on the chart unlike my last trade which i should not have taken due to lack of signal and proper trigger
2. Observe the second bounce at about 10:20. this is common with this strategy. this is good because it means i often get a second chance for entry or may buy additional shares if my confidence in the success of the trade is greater than normal.
3. the strategy did a pretty good job of identifying the bottom and top of the cycle.
4. I got a clear trigger for the trade - bar at 9:40 closed above the high of the previous bar
5. 60 minute chart is clearly in a strong uptrend and trading predictably within a channel.
6. a quick look at the MACD shown on the 60 minute chart suggests that the price may continue a bit further perhaps touching the lower channel wall before moving back up - notice that my reversal index shown on the 10 minute bar shows a return to oversold conditions. there is a possible second trade here in the next day or two.

Attached Thumbnails
STRATEGYDESK JOURNAL-amt-5-25-11.jpg  
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  #8 (permalink)
Elite Member
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Which broker

are you paying $10 per round trip to?

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  #9 (permalink)
Atlas
Bloomington
 
Futures Experience: Beginner
Platform: NinjaTrader
Broker/Data: Interactive Brokers
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Posts: 191 since Apr 2011
Thanks: 78 given, 74 received


mmaker View Post
are you paying $10 per round trip to?

I am with Ameritrade and yes the commission for equities is $10 per trade - $20 round trip. pricey i know but i am so familiar and love Strategydesk so much that i can't see myself switching. i have tried switching to Tradestation but i had difficulty doing without strategydesks simpler yet effective backtester and above all...i hated that tradestation had no way to apply a multitimeframe strategy to it's screener. Very disapointing and was a dealbreaker for me.

I just checked out MBTrading and i'm impressed. Backtesting and realtime screening is built into the TradeIdeas module. I've used TradeIdeas before so it wont take long to get a feel for it. Once again, thx for the suggestion!


Last edited by ShruggedAtlas; May 26th, 2011 at 03:25 PM. Reason: additional information - update
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  #10 (permalink)
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Not familar with strategy desk, but have you looked at MBTrading Desktop Pro? It's free with a MBT account, $4.95 per turn on equities, and it looks identical to your platform solely based on the screen shots... they could be OEM'ing it, I am not sure.

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