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THREE SET UPS
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Created: by Jeff Castille Attachments:243

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THREE SET UPS

  #261 (permalink)
Trade with the flow
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I'm working on the outside bar and the results are not great at all. Jeff - have you kept records for the outside bar trades separately? I'm curious how outside bar trades compare to the inside bar trades.

Here's the results for the last 6 months, one target no scaling or breakeven stop:

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  #262 (permalink)
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cunparis View Post
I'm working on the outside bar and the results are not great at all. Jeff - have you kept records for the outside bar trades separately? I'm curious how outside bar trades compare to the inside bar trades.

Here's the results for the last 6 months, one target no scaling or breakeven stop:

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My record keeping started with the inside bar trade then later incorporated the outside bar trade. This has been a gradual evolution as the set ups became clear. I tried to keep the reversal and any "off" time trading separate but it's still a work in progress. I'd have to manually review the trades.

So.....just to be sure...can you describe how you're testing the outside bar set up? I just want to make sure what you are doing so that I might be able to be of assistance.

Jeff

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  #263 (permalink)
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Jeff Castille View Post
My record keeping started with the inside bar trade then later incorporated the outside bar trade. This has been a gradual evolution as the set ups became clear. I tried to keep the reversal and any "off" time trading separate but it's still a work in progress. I'd have to manually review the trades.

So.....just to be sure...can you describe how you're testing the outside bar set up? I just want to make sure what you are doing so that I might be able to be of assistance.

Jeff

If a bar breaks the high of the previous bar, I put a sell stop 1 tick under the previous bar's low.
If a bar breaks the low of the previous bar, I put a buy stop 1 tick above the previous bar's high.

the stop loss is put 1 tick beyond the entry bar's extreme.

my gut feeling is this may not be profitable, but that could be due to an error in my logic. I've manually reviewed the last few weeks and I believe my code is correct, with one minor exception.

I'm basically using the same code as inside bar with just a different entry & stop loss calculation.

On my chart outside bar is cyan. 15:00 is the pit open (9am ny). Here are some trades using 8 tick target:

Friday: TechSmith | Screencast.com, online video sharing, 2010-06-27_2100
Thursday: TechSmith | Screencast.com, online video sharing, 2010-06-27_2101
Wednesday: TechSmith | Screencast.com, online video sharing, 2010-06-27_2103

equity curve for 8 tick target: TechSmith | Screencast.com, online video sharing, 2010-06-27_2103

and for 16 tick target:

TechSmith | Screencast.com, online video sharing, 2010-06-27_2105

Hope that helps.

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  #264 (permalink)
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cunparis View Post
If a bar breaks the high of the previous bar, I put a sell stop 1 tick under the previous bar's low.
If a bar breaks the low of the previous bar, I put a buy stop 1 tick above the previous bar's high.

the stop loss is put 1 tick beyond the entry bar's extreme.

my gut feeling is this may not be profitable, but that could be due to an error in my logic. I've manually reviewed the last few weeks and I believe my code is correct, with one minor exception.

I'm basically using the same code as inside bar with just a different entry & stop loss calculation.

On my chart outside bar is cyan. 15:00 is the pit open (9am ny). Here are some trades using 8 tick target:

Friday: TechSmith | Screencast.com, online video sharing, 2010-06-27_2100
Thursday: TechSmith | Screencast.com, online video sharing, 2010-06-27_2101
Wednesday: TechSmith | Screencast.com, online video sharing, 2010-06-27_2103

equity curve for 8 tick target: TechSmith | Screencast.com, online video sharing, 2010-06-27_2103

and for 16 tick target:

TechSmith | Screencast.com, online video sharing, 2010-06-27_2105

Hope that helps.

Hey Cunparis,

Something is wrong big time.......I have no idea how your charts are showing what they are showing ....... a quick review of the Wed- Fri examples all have problems.......Wed....there are NO outside bars......the other example on Thur and Friday were BOTH winners. So.........I'm no sure what's going on but I think that there is a problem.

Jeff

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  #265 (permalink)
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Jeff, Cunparis

This many not be related, but let me share my experience of chart that looked like it showed wrong IB, but I was wrong. as I had to get correct colors of candles to show the wicks then the IB looked right. if you have black for candles and background, then the wicks not shown, so IB, OB looked wrong.

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  #266 (permalink)
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Jeff Castille View Post
Hey Cunparis,

Something is wrong big time.......I have no idea how your charts are showing what they are showing ....... a quick review of the Wed- Fri examples all have problems.......Wed....there are NO outside bars......the other example on Thur and Friday were BOTH winners. So.........I'm no sure what's going on but I think that there is a problem.

Jeff

Wed had an outside bar, I see it on both tradestation & IQFeed, but it was during the crude oil inventories.

For the thursday & friday, I wrote 8 tick target but those were 16. sorry. for 8 tick I get this:

Friday : it went exactly 8 ticks so my backtest doesn't give it a fill but you might have gotten one in real trading:

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Thursday was a winner for 8 ticks as well. So it seems my strategy is ok. The question is about the equity curve. It has done well the past few weeks but prior to that the backtest results weren't as good. The equity curve for inside bar is much better.

I'll do reversal bar next to see if it tests as well as IB or as bad as OB and that'll give me a better idea.

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  #267 (permalink)
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WED-FRI CHARTS

Wed....no outside bars
Thur.....trade was winner +8
Fri.........trade was a winner +8....review your post #207...I'm sure you will remember this trade.

Attached Thumbnails
THREE SET UPS-cl-08-10-6_23_2010-15-min-.jpg   THREE SET UPS-cl-08-10-6_24_2010-15-min-.jpg   THREE SET UPS-cl-08-10-6_25_2010-15-min-.jpg  
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  #268 (permalink)
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Different feeds

Strange how on Wed there was a difference between Zen-fire, IQ feed and TradeStation. Makes me wonder if Zen-fire is reliable?

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  #269 (permalink)
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Jeff Castille View Post
Wed....no outside bars
Thur.....trade was winner +8
Fri.........trade was a winner +8....review your post #207...I'm sure you will remember this trade.

On Friday I was already in a trade on an inside bar setup, so I didn't take the outside bar short. That's one thing about my backtesting is I'm testing each pattern separately. But when traded they'd influence each other (one setup could have you exit a trade from a prior setup etc).

For zen-fire, I've found lots of problems with their bid/ask & volume data but never seen a minute bar be off. But the crude news is really fast and it wouldn't surprise me if zen-fire couldn't keep up. Zen takes a different approach than IQFeed. Zen is quicker but less reliable. IQ takes extra measures to send every tick in the right sequence at the sacrifice of speed.

I'm using continuous contracts so it's possible that mine was not yet rollover, you could check by looking at july & august and seeing if one matches mine.

I'm interested in if you've done any testing during the periods where my equity curve is going down. I looked at them and the strategy trades seemed valid to me.

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  #270 (permalink)
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cunparis View Post
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?

Cunparis - you have a PM.

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