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Back in business

  #41 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
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I'm reading Tomas DeMark work and I LOVE what I read.

This is the first time in my carrier that I read something that makes sense for me from A to Z. In the last 2 days I have read the book DeMark Indicator (Bloomberg Market Essentials) by Jason Perl 4 times. I'm now working in integrating this in my trading and
I frankly consider buying the monthly subscription for this set of indicators (it works on CQG IC, Bloomberg and Thonson One and TradeStation but I'm not sure for this one).

It only speaks of price action only, no esoterically formulas, no inappropriate maths but only quantitative rules (not another Eliot wave theory where any one could be right and wrong and the same time). Exactly my way of thinking.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #42 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,420 received

Working 12 to 18h per day to finish this system for the last 2 weeks none stop (it is not a joke or a BS and I'm happy and not too exhausted - thanks to adrenaline). Almost done. Now I have 1 entry rules (as before) but now 4 exit rules. I've try a lot of ideas but I always sticks to the principle of price action (no esoteric maths or indicators). DeMark has been a great help not in the sense that it gave me directly useful trading rules (trading on range bars invalidate a lot of rules that have been created for time bars) but in the sense that it helps me greatly to create mine (even if I had used some of his but in a different way). I have tested this system on time bars and it is really not the same (really inefficient) but on the other hand it seems to work without almost any changes on many markets (tried on paper BZ NG ES EU6) but that will be for the next step.

I've tried them live yesterday with a single contract and I've been very pleased by the results: 1730$ on CL before comm.

Today I'm putting everything in place on CQG. I want to have only 1 graph with no indicators just painted bars for entry and exit. My purpose has always been to trade like a machine (before the machine actually trade for me) and I don't want to have anything to distract my eyes and my mind. If I do not have last minute (as usual. In my initial schedule the system should have been finished 2 days ago... ) programming problems it should be in place for tomorrow session (night will be long but I'm used to it).

Step 1 almost finished !

Cheers.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #43 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
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Posts: 2,149 since Sep 2015
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Just for the short story I completely fuck up my coding. I try it live this morning and after 30 min I have lost 250$ in 3 trades who should have given on paper more than 500$... I have made coding error and a some parameters where at the wrong place lol for example I see that I was using an overbought level of 80 for the period of of MA who is supposed to be 4 and of course the overbought level was at 4 ! (I'm stupid to use a system for the first time in live I should have done this in demo account, lot of overconfidence here...).

Now I just want to share how I set the parameter of my system (or at least how I should do it if I wasn't such a crappy coder).

First I take a 15 min graph and I read the average ATR for the last 2 days. It was around 30 ticks for last 2 day on CL.

After that I take a 30 tick range bar (average ATR) and look at the trend and more importantly how the trend is build. On the following graph we see that the longest up period was of 60 ticks and that in average up trend last less than 50 ticks. On the other hand the best short trend was at 128 ticks.

Based on that I use more strict rules to exit long trade than short trade. I that case I will apply all my exit rules on any long trade and only the weakest on the short trades.

Of course this method has it weakness since it is based on the past and that I some point market behavior will change. Based on my observations this kind of change is not made overnight (unless a special event occur) and we usually see 1 or 2 days in which up and down trend will be of the same amplitude. (as a side note I think we are not far from that).

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R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #44 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
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Favorite Futures: CL
 
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Posts: 2,149 since Sep 2015
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here is an example to illustrate my previous post.

All the dots and squares are a kind of warning (in fact exit signals) as you can see on the up trend the first (highlighted) exit signal was the good one. On the other hand on the down trend all exit signals have been discarded and only the strongest one (more general one) have been followed (which is a signal of a complete trend reversal at 45.30).

As I write those lines we are in this up trend from 45.30 to now 45.50. As you can see I did not catch the low at 45.12. My system as any trend following one never catch low and high. But since market are in trend less than 30% of the time that is the reason why I think exit rules are much more important than entry rules.

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R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.

Last edited by Okina; November 5th, 2015 at 07:13 PM.
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  #45 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
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Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,420 received

here another example on how my system was supposed to managed the rules :

On the up trend you see an exit signal at 46.30. This signal should be taken and the top was in fact near around 46.45

On the other hand the down trend start also at 46.30 after the top for my system (coincidence ?) and this down trend start by violating one of my first rule (you can see the retracement levels on the graph) but even after that it was valid and very strong.

At 46 a new up trend start to potentially appear (this is my strongest rule to exit) but 2 ticks after the start I have an exit rule activated (red square) so it was not taken, especially since I have taken the trend at 46.30 I have 30 ticks in the bank so I can afford to let my winner run and wait 3 bars to have a confirmation of the new trend. It was also a perfect time to sell more but my system is not designed to do that.

I also forget to mention that red and green represent the time where I'm long or short in the market. Black should also be here if my coding had worked and it will have represent time where I'm flat.

(of course this is only theoretical since my stupid f... system did not work today due to my coding errors and that what you see in my old manual system).

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R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.

Last edited by Okina; November 5th, 2015 at 07:55 PM.
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  #46 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
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Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,420 received

If I write all of that this is first a way to evacuate my frustration of the day but also I want to underline what I think is a cardinal rule of any trading system that a lot of person tend to forget.

Entry rules are the less important rules. In fact you could even flip a coin (but if you chose this rule as entry you will have more work for the exit one...). Exit rule represents 90% of the profits or the loses.

If you look in the literature about systems that have been traded by professional (we dont find a lot of studies on them but you can find some on system traded by Paul Tudor for example at the beginning of this career) you will see that the entry rules are almost always dumb like donchian channel, moving average, price patterns etc. On the other hand if you read forums you will see that 99% of the focus is on entry rules or the last magical indicator.

I trow a suggestion : why not starting a thread on exit rules (other than my stop loss is hit of course or worst my system is so perfect that I don't need an exit rule lol...) ? I would be very interested in reading what other people have designed.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #47 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
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Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,420 received

I will start with the basis of my exit rules (it is a work in progress)

I have :
1) based on a percent of retracement at the beginning of the trade to invalidate the entry (and avoiding having my stop hit)
2) based on a home made version of the RSI. This version is made in order to not stay too long in OB or OS level by assigning 0 values to price difference in strong trend. It is also not calculated on close because I don't want to wait to exit. I also count the number of period in OB or OS level and used them in a none conventional way in that case instead of a trend reversal signal I take it as a trend confirmation signal when it stays a long time in OB or OS (in that case do not exit or do not take any opposite signal).
3) based on price patterns (inspired by DeMark works) this one is a counter trend rule it says basically if it is too good to believe don't believe it.
4) based on the slope of the VMA using an oscillator has a measure of the volatility of the price.
5) at the last but not the least is the entry signal in the other direction.
6) I'm working on a speed of the tape one. Since I'm working with range bar I can see the number of bar per minute. But now it's more a discretionary exit rule. It is more like: shit it moves fast I miss my exit...lol

I'm working on other one it is a never ending process but on the other hand I've never changed the entry one and it is a very basic one based on price patterns and MA.

In each cases I have developed an indicator or a reading that appears on the chart because I want to avoid as much as possible any discretionary (emotion) decision. The only discretionary rule is taken at the beginning of the work session based on the ATR of the previous as I show in the previous post. At that time I determine what rules will apply for down or up trend.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.

Last edited by Okina; November 5th, 2015 at 08:55 PM.
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  #48 (permalink)
Elite Member
Leeds UK
 
Futures Experience: Intermediate
Platform: FXTrade
Broker/Data: Interactive Brokers, CapitalSpreads, Oanda
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Okina View Post
I frankly consider buying the monthly subscription for this set of indicators (it works on CQG IC, Bloomberg and Thonson One and TradeStation but I'm not sure for this one).

It only speaks of price action only

I haven't read the Jason Perl book and am certainly not trying to debate it with you, but the wording there confuses me a little: I think of "price action only" as implying "no indicators"?


Okina View Post
no inappropriate maths but only quantitative rules

How are you distinguishing between "mathematical" and "quantitative"?

Aren't most indicators purely quantitative?

(I take your point about Elliott wave completely - that's totally interpretative and subjective, of course; but that's surely a "chart pattern", rather than an "indicator"?).

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  #49 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
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Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,420 received


Tymbeline View Post
I haven't read the Jason Perl book and am certainly not trying to debate it with you, but the wording there confuses me a little: I think of "price action only" as implying "no indicators"?



How are you distinguishing between "mathematical" and "quantitative"?

Aren't most indicators purely quantitative?

(I take your point about Elliott wave completely - that's totally interpretative and subjective, of course; but that's surely a "chart pattern", rather than an "indicator"?).

Maybe I have used inappropriate words : By price patterns only I mean that DeMarks work is only based on price patterns that can predict a trend reversal. In his books you can find some indicators but he mostly use them as confirmation of his price patterns and for market timing to enter in a trade after a price pattern.

By no esoteric math I just mean that : In DeMark works you will find a strong compulsion for Fibonacci number which is esoteric in my mind but on the other hand when he design an indicator (and as I say there are few) it is based not on a let try to find a new derivative of price attitude like many others. For example I have read many article where people used trigonometric function, or Hilbert Transformation or Fourier Transformation etc... but why, there is no other justification in their work other than price is a signal (which is true but it is not a wave) so I will used signal system derivative to analyse it. It was the case, considering all our knowledge in signal analysis we will have derived for a long time the perfect market indicator (and by the way there will be no more market...). So when I use an indicator the justification must be for me the following (and it is purely empirical): I have notice that this specific price patterns seems to occur in this specific market situation is there a way to put that in a signal given by an indicator since it is more comfortable to read ? This is what I mean by no "esoteric math".

Also my personal warning (also express by DeMark) is about what we can call a derivative of a price (it is the definition of any indicator). Derivative can give you a general view but can hide the truth. I will take a trivial example: I my country young men drive very fast and most of them have Honda Civic. Let say you dont know anything about car and you dive on my road. You will see 10 Honda at 180km/h and you will see 10 Porsche at 120km (because their owner are often more mature and comply with the law). You conclusion will be that Honda Civic are much more powerful and fast car than any Porsche or Ferrari. Why you conclusion is false: because you have look at 'derivative of car' in the sense you only have analyse how different people used them but you forger to really have a look at the car. It a trivial example but I think it illustrates the purpose.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #50 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
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Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,420 received



Tymbeline View Post
I haven't read the Jason Perl book and am certainly not trying to debate it with you, but the wording there confuses me a little: I think of "price action only" as implying "no indicators"?



How are you distinguishing between "mathematical" and "quantitative"?

Aren't most indicators purely quantitative?

(I take your point about Elliott wave completely - that's totally interpretative and subjective, of course; but that's surely a "chart pattern", rather than an "indicator"?).

you are perfectly true about Eliot waves. And it rings a bell inside me. Early in my career I had a boss that was a fan of Eliot waves and he made me read almost everything about them.

In the university I had very brilliant professors that had consistently repeat to me EMH EMH EMH (I made dream about it lol). So when I first see Eliot wave I though it is voodoo crap (and I still think that). But on the other hand let say you have a price pattern that say when you have x close meeting this condition and y high or low meeting this other condition you will have a drop in price. This is an "indicator" based on price patterns. This is no more voodoo this is testable. You may think it does not exist but some patterns statistically violate the EMH. Why every one is not a billionaire using them. Because they are infrequent, they are risky, and they need vast capital to exploit them (. If you are interested I can give you reference of university studies papers that have clearly demonstrated that the EMH even in is weak form is not valid when you test this patterns. But since finance is a "human science" and not a hard one and since the establishment protect their only interest, they are not wildly discussed. It is not a conspiration it is just human nature. If EMH was true there will be no hedge fund on the planet, and no traders. We live in a kind of schizophrenic word : we are trained in the university to think that the work we are doing or we are about to do is not even possible. Funny ? But on the other hand people (who also have been at the university) pay us to do it...

You will find attached an example. I'm not promoting anything but just the general idea that EMH is a vast intellectual error made by brilliant people (the one that have managed LTCM for example).

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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