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THREE SET UPS


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THREE SET UPS

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  #271 (permalink)
 shodson 
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cunparis/Jeff/Beth,

Are you entering with Stop Limit orders or just Stop orders, which fire a market order once a stop level is hit? If just Stops, what kind of slippage are you experiencing?

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  #272 (permalink)
 Jeff Castille 
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shodson View Post
cunparis/Jeff/Beth,

Are you entering with Stop Limit orders or just Stop orders, which fire a market order once a stop level is hit? If just Stops, what kind of slippage are you experiencing?

Hey Shodson,

Just stop orders for me.......slippage is a tick or two at most.......usually good fills.

How is the news "eliminator" coming along? I believe that you were going to try and do back testing with the 15 minutes prior to and following high priority news as being no trade zones?

Thanks, Jeff

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  #273 (permalink)
 cunparis 
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shodson View Post
cunparis/Jeff/Beth,

Are you entering with Stop Limit orders or just Stop orders, which fire a market order once a stop level is hit? If just Stops, what kind of slippage are you experiencing?

I almost always use stop limit on entries because the chances of it pulling back one tick and filling you are greater than the chances of it running away and you missing the trade. But I've used a lot of stops with CL and slippage is rare but it depends on what kind of trades you do. If you put entries & exits at obvious places (and 1 tick above/below a high/low is freakin' obvious) then you can get slippage. I kept track of it once and I think it was less than 1 in 4 trades so that's about $2.50 / trade slippage.

on exits I think stop limit is better too but not much experience with that.

For my backtesting I'm using stop orders for entry & exit.

Great question!

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  #274 (permalink)
 shodson 
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Jeff Castille View Post
How is the news "eliminator" coming along? I believe that you were going to try and do back testing with the 15 minutes prior to and following high priority news as being no trade zones?

I haven't spent too much time on it lately, too many other things going on. For these setups though I do have lunch and CL and NG inventory reports baked into my strategy, which I'm still working on.


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  #275 (permalink)
 Jeff Castille 
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shodson View Post
I haven't spent too much time on it lately, too many other things going on. For these setups though I do have lunch and CL and NG inventory reports baked into my strategy, which I'm still working on.



Cool !! Do you think that you will be able to get the high priority news in there?

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  #276 (permalink)
 wgreenie 
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shodson View Post
cunparis/Jeff/Beth,

Are you entering with Stop Limit orders or just Stop orders, which fire a market order once a stop level is hit? If just Stops, what kind of slippage are you experiencing?

Hi Shodson

For my Fri sim trades and Inside Bar strategies, I use Buy/Sell stop orders. No slippage experience so far ... though I'd suggest your counting Jeff and Cunparis' results.

Beth

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  #277 (permalink)
 shodson 
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I backtested back to November '09 just using minute bars and I was getting similar equity curves that cunparis is seeing: it works so-so but starting in Jan '10 it really works well. I think this is due to more recent currency volatility which, as I mentioned in an earlier post, most of the time I believe oil moves in-line with the dollar because oil is priced in dollars. The occasional times it doesn't is when we get inventory reports or we get some geopolitical news in oil-rich countries.

Here is last week's action just in inside bars, avoiding lunch and news. I'm still getting some strange bugs but it probably has to do with some inaccurate range bar data. If I switch to entering on 1 min bars I don't get the errors and my B/E stops work better. So take it with a grain of salt.




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  #278 (permalink)
 famed 
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Unfortunately I couldn't find the pdf I wanted to post so I'll try my best to explain.
Instrument: ES
Chart: 10 minute candlestick chart
Pattern: Bullish and Bearish engulfing patterns
Criteria for buyside:
1-Bullish engulfing has to occur after a significant down move
2-Either the bar being engulfed or the engulfing bar itself should have made the most recent low
Criteria for sellside:
1-Bearish engulfing has to occur after a significant up move
2-Either the bar being engulfed or the engulfing bar itself should have made the most recent hi

There are three possible ways to enter and they are as follows:
1-Enter at market as soon as the engulfing bar is completed
2-Enter at market as soon as the bar starts engulfing (of course this would be before the close of the engulfing bar and is therefore considered aggressive)
3-At the completion of engulfing bar place a limit buy/sell at or close to the opening price of the engulfed bar (this is the safest entry)

Stops:
For sellside the stop has to be 1 tick above the most recent hi
For buyside the stop has to be 1 tick below the most recent low

Profit targets:
This is supposed to be traded in multiples of 2 contracts with target 1 being 2 points and target 2 being 4 points.
Stops can be moved to BE or 1 point away from entry after first target is hit (discretionary).

I've attached a screenshot from THU-FRI and hilighted when the patterns occured.
On the first one entry 1 would be at around 1081.50 and entries 2 and 3 around 1082.50 and stop at 1084.25.
The second one is not valid because it happened in a sideways market and neither of the bars made the most recent low.
On the third one entry 1 would be at around 1067.50 and entries 2 and 3 around 1067.25 and stop at 1065.

Hope this helps

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  #279 (permalink)
 shodson 
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I fixed the B/E logic on the 2nd lot, works better now.

Looks good on 6E too, just tested this week though.




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  #280 (permalink)
 Zoethecus 
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Shodson, will you please post the ninjascipt so we can evaluate and perhaps improve upon it?

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