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THREE SET UPS
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Created: by Jeff Castille Attachments:243

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THREE SET UPS

  #231 (permalink)
Just a boy
Auckland, New Zealand
 
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Jeff Castille View Post
Hi Steve,

On the trade in question........the entry bar low was equal to the previous bar low......it did NOT move "outside" the previous bar low therefore I would NOT call it an "outside" bar.

Jeff

Thanks Jeff,

So to clarify my understanding ....

An INSIDE bar can have it's hi/lo equal to the previous bar,

But an OUTSIDE bar must pass the hi/lo of the previous bar (at both ends) by 1T minimum ie it cannot equal the previous bar hi/lo. In the case of the 2nd pass it becomes the point of entry.

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  #232 (permalink)
Elite Member
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Jeff - do you consider NYC Lunch as 11.30 to 12.30 EST?
and is the doldrum s 11.30-1.30est?

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  #233 (permalink)
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steve2222 View Post
Thanks Jeff,

So to clarify my understanding ....

An INSIDE bar can have it's hi/lo equal to the previous bar,

But an OUTSIDE bar must pass the hi/lo of the previous bar (at both ends) by 1T minimum ie it cannot equal the previous bar hi/lo. In the case of the 2nd pass it becomes the point of entry.

Hi Steve,

Yes, that is the way I am looking at it.

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  #234 (permalink)
Elite Member
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emini_Holy_Grail View Post
Jeff - do you consider NYC Lunch as 11.30 to 12.30 EST?
and is the doldrum s 11.30-1.30est?

I look at lunch in NYC as 9-10 am PST.

Notice that there is often a "push into lunch".......the last two days in particuliar are great examples of a major move occuring right before. I learned this from Linda Raschke.

Different traders have defined the "doldrums" with different time periods but.......I have come down to just a one hour period.......lunch hour.

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  #235 (permalink)
Trade with the flow
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For now I continue testing a one contract version of this strategy because I'm not yet sure how to do two in tradestation (easy in ninja).

So far the optimal profit target is 20 ticks. But should a breakeven stop be used? If so when should it trigger? and how many ticks should it have?

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According to this, which is tested on over 2.5 years of data, the optimal for max profit is to use a breakeven stop trigger at 4-9 ticks. It doesn't really make much difference but 8 is optimal. The offset should be between 8-12 ticks meaning you move your stop to breakeven minus 8-12 ticks. This way if the trade moves 8 in your favor you limit your loss to 10 ticks.

Now if I optimize for profit factor I get slightly different results but very similar: 8 tick trigger and 0 offset (a true breakeven stop). Giving it to -8 gave slightly better profit but slightly less profit factor.

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So, it seems Jeff has done a great job of zero'ing in on the optimal targets. +8 with stop at breakeven gives the best profit factor.

What this tells me is this: the best moves do not pull back. If it pulls back it's much less likely to hit the target. Giving it 8 more ticks room (breakeven minus 8 ticks) increases win rate approximately 10% and increases the profit 7%. For me the higher win rate of 63% has a great psychological benefit. I'm actually willing to have slightly less profit in exchange to lose less.

Now the question: should it be traded with 1 contract with target +16 or +20 or whatever, or two contracts using +8 & +16. I'm leaning towards a single contract but if one does want to scale out +8 +20 seem to be optimal.

Again - these results are over 2.5 years without any regards to avoiding news. My theory is avoiding news can potentially increase results. But for the optimal values, they are for the past 2.5 years so the optimal values right now (over the last few months) are probably different. But it's good to know Jeff's parameters are optimal (or very close to optimal) over the past 2.5 years. That's robust.

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  #236 (permalink)
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Cunparis,

Thanks so much for your testing on the inside bar........it's nice to know that my observations hold up to scrutiny .

It will be interesting to see what Shodson comes up with as he was going to try to implement a news element in his back testing.

Are you going to test the outside bar next?

Jeff

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  #237 (permalink)
Trade with the flow
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Jeff Castille View Post
Are you going to test the outside bar next?

Working on it now.

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  #238 (permalink)
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Hi Jeff,

I created 2 simple Inside Bar strategies for Long and Short separately. Ran them on CL 8-10 for a 30-day period with the following results based on a Performance Bar code I have in the strategies (Not backtesting results):

No of Trades: 32 (17 Long and 15 Short)
No of Winner vs Loser: 31 vs 1
PT/SL @12 and 25 (all 1-contract trades)
Trading Hours: 9:00 am to 12:00 noon EST
Gross Profit before commission: $3,470

I am not certain if I have the required data to run the strategies + I may have some minor bugs in my strategies. After cushioning these, Inside Bar set up seems having an over 90% successful rate - totally aligned with your trading results for the past 2/3 months. Congratulations again Jeff.

Also Big Big Thank You to Cunparis for the in-depth analysis.

Beth

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  #239 (permalink)
 Vendor: www.ezcolortrading.com 
Cambridge, Ontario
 
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Sorry Jeff I got a private message asking for the set-up details of the D3SpotterZiSchaffTrendCycle set-up. I believe one cannot have an attachment to a private message. Please pardon my addressing the raised issue in your thread.

Hope the enclosed will help. Good luck.

Beth

Attached Thumbnails
THREE SET UPS-d3spotterzischafftrendcycle-setup.jpg  
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  #240 (permalink)
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wgreenie View Post
Hi Jeff

I created 2 simple Inside Bar strategies for Long and Short separately. Ran them on CL 8-10 for a 30-day period with the following results based on a Performance Bar code I have in the strategies (Not backtesting results):

No of Trades: 32 (17 Long and 15 Short)
No of Winner vs Loser: 31 vs 1
PT/SL @12 and 25 (all 1-contract trades)
Trading Hours: 9:00 am to 12:00 noon EST
Gross Profit before commission: $3,470

I am not certain if I have the required data to run the strategies + I may have some minor bugs in my strategies. After cushioning these, Inside Bar set up seems having an over 90% successful rate - totally aligned with your trading results for the past 2/3 months. Congratulations again Jeff.

Also Big Big Thank You to Cunparis for the in-depth analysis.

Beth

Hi Beth,

Nice work!!

Something to keep in mind......the 8-10 CL contract just became the highest traded volume contract on 6/18. So.......you may want to adjust your findings to reflect that.

CL rolls over on a monthly basis.

Jeff

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