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Sorry, no audio yet. I can see how it's not very interesting without it, but I am not at that skill level yet. Until I have the right hardware (doing this stuff in a VM and probably don't own a microphone), I am hoping the replay helps a bit seeing how I trade, on top of the list of trades and the snapshot at the end of the day. Thank you for your interest and, of course, for the PM recommending the video capture tool. Starting from what you recommended, I went with Camtasia, from the same page. I hope my use of Google's YouTube is not offensive to you, but I understand your point about the Chinese opposition. Cheers!
March 9th, 2012 ES replay - YouTube
No sound on the video, only the quiet beauty of the market, tick by tick. For what you see on the screen, there is a reason for each arrow, each entry, level, line, rejected signal, a lot of meta data generated and much processing happening. I normally collect the details and correct what I see my indicator doing wrong, very careful not to enter exceptions as rules. I am not looking for a quick fix of the day to increase my profit. That's a trap, because I can always adjust the many parameters to generate a better day in replay, but it will not necessarily work tomorrow or ever again. The changes I introduce are sometimes in the making for a month.
One thing I've noticed is how important the ATM is. I have dedicated ATMs for all types of entries, so they can differ. I can also override the differences and decide to use one single ATM for all signals. Without exception, I can make the day better in replay by adjusting the ATM to take profits at certain levels or to trails stop starting at certain tick, having stops at certain levels. I am wondering what signals can the market offer in the first bars today or within the price action yesterday to allow the strategy to come up with optimized configuration for the ATM. I am thinking to correlate with the recent ATR, but haven't tried it yet.
Any ideas, anyone else has ever tried anything like this? I assume so, because it is obvious a trader would adjust the expectation for target/stop depending on the size of the day (range, bar), but I haven't seen a quantifiable method yet.
A lot of work in the code for the trade management should improve the PnL consistently. Right now, other than the bad entries, I am dying from the 1000 paper cuts, because of the tight stops. I can see how I need to have subsets of exceptions applied to individual entry types and that should also help. My strategy is avoiding entries altogether when certain conditions are met, but I know exceptions from exceptions that will make a difference.
When a breakout happens, I need code to look at the volume and, if the breakout was strong, I enter on a "with gap" or a breakout test.
Also, the code that keeps me from doubling down at less than the predefined distance is failing at times, so I am fixing that today. Too many times in the last week the strategy got me in with 2 cars at 1-2 ticks distance, which is not how I want to trade.
March 12th, -$300.96.
Here are the trades for today. Since I forgot my chart object only load on OnBarUpdate and I hit F5 after 4:15, I will have to run replay to generate the chart of today with all the signals.
I am really interested in finding out how people make money in days like these. I am not question the possibility, only what kind of strategy is better tailored to deal with the price action. I think the trading range code should help, but I don't have time for it now. Here is the replay chart. My indicator finds this kind of action tricky.
I don't have an automated system like you do. However, if I was was going to code one I would have strategy for trending days and one for non-trending days. This means the over-riding strategy would have to call the "trending strategy" or the "non-trending" strategy.
Does Ninja allow for program subroutines?
Unless you are averaging into a position, or very good, it is hard on narrow choppy days like this to make profit, IMHO. I hope it helps!
You can do pretty much what you want in NT and calling strategies depending on the day is a piece of cake. Now, identifying the type of day might be a different story... My strategy is a proxy to many strategies and I am not having good days because my code "falls" for signals that work on days with wider ranges, trending or not. I have code for trading ranges, but not for narrow ones. It would be probably best not to consider entries when the ATR is less than 1.5. The trending range code still sucks, but fixing that might make things better. Doubling down must be the way, but I am trying to first refine what I have without it. Thanks so much for your input. So hard to get others to share their ideas around here, unless is about how to combine existing indicators.
"Now, identifying the type of day might be a different story" - le vrai mot
"My strategy is a proxy to many strategies" - sorry I'm not clear on your words here
"my code "falls" for signals that work on days with wider ranges, trending or not. I have code for trading ranges, but not for narrow ones" - In essence a wide ranging day can be though of as several minor trends, up and down within the range -assuming the range is wide enough. So for example an "N" day is three legs. (Certainly not the same as an upslash day.)
