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THREE SET UPS
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THREE SET UPS

  #281 (permalink)
Elite Member
Lagos, Nigeria
 
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lolu's Avatar
 
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Some HITs @ 6E on 3SETUPS

Took a quick SHORT @ London Open and another one much later in the session.

Lolu

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THREE SET UPS-3setups6e27062010_0845am.png   THREE SET UPS-3setups6e27062010_1145am.png  
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  #282 (permalink)
Trade with the flow
Paris, France
 
Futures Experience: Advanced
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Finally got reversal bar tested. This is a bit more discretionary than the others. I used wick > 1/2 the body (Jeff said approximately 2/3).

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that was 2.5 years. here is last 6 months:

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only 60 trades so not really statistically sound. Here's the last target (250) on a 3 year test:

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My conclusion:

- inside bar is sound with nearly linear equity curve.
- outside bar is not positive
- reversal bar does very well for the last 6 months but prior to that was not linear

The challenge in all this is the targets & stops. Using fixed targets that are independent of volatility is not optimal. But tying targets to volatility is not easy either.

One more point: for the inside bar the best value for max stop loss is 31 ticks. That's a risk of $310. Using 1% equity at risk one would need a $31k account to trade it. 2% would be half that - $15k. Also keep in mind the maximum drawdown historically (around 3-4k for the inside bar). If your account went from 15k down to 11k would you keep trading it?? most would not. And that's the paradox of automated system trading. So in other words - if you trade inside bar - be careful. Track your performance closely. And manage your risk wisely.

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  #283 (permalink)
Trade with the flow
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One more, I tested the inside bar code with Euro. It tested breakeven during the crude trading hours.

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  #284 (permalink)
 Vendor: www.ezcolortrading.com 
Cambridge, Ontario
 
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Sorry for a newbie question on CL. Suggested trading time between 9:00 am and 12:00 noon. Will the first half hour 9:00 am and 9:30 am falls into overnight session and needs enough funds for the overnight margin requirement? (Interactive Brokers told me RTH 9:30 am to 4:00 pm)

Thank you. Have a Successful week.

Beth

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  #285 (permalink)
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wgreenie View Post
Sorry for a newbie question on CL. Suggested trading time between 9:00 am and 12:00 noon. Will the first half hour 9:00 am and 9:30 am falls into overnight session and needs enough funds for the overnight margin requirement? (Interactive Brokers told me RTH 9:30 am to 4:00 pm)

Thank you. Have a Successful week.

Beth

Listen to your broker--each one has different margin requirements.

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  #286 (permalink)
Trade with the flow
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wgreenie View Post
Sorry for a newbie question on CL. Suggested trading time between 9:00 am and 12:00 noon. Will the first half hour 9:00 am and 9:30 am falls into overnight session and needs enough funds for the overnight margin requirement? (Interactive Brokers told me RTH 9:30 am to 4:00 pm)

Thank you. Have a Successful week.

Beth

I do not believe so because 9am is the pit session so it's RTH for crude.

If you don't have the margin I wouldn't touch crude. As I said in a previous email, you need at least 15k to trade it and preferably 30k. if you ask questions about margin then that raises a red flag with me.

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  #287 (permalink)
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I figured out a way to trade this strategy using bars forming at different times other than the top of the hour. Rather than viewing 15-minute charts set to different times, as Id originally proposed earlier in the thread, I created a custom indicator for use on a 1-minute chart.

The indicator draws red lines showing the high and low of the preceding 15 bars, and green lines showing the high and low of the 15 bars before that. The result is a rolling glimpse of the range of the two prior 15 minute periods. The relative positions of the green and red lines will then tell you whether you're currently in an inside bar or outside bar situation. (Haven't figured out a way to use this indicator to identify reversal bars.)

Basic parameters are as follows:

1. If both red lines are in between the two green lines (or the same as the green lines, if thats the way youd define inside bars on a standard chart), you're in an inside bar situation. In other words, upper red <= upper green, and lower red >= lower green.

2. If both green lines are in between the two red lines, you're in an outside bar situation. In other words, upper red > upper green, lower red < lower green.

The indicator was created on thinkorswim (my primary trading platform).

I just reviewed the results from the last week focusing solely on inside bar setups. This method generates about 2-3 more trades per day on average than a standard 15-minute chart. Also in some cases, like this morning, this indicator will identify the same trade that also appears on a standard 15-minute chart but will get you in a bit earlier. Like this morning in the 10:15 EST bar, a standard chart triggered a long entry at 78.09; I got an entry signal about five minutes earlier at 77.99. Further testing would be needed to determine if these setups are as reliably profitable as those using standard charts however.

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  #288 (permalink)
 Vendor: www.probabletrades.com 
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Went live with the strat this morning and noticed it didn't fire on 2 inside bar setups, both winners. The shading wasn't right either.

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Then I remembered the old Time[0] vs. DateTime.Now issue so I fixed that and restarted. This was my remedy: create a Now attribute and use that instead of checking Historical all over the place. See the bottom of this code snippet:


 
Code
        protected override void OnBarUpdate()
        {
            try
            {
                if (TimeToTrade)
                {
                    ShadeBackground();
                    
                    if (NearNews || LunchTime)
                        _setup = SetupType.None;
                    else
                    {
                        if (Flat)
                            LookForTrade();
                            
                        if (!Flat)
                            ManageTrade();
                    }
                }
                else
                    ExitAllPositions();
            }
            catch (Exception ex)
            {
                Print(Now.ToString() + ":::" + ex.Message + "\r\n" +  ex.StackTrace);    
            }
        }

        private bool NearNews 
        {
            get
            {
                return NearTime(DayOfWeek.Wednesday, 730, 15)        //  Oil inventories
                    || NearTime(DayOfWeek.Thursday, 730, 15);        //  Natural gas inventories
            }
        }
        
        private bool LunchTime { get { return ToTime(Now) > 90000  && ToTime(Now) <= 100000; } }
            
        private bool NearTime(DayOfWeek day, int time, int offset)
        {
            if (time > 0
                    && Now.DayOfWeek == day
                    && ToTime(Now) > (time-offset) * 100
                    && ToTime(Now) <= (time+offset) * 100)
                
                return true;
            
            return false;
        }

        private DateTime Now 
        {
            get
            {
                if (Historical)
                    return Time[0];
                else
                    return DateTime.Now;
            }
        }

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  #289 (permalink)
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cunparis View Post
One more, I tested the inside bar code with Euro. It tested breakeven during the crude trading hours.

I think trading EUR/USD is dead after lunch, I tested 6E 2:00 AM to 1:00 pm Eastern time (23:00 - 10:00 Pacific time) with decent results.

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  #290 (permalink)
 Vendor: www.ezcolortrading.com 
Cambridge, Ontario
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Zen-Fire
Favorite Futures: 6E
 
Posts: 1,773 since Dec 2009
Thanks: 1,258 given, 1,196 received


I sim-traded my Inside Bar Short and Long strategies this morning (since 9:00 am). When a Long Stop was filled, the pending Short Stop should be cancelled automatically as NJ does not allow position on both Long and Short concurrently (noticed the first one was not and I had to cancel it manually). Here it comes a quick recap:

1-contract Trade (Note to Cunparis: Don't worry as I will only do 1-contract trades as a start. I have enough funds in my account.)
PT/SL: 12 and 25 respectively (Be prepared to step in to adjust SL when trade is not closed upon completion of a 15-minute bar.)
No of Inside Bar Trades: 2 Long and both had their PTs filled .. smile ..

Note on Slippage: I had the same strategies running on a laptop with IB as the broker (both had their PTs hit as well). First Long trade experienced a 2-tick slippage.

I was amazed when the strategies were extremely swift in having the Long/Short stop orders waiting as soon as the yellow bar was completed! I don't think I can do it so efficiently LOL .. Please take note that the TradingTime indicator will move the High/Low text to the bar after the Yellow bar if you run the ReversalsV6_1text2 one.

Beth

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THREE SET UPS-cl-inside-bar-strategy-sim-trade-log-28-jun.jpg   THREE SET UPS-cl-08-10-6_28_2010-15-min-.jpg  
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