*** IMPORTANT NOTE to ALL readers first:
This thread has NO indication about entry or exit nor does it provide ANY signals! (live or not)
but is for testing reasons and discussing results ***
Goal: Finding an indicator that shows the turning point within a chart.
This is not that easy as it looks. Taking a chart and looking back - everything seems obvious.
Finding a signal that indicates where the price is really turning would be a nice help.
With that signal we could take a short at *around* the highest point and wait until the low
signal comes up to sell the short and to take a long instead. And vice versa.
Have tested in the last two years a signal on the Dax which seems to work.
Criteria:
a) Working with price on a VWAP band which starts every trading day new at 0 on full futures trading hours.
b) Looking at occurences when price is crossing the VWAP band boundaries.
c) Checking with the underlying Ichimoku cloud if the signal is valid or not.
d) Validation for a signal needs a move of more than 1% change since last signal.
If a valid signal is created - the trade will be closed / and a new one in the opposite direction will start.
This wil happen on the next bar after the signal (within minutes) - so the absolute maximum might not be reached.
A trade might run several days - so the margin levels of overnight and over the weekend need to be checked with
the broker.
Looking into some charts with next posts.
GFIs1
The following 2 users say Thank You to GFIs1 for this post:
Sounds interesting your new project and I´m curious to your further posts!
Have I understand it correct, it´s a daily VWAP and you enter above/below high/low of the 3 hour chart? And if so, why not entering at 1 hour or 30 minute chart?
Looking on a 1h chart we see the ZigZag which indicates the biggest Hi/Lo of a leg.
The signals are not showed. These signals are detailed in the 3 minute chart as shown above.
Same leg down from above chart is on the right of the hourly chart here (+ 1,19% short).
Within 8 trading days this year we can see the following results (maximum is NOT tradeable as discussed in first post):
Short leg from december 28: 1,53%
Long leg 1,21%
Short leg 1,19% (see details in previous post)
Tradeable around 100 +80 + 80 = 260 points
This looks quite positive.
It is a VWAP BAND... which starts every day newly.
The signal is generated in a 3 minute chart (post 3) - if a boundary of the band is "killed" the system
shows the signal which must then been verified with the other criteria to see if that IS a turning point.
So entering is possible on the next bar of the 3 min. chart.
Last pic is only to show the legs in a bigger picture of 8 trading days.
GFIs1
The following user says Thank You to GFIs1 for this post:
The VWAP band is the essential and main trigger of the signal.
But there are a lot more generated signals that do not show the highest or the lowest point in a chart.
So additional help was needed to filter out these non valid signals and to see only the
turning points to end/begin a new trade. This of course in real time and not lagging by hours.
Here comes the Ichimoku cloud handy in to see if the triggered signal is valid or not.
But the time frame on this use is very essential: as a daily Ichimoku cloud is showing
a very different cloud than on a 30 minute chart - the optimal timeframe had to be found and
tested out.
Optimal timeframe is a three minute chart to see the VWAP band along with the
Ichimoku cloud. Best results came from this combination.
GFIs1
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Questions about the SL settings answered:
As long as the signals are accurate and valid - a stop loss is easily set in a very tight range.
We think of not going higher on the price "Hi" or not to go lower on a price "Lo". With these
extremes that should not been touched again a SL of 10 points as disaster stop in case of
a turning on a wrong signal seems adequate.
This is restraining the loss to a absolute minimum. If the signals are well the stops will never
be in use.
GFIs1
The following user says Thank You to GFIs1 for this post:
Do you use only the first VWAP StdDev band boundaries and has the Ichimoku cloud to be red for a short trade or do you just considering KijunSen and/or TenkanSen for entry? I´m attaching todays chart and the cloud seems to be bullish at your short entry. Or did you enter prior to posting at the 3 minute candle from 10:51?
Thanks for your input - my chart looks slightly different ;-)
Marked in the chart the signal bar - and the exit/entry on closing of the following bar.
Underneath cloud is red.. Time of signal is in the blue oval - 10:32 (end).
The only change to my previous rules was to set the SL farther away which protected to
be caught by the short upmove some 10 min. later.
As you can see in my chart - only the cloud of the Ichimoku is relevant - I have erased
Tenkan Sen, Kijun Sen and Chikou Span. This makes it easy to read the main signals.
Hope this clarifies
GFIs1
The following user says Thank You to GFIs1 for this post:
... yes the settings 9, 26, 52 are the same...
but I am using a 213 seconds chart which is slightly different to the 3 min chart - try it with this setting
GFIs1
The following user says Thank You to GFIs1 for this post:
Looks like you have a vice versa coloring on the band - as our bands are very similar.
If you have a look on the thick green cloud in the center of your chart price is wandering from top to down.
Normally a red cloud is crossed by a short - and coming out underneath.
In my chart this same part of the cloud is red.
GFIs1
The following user says Thank You to GFIs1 for this post:
@GFIs1 Ok, that was the trick. Have reversed the coloring of the clouds and my attached chart looks now identical to yours. Must look for a better Ichimoku version without this programming issue.
Thanks for clarification
The following user says Thank You to Abde for this post:
Did you took that last long trade? I took that long 1 tick above close of the entry bar and set a trailing stop 3 ticks below high of the bull cloud because of the intermarket weaknes. If it goes further I will trail 3 ticks below VWAP and thereafter, 3 ticks below first StdDev band and so on. what do you think?
I did not take the long.. as my chart has not yet given a secured signal.
As it is often so that the band in the afternoon shows not that accurate
pattern as in the morning - I decided to wait for lower prices.
Differently to your chart - my band did not create a turning point signal:
Will decide tomorrow.
The best one can do is to move stops near the price when price movement
is greater than 1% since entry. This is indeed adventurous but may at
least fix some money in the green ;-) as long we are near the screen
For this situation I haven't yet a game plan.
GFIs1
The following user says Thank You to GFIs1 for this post:
Looking forward on my daily chart:
There is (In My View!) a big chance that in the last week of January
price should come back to a level of 7600 -
which means 7596...
Even this is not influencing the next day's movements I am having
that in mind to see the consolidation during this month being executed.
Good Trades!
GFIs1
The following user says Thank You to GFIs1 for this post:
Year 2013 start result
260 + 84 + 129 = TOTAL of 473 points
This was done in 2 week and represents near 50% of the cumulated year GFIs1 daily Dax result.
Another 2 weeks and it is done for the year
Today Wednesday is normally a short day.
So I have put the SL to breakeven as it looks like trending more down.
This helps to protect the capital.
If the SL wil be hit - I will look for a new entry.
GFIs1
update: VERY tight moves.. SL was not hit by 1 point
Might go further up tomorrow :-D
The following user says Thank You to GFIs1 for this post:
Thanks for the input and congratulation to your very well done trades
The situation of the turning point on my attached chart is slightly different to yours and I´m trying to find out why. Do you have any idea? I use the standard settings of 1,2+3 for the StdDevBands and have playing around with them to match your chart but without success. Do you use an proprietary indicator or could this be a code difference between RT and NT indicators?
What do you mean with time sync problem? Could you please post your chart or send it to me for comparison? I use CQG as data provider, which one do you use? Maybe it has something to do with the provider data.
Have no idea where the difference come from. Have compared my PC clock with begin end of a bar forming and it´s identical to the second. I heard that data get filtered differently dependent from the respectively provider and maybe that´s the reason. However the highs and lows seems identical.
To remember - we are still on the short leg - started @ 7752 - trade is on track!
Now as the system is clear for everyone - there will no longer be updates on every turning point here.
Because this is not intended to be a journal of that very system but more to be a trading possibility
to compare with other systems on the same instrument.
The goal is still to find the very best (low risk ) system over time!
Up to now we have had some very good results here. Not even one negative trade resulted.
Will update from time to time with a chart.
GFIs1
The following user says Thank You to GFIs1 for this post:
Took a look at a couple of different instruments this weekend.... can certainly see some opportunity there.
I was curious.... at the beginning of the thread, you said that you had looked at this method over the last 2 years - do you have a sense of the win/loss ratio over that period of time? I was going to check myself, but was having trouble downloading data over the weekend.
Also, did you ever have a situation where you continued to only receive false signals.... for instance, the market hitting a top, and then just continually moving up creating more false signals?
First - I tested the system from time to time live - but have never backtested it as I have not programmed the rules.
Second - there are signals that are coming up but the price is still moving in the same direction and not turning...
For these occurences I have a quite tight stop loss setting which prevents from going into the big negative numbers.
In such a case I am waiting til' a new normal signal comes up again to take another trade.
I guess that this setup is working on many different instruments...
Quick question... where do you see the dax currently moving based on monthly/weekly charts and the long term perspective in general?
I've had a quite vivid discussion with some guys on skype right now, to me the monthly and weekly are very bearish but it seems like it is in quite the "indecision" mode. Care to comment?
Awaiting out of the weekly chart still a short down to 7596 in the next two weeks.
From that level a push over 8000 to a level of 82xx seems to be a good scenario
for the coming 6 months. We do have a good support (Ichimoku cloud) underneath.
This week the long leg in the DAX did not want to finish
So my setup yesterday showed a clear short signal at 10:04h after a massive
rally after IFO numbers.
But that point was not "THE" turning point. With US making more in the same
direction the price went further up.
Conclusion:
This needs to adapt SL settings for these cases as a desaster stop setting
according to the length of the leg - aka in direct relation to the percentage of
price gain since the last turning point.
I took the same short trade as you and got stoped out for al loss of 10 Points. I don´t think that there is a successful way for setting a desaster stop according to the length of the prior leg. Maybe it´s a better idea to trail the stop as soon as possible to break even and to re-enter later at a better price. Requirement for the re-entry should be that the Ichimoku cloud condition remains valid. What do you think?
Thanks for the input - I am refining that signal again - for this I need to check some more similar situations.
If the signal is very accurate - then a tight stop will be ok.
As for reentry - I see it best to wait for the NEXT valid setup - so one is avoiding a double loss on the same wrong leg.
GFIs1
The following user says Thank You to GFIs1 for this post:
I don't think asking such a question is of any value. The market is what it is. Why should you care what anyone else thinks? No one can predict what will happen. Trade YOUR plan in response to market moves.
I think the idea to fade a top or a bottom in the DAX is a good idea.
Last Friday was a real rare day, large move and all day up in to the close.
I think the VWAP Bands intraday are not enough, a Rolling VWAP shows where the market is.
On the 30 Min Chart you can see the market went outside the 3. band and on Monday morning reached
the 2. band with a reversal. Today we came back to the VWAP at 7815.
The stop is easy to set, above or below the reversal bar or entry bar.
Both Indicators are payed indicators from Fat Tails.
You are working with several VWAP bands and you are using a rolling VWAP.
This is fine in many situations.
My attempt is to use only ONE band and this one is developing on every session
from zero. With this I can find most of the time a very good entry / exit signal.
As for a friday where the upleg nears 3% in the morning session before the
US market had opened - I see the problem of jumping in short on that very signal.
Therefore I am refining the method for these rare cases.
I just want to show one idea, shure, everybody must find his own style and way to get happy.
For me it is important to see on a longer timeframe the levels.
I am looking in these swings of more than 1% legs to get results within 1 to around 4 days.
You state longer time frames - are they adequate to mine or much longer?
And if longer - what is your leg lenght goal in %?
Sorry for my late reply!
As i said everybody must find his own style to get happy and i love your idea to find swing highs or lows to take a trade. It is also my way to trade the DAX because to catch the intraday moves is nothing for me and i want to stay longer in the trade. I have no fix goal in %, i look to the chart and try to scale in and out.
I sold the reversal tops on 25.1. and closed on the blue reversal bars, the last at 7720 yesterday. Flat at the moment. I trade via CFD because i can take the risk wicht fits to my account, the Daxfuture is only for bigboys, i am a little boy.
Falco
The following user says Thank You to Falco11 for this post:
As mentioned in previous posts I was thinking of refining the HiLo signal a bit.
The VWAP band starting every session at zero gives quite good signals in the morning.
Later in the day - speaking of after 12:00 - the band might widen too much so the
price will no longer "touch" the band again.
For this case I refine it like this:
a) valid signal in the morning -
b) wait for US opening and close old leg
c) open opposite trade...
and wait
Illustration:
GFIs1
The following user says Thank You to GFIs1 for this post:
After discussing taking a short in the last post I am putting an update here with actual price / signals / result:
As we can see - the short is still on track.
There were no valid signals since the short signal to revert...
Result in these three days: 140 points
Outlook - further down-move in the next three days with a leg of around 300 to 400 points.
Swing trading a special way:
For Elliott Wave traders - the Hi/Lo signal could help to only trade the third (longest) wave here.
The above showed trade was number 3...
So here I want to show the bigger picture of the waves which has not ended yet. Assuming that
the price will shoot over 8K in the 5th leg of that uptrend.
Chart:
GFIs1
The following user says Thank You to GFIs1 for this post:
I can not comprehend why you marked the second and third signals as not valid. They where both more than 1% from the entry of the first valid signal and the cloud was also blue. Could you please point out your thougts why you consider these as not valid and also the reason for the validity of the last signal compared to the prior two? Maybe I missed something.
Thanks for all what you are doing here at futures.io (formerly BMT).
The following user says Thank You to Abde for this post:
Thanks for compliments and following my thoughts thoroughly - yes you are missing some details.
Look at the chart posted:
1) the very first signal ("not valid") took place when price was in RED kumo...
2) the second ("not valid") signals had the manko that the VWAP was in the blue kumo - so not on the "right side"
(which means nearer / not farther) from price to kumo.
3) the third signal had ALL factors on the right side.
I know - there are are exceptions - but in a very FAST move the above conditions MUST be fulfilled.
Hope this is revealing something ;-)
Good Trades
GFIs1
who is still on the LONG leg - til' 1% is killed - and then again: SHORT (tomorrow)
The following user says Thank You to GFIs1 for this post:
..only in fast movements or bigger moves during the day..
if there is a non-trending day - after 12:00 german time - the VWAP-setting is no longer important as
in a low movement day the VWAP can not head out of Kumo on the opposite...
Just to be clear!
Yesterday we had 184 points from Hi to Low.. which is a strong moving day
GFIs1
The following user says Thank You to GFIs1 for this post:
This was my early morning outlook on the Dax today. (on the french thread)
It is saying that the price should bounce back on the VWAP from yesterday (min. 7947)
in the afternoon before going VERY south tomorrow wednesday.
Thursday will not be important (no GFIs1 trade then) because of low volume and
like always after a strong downmove (..hopefully..) ;-) no trade is necessary.
So looking forward on the next turning point south pretty soon...
Thanks for posting charts and helping us..I would like to start applying this method to SPY would you please let me know the indicators you are using and I am mainly trying to enter or exit swing SPY options using this methods. Please help me
Hi futures.io (formerly BMT)rader
The chart is optimized for the Dax - if it works on other instruments? I have no idea as I haven't tested it yet.
My chart is a 3 minute chart containing a) Ichimoku cloud and b) a VWAP with band of 3.2 bandwidth. This
band has to restart on every session! c) a ZigZag which turns only after a >1% move.
With these 3 indies the chart is done. The signals (and interpretation) you can get out of the explanations
in this thread.
Hope this helps - please report here on futures.io (formerly BMT) if it works on your main instrument - we are looking forward :-)
Thanks for your quick reply, I see you are using NT but I am using TOS let me see If I get all the three indicators lined up. I will keep posting in this thread.
The following user says Thank You to bmtrading9 for this post:
Is there any reason for VWAP band width of 3.2? If I use Standard Deviation of 3.2 I am not seeing any signals so I was thinking what might be next alternative? may be 3 or 2.8?
Looks good - congrats!
As the VWAP band can go to 3 instead of 3.1 the signals will not differ a lot.
Remarking that your Kumo colors are negated to mine - but this is only a thing
to be get used to.
Now is the moment to get on the testing route. My normal approach is to
playback some interesting periods to see where one would have taken the
turning point.
Have a look especially for a SL setting which should be wide enough but
as near as possible to prevent a big loss.
@GFIs1 - Thanks for you response. About kumo colors you are telling it should be reversed i.e RED to GREEN and GREEN to RED? Also, in the previous chart I used VWAP band of 2 and 2.8 and signal arrows are for 2.8...If I put VWAP setting of 3 I can see entry and exit point only at the beginning of the session as you know morning session will be very volatile and VWAP bands just started from zero, this behavior is putting me in lot of confusion. My question to you is how you manage this signals at the beginning of the session?
There is indeed a special treatment for beginnings / openings.
Did not want it to make to complicated first.
I will explain with an example chart tonight.
..not valid..
Turning down means the VWAP band (with price) must be ABOVE red kumo to give a valid SHORT signal.
Here on this side only LONG signals might be right.
In other words: we are still on the downleg right now.
1. Low of price bar (3 mins) must go below lower VWAP band (SD = 3)
2. Cloud must be GREEN (note that RED and GREEN are reversed than default colors of Ichomoku cloud)
3. Cloud must be on top of middle VWAP line.
4. Cloud must be on top of price.
5. VWAP should NOT be in the GREEN kumo (i.e it should be out of kumo) - so not on the "right side"
(which means nearer / not farther) from price to kumo. - Check post # 71 (Thread # 8)
6. Validation for a signal needs a move of more than 1% change since last signal.
For SHORT entry
1. High of price bar (3 mins) must go above upper VWAP band (SD = 3)
2. Cloud must be RED (note that RED and GREEN are reversed than default colors)
3. Cloud must be below middle VWAP line.
4. Cloud must be on below of price.
4. Validation for a signal needs a move of more than 1% change since last signal.
Stop Loss (SL)
As long as the signals are accurate and valid - a stop loss is easily set in a very tight range.
We think of not going higher on the price "Hi" or not to go lower on a price "Lo". With these
extremes that should not been touched again a SL of 10 points as disaster stop in case of
a turning on a wrong signal seems adequate.
This is restraining the loss to a absolute minimum. If the signals are well the stops will never
be in use.
The following user says Thank You to bmtrading9 for this post:
Very well stated trading plan above.
Now coming back on our starts in the morning hours where signals normally often occur:
The signal is NOT valid when the Kumo is OUTSIDE of the VWAP band. This is normally
the case when a gap happened.
So wait for developing VWAP band and Kumo is getting INTO the band - so the signals
are well.. Of course all OTHER rules must be true as well to get a turning point.
Concerning SL:
I have found that price move around 1% the SL may be very tight. With every 1% added
the SL has to be widened (by the same amount as the first SL).
This prevents running into a SL right after the signal's turning point.
eg: 4% move needs much more space to "make that turn" than after a 1% move ;-)
Just a remark out of my experience on the DAX - I assume it is the same for all instruments!
As we had some downmove with no valid long signal so far
I assume to stay in that short even over holidays and
expect to see some more points on this trade here.
From a daily chart @ 7650 (on Monday?)
@GFIs1 Please take a look at the attached chart and let me know if the these two short entries are valid or not?
I modified my timeframe to 4 mins and VWAP band to 2.8 instead 3.0.
Also, signal mean when the HIGH/LOW of the timeframe crosses/touches the VWAP band right?
Signals at the start of the session are valid only if the cloud is *in the VWAP bands* right?
Again regarding Stop Loss what you are telling is after getting the signal 1% SL is too tight? If possible please explain the start of the day signals and SL concept with images.
The chart looks good - the signals too..
In fact I can not see if the signals are really valid - first you are working on a different instrument, second you
changed params a little bit and third I have never tested other instruments than the Dax future.
Looking at the last two days of end of the first quarter 2013 we need to be very distant too - as normally with
low volume some prices are pushed in a desired direction (here up to new highs).
I am looking forward into the first two weeks of april to get a better big picture.
Please go on with testing.
@GFIs1 Thanks for your reply. Generally S&P 500 and DAX follows the same trend but I can see a divergence in last two days....Would you please explain more about SL and morning session entry and exits with some charts.
I am.. this will be ok hopefully from tomorrow (seen from the daily chart)
My intraday trade was a long for today to take some profits from the upmove after the long weekend
and closing in 30 minutes.
Over all the leg is still down. I haven't got a signal to go long - so it might be a little stretched for
the moment - but the goal is still short.
@GFIs12 Thanks for sharing I am clearly noticing divergence in DAX and US market i.e SPY. Also, I see short side of this method or any other technical method is less accurate than the long side of it....do you feel the same?
As you state - there are and may be critical divergences on US markets versus the European ones.
I am only following the Dax here - so there is no need to see indices moving always synchronous.
But the signals should give some reversal (if settings are right) as long as the market is "overly
moving in one directions".
As for long or short signals - I can not see a difference on the Dax so far..
We may have to follow the system a bit further to decide about accuracy.
@GFIs1 Yes, we are are right track....for DAX the bands expands based on start of the day values and based on US markets ...that is interesting to see but for SPY we don't have that kind of expansion in the bands...thanks for sharing your charts and knowledge....
@GFIs1 I am trying to set up my Ninja Trader would you please let me exact indicators you are using for this method, I just want to compare my TOS set up and NT set up and compare the signals.
