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The Pandawarrior Chronicles II
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The Pandawarrior Chronicles II

  #151 (permalink)
Market Wizard
Switzerland
 
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PandaWarrior View Post
I'll look at it but I don't know which journal is yours...could you post a link to the most relevant posts please? Also, why only 3 max trades per week?

One explanation and the link to the journal here:
https://futures.io/feedback-announcements/33355-october-trading-journal-contest-w-prizes-2.html#post439315

Original idea behind the system was to find the time during a weekday where with high probability are repeated
patterns in the instrument to earn some points. All entries and exits are to the 30 min. chart - automated
as a market order to the second...

First I had a one trade per day attempt. After a while I checked the daily results and found out that
three days were sufficient while 2 other days (normally Tuesday and Thursday) did not add points
to the total result. So I skipped those days as part of homo oeconomicus.

I will try to find the most important posts and list them here.

GFIs1

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  #152 (permalink)
Elite Member
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PandaWarrior View Post
Thanks for the input....but I'm a very visual person....could you post a pic or two with explanations as you see it? I would appreciate it.

Here are two charts showing the ES and using a weekly value channel. Both charts show the same information in terms of value making the interval a secondary consideration in your decision making.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

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  #153 (permalink)
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@PandaWarrior if I was gonna be beat for first place, I am honored to be beaten by you.

When I first came to futures.io (formerly BMT) your journal was one of the first I read. Even though our style may differ and even our opinions my differ, I found great amounts of info and insight that is invaluable. I highly suggest anyone just starting to read through your journal and blog.

Thank you.

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  #154 (permalink)
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tturner86 View Post
@PandaWarrior if I was gonna be beat for first place, I am honored to be beaten by you.

When I first came to futures.io (formerly BMT) your journal was one of the first I read. Even though our style may differ and even our opinions my differ, I found great amounts of info and insight that is invaluable. I highly suggest anyone just starting to read through your journal and blog.

Thank you.

Thank you for your kind words.....

Simplicity is the ultimate sophistication, Leonardo da Vinci


Most people chose unhappiness over uncertainty, Tim Ferris
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  #155 (permalink)
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Combine

I will start the futures.io (formerly BMT) journal contest combine on Monday....I'll post the TST trade report here daily.

A large measure of success will be the number of trades I take every day. Ideally there will be one or two at most....and most of those trades should be in the first hour or two beginning 30 minutes prior to the pit session open.

I'll be starting the combine with 3 lots and adding a lot every $1000 per contract of profit.

I hope everyone that won is doing well with their combines.

Simplicity is the ultimate sophistication, Leonardo da Vinci


Most people chose unhappiness over uncertainty, Tim Ferris
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  #156 (permalink)
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I should mention I've been doing some time of day analysis per @GFIs1 work in his thread....to be fair I was a bit skeptical about his one trade per day thing.....but to my surprise, after looking at a few months worth of charts, there is in fact a time of day that best fits my style of trading. There are other good times to trade, BUT they are antithetical to my style and one reason I trade so poorly during those times.

It's crazy its taken me this long to look at this kind of data. But now that I have, I know that at least for the current market state, the hours between 6:30AM and 8:00AM are not only the best times to trade for the most part but also suit my style the best.

Better yet, it seems that if conditions aren't perfect for me during this time period, I can more or less just not trade that day.

And even better, an average MFE number appeared during this analysis.....in looking at this data, I discovered there is a number that seems to be the best AVERAGE target in terms of ticks.....meaning I can generally look forward to somewhere between 40 and 90 ticks on average from a typical Pandawarrior set up.

Next I looked at the idea of scaling in and out vs an AIAO scenario. The scale in and out was designed to utilize a couple of different ideas:

1. Take some risk off early. Say 20ish ticks. Take some more off at a dynamic target....these are part of my method....then take the rest off when the "trend" is over....also defined by my method. The equity curve does even out a bit with this scenario....but the real pay off comes when the first scale is off and another entry is available AND price travels far enough to make adding on worthwhile AND the trader is able to capture the bulk of the outliers. The profits can really pile up using this approach.

However, for this study, I did not add on at presented opportunities. Instead the trade was simply scaled out at +20, a dynamic target and then the remainder left to run as far as possible before the trend reversed.

A drawback to this approach is this, sometimes the initial impulse move which is what I often try to catch, is sometimes the only real thing that happens and the add on's end up costing money or not making much at all....in this case, making a graceful exit can be somewhat difficult without some serious nerves of steel.

A further drawback is that a great deal of the pay off is reliant on what is often an outlier event....which seems to happen on CL with some degree of random regularity, say once a week. And by outlier, I mean something on the order of 200 or more ticks from entry. Of course the issue here is the issue of randomness....if and when????? The when seems to be the largest issue for me....I know it will run occasionally.....but sometimes that happens late in the day and sometimes it happens first thing in the morning....however, the normal rotation of around 50-90 ticks is much more regular with respect to how my method works and how the setups look.

This look back was done with never moving stops except in the case where it would be obvious the trend would be over if "X" happened. This sometimes produced profit on the runners and sometimes not.

The AIAO approach was based on the exact same entry but no scaling in or out and never moving stops except in the case where the trend was over. Targets were fixed across all days and I used an average of the previous 30 days worth of set ups where the set up occurred within the above mentioned time frame AND conformed to my written rules for initiating a trade.

I limited the study to a single trade per day as long as it conformed to the rules AND it was initiated and finished during the hours mentioned above. No adding allowed for this study although opportunities were presented....this would have skewed the results....

In the end, taking profit at a fixed number all in all out triumphed over the scale out method even with allowing the scale out approach to catch the random outlier trade. Adding to these trades would of course tilt the scales back in favor of the runner approach but the purpose was not to see if I could out perform all in all out by catching the occasional runner AND scaling into that runner but rather to see if I could out perform using set targets vs scaling out with an unlimited runner in the mix.

Both ideas made money. But all in all out won handily. Moreover, it took essentially the exact same amount of draw down because the trades that failed failed with both ideas at the same point. So AIAO overcame the losers much faster.

Average hold times ended up being around 45 minutes with the shortest hold time being 30ish minutes and the longest being nearly two hours. Obviously shorter is better!

The major issue with all this was entry.....get it right and all is well, get it wrong and there could be quite a bit of pain prior to pay off.....therefore, I initiated a max risk rule for this study of 30 ticks.....and using this, draw down was quite manageable and frankly, using fixed entry rules (mechanical) was rarely hit based on the entry process rules. This resulted in an R:R of around 2:1 to 2.5:1. More than enough to satisfy the combine requirements.

So for the purposes of this combine, I will be a lazy SOB....one or two trades per day max in the first 90ish minutes, no trade if set up isn't perfect, fixed target, no stop movement and no auto trail stops. Add a contract at $1000 profit per contract. Then stop for the day.....

I should also add, no other charts used. No context, no higher time frame, nothing....just the 5M chart with its indicator set. How is this possible? Its based on a single idea, momentum....higher time frames often belie the intra day momentum.....and having a short bias because the over all trend is down when the momentum is clearly long is not a good place to be operating from. I can see the HTF from the indicator set I use. So using some basic directional filters, a very fast decision can be made about which way to trade and as long as those conditions remain the same, that direction stays in effect.

I have also made the decision to eliminate ES and NG from this combine even though I mentioned I would trade ES during this combine if I decided to trade it. Neither of them suit me in terms of how I like to trade....further, I am intimately familiar with CL and how it moves intra day.....and while I have a bit of a feel for NG, ES is simply outside my comfort zone and NG is often times very erratic even though once it gets going on its trend, it tends to keep going, its the 3-5 false starts that can hurt you.

So this ten day combine should result in no more than 20 trades, and if successful, somewhere north of $12,000 in profit depending on how fast I get to add lots.

I've set the bar pretty high in terms of expectations and pretty low in terms of what it is I need to do to win. I essentially need to make one or two decisions per day....and after that, just wait. Assuming CL continues on a similar course with regards to daily ranges, it should work out. If it contracts a bit, I may need to up the size and reduce the targets to maintain the same numbers.

I'm sure there will be questions regarding all this....please PM those questions to me....I will quote and answer them if relevant to the community. Otherwise I will keep them private.....one thing I do not wish is to have a bunch of people trying to find fault with the concepts in a public fashion.....I will not respond to public negativity in any manner.....I've done the proof of concept and now its time to try it live.

Thanks to @GFIs1 for the idea....he's using 30M charts to do more or less the same thing but I couldn't adapt the 30M chart to my ideas at least not yet. Still working on it.

I won't be trading tomorrow as I have a couple of extended family members quite sick with serious health issues and will be visiting them tomorrow.

Cheers.

Simplicity is the ultimate sophistication, Leonardo da Vinci


Most people chose unhappiness over uncertainty, Tim Ferris

Last edited by PandaWarrior; November 6th, 2014 at 11:09 PM.
 
  #157 (permalink)
Market Wizard
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Great

Quite brave to implement a new concept for the first combine!
With your experience plus the tests you did it looks great to succeed though.
Wishing you a good phase in your instrument(s) to see the concept
working well.

GFIs1

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  #158 (permalink)
Elite Member
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Really looking forward to this. In all my trading, testing and analysis I've never been able to make either scale in/out work better that to just take it all off at once.

But my main problem is my win pct is below 50% ,so I can't roll over a combine without custom parameters. And this is costing me extra pr combine.

Can't wait to see how it goes. I know it can be done,I'm just not at a point where I can do it..Yet

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  #159 (permalink)
Market Wizard
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Really good job of setting out your parameters.

As you said, a good entry is the thing. Then, with small risk (contract size) and clear rules of what to do in the trade, you should be quite successful.

I'm looking forward to following along.

Good luck with it.

Bob.

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  #160 (permalink)
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GFIs1 View Post
Quite brave to implement a new concept for the first combine!
With your experience plus the tests you did it looks great to succeed though.
Wishing you a good phase in your instrument(s) to see the concept
working well.

GFIs1

not really a new concept, mostly a limiting of the trading to specific hours and specific trade management ideas....


The rest is just doing what I normally do...

Simplicity is the ultimate sophistication, Leonardo da Vinci


Most people chose unhappiness over uncertainty, Tim Ferris
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