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THREE SET UPS
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THREE SET UPS

  #301 (permalink)
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shodson View Post
How far in front of and after a news event do you wait before trading again? What if an inside bar formed inside of the news window, ignore it right? Or you would take it and you just avoid entering trades during the news window, but don't necessarily avoid their candles, right?

If news is coming out at 7:00 AM......I don't trade from 6:45-7:15. If you happen to be in a winner and your protective stop is at b/e +1 then you may choose to let it ride.

If a signal bar is generated from 7:00-7:15 (15 min chart) I will act upon it on bar close. This is NOT typical though......usually what happens is.......there is an over reaction to the news creating a very large bar......after the over reaction there is a pause......this often creates an inside bar......so in reality the next set up would occur at 7:30 in this example.

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  #302 (permalink)
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Zoethecus View Post
As a discretionary trader, that easy. You simply don't trade around news, but I wouldn't believe any discretionary (as opposed to mathematical) backtesting.

For an ATS, code a parameter to carve out news time or simply use a button indicator. Super easy.

I believe that Shodson is working on a way to "carve out news time".......I see that Roonius has "the button" on his website.

I've looked at "backtesting" many, many times.......each and every time the losers most ofter occur around news releases.......so.....unless the "backtesting" has accounted for news releases I'm not going to waste my time looking at them.

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  #303 (permalink)
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I'm using NT7...
I've got the Reversal 6 indicator on my 15minute chart but I'm not actively trading the 15min chart.

Is there a way to have an audio alert sound when an inside bar completes it's formation?

Todd

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  #304 (permalink)
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Todd View Post
I'm using NT7...
I've got the Reversal 6 indicator on my 15minute chart but I'm not actively trading the 15min chart.

Is there a way to have an audio alert sound when an inside bar completes it's formation?

Todd

Perhaps a request on the "Create my indicator for free" thread would do the job.

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  #305 (permalink)
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My belated thanks to both Zoe and Cunparis for their quick response to my earlier CL margin requirement post. Here they come my findings:

Interactive Brokers: RTH 9:30 am to 4:00 pm with Intraday margin @2,531/contract
Mirus Futures: Non-RTH 4:15 pm to 5:00 pm and remaining RTH 23.25 hours enjoying Intraday margin @1,000/contract

I will definitely go with Mirus/ZenFire .. smile ..

Beth

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  #306 (permalink)
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Low margin requirements are not an advantage

Are margin requirements really that important - or put in different words, are you trading or gambling?

Let us take a specific example: An account with USD 20,000. Percent profitable 60% with a avg.win/avg.loss ratio of 1. Let us also assume that you trade the 5 min chart, and that the average win or loss would be 3 times the average true range of the 5 min chart.

Which size should you bet when using the Kelly criterion?

The Kelly formula suggests that you bet 2 x 60% - 1 = 20% to obtain the optimal growth rate for the above conditions. However this approach has a relatively high risk of ruin, so the most aggressive betting I can imagine of would be half-Kelly. In this case your bet should be 10% of your account size or USD 2,000. Let me add here that I can not stand psychologically such a large bet size and personally opt for limiting my bet size to 3% of my account. With half-Kelly you can easily experience drawdowns of your account of 60%

Your stop loss would be 3 average true ranges, or approximately 0.50 points for CL during the RTH session. In money this is USD 500 per contract traded. So the half-Kelly approach would allow you to trade 4 contracts of CL.

With Interactive Brokers you would be allowed to trade 8 contracts, with Mirus Futures 20 contracts, but does this really matter? If you are trading more aggressively than half Kelly I would bet at least half Kelly that you will blow your account.



wgreenie View Post
My belated thanks to both Zoe and Cunparis for their quick response to my earlier CL margin requirement post. Here they come my findings:

Interactive Brokers: RTH 9:30 am to 4:00 pm with Intraday margin @2,531/contract
Mirus Futures: Non-RTH 4:15 pm to 5:00 pm and remaining RTH 23.25 hours enjoying Intraday margin @1,000/contract

I will definitely go with Mirus/ZenFire .. smile ..

Beth


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  #307 (permalink)
Trade with the flow
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Fat Tails View Post
Are margin requirements really that important - or put in different words, are you trading or gambling?

I totally agree. I've been in a trade before and calculated my required margin to make sure I was ok and I can tell you it always occurs when I'm in a losing trade that I shouldn't be in!

Margin requirements should not be a factor. When I started out I wanted to trade the maximum size possible. Then I realized how foolish that is. Now I risk much less than 1% of my account because I want to build up a track record of consistent profitability before increasing size. In fact just this week I decided to drop from 2 ES contracts to 1, and 2 CL to 1. I want consistent results and then I'll add a second and a third, etc. This is what I did with my swing trading and I'm up to 4.

The risk of ruin is high in this game. 10 losers in a row do happen. If one risks more than 2% then that's 20% drawdown. If that happens a couple times then the chances of the trader getting his money back is really slim..

That said, Mirus is excellent if one trades futures only. IB's commissions are slightly cheaper if you don't need static DOM and with IB you can easily move your money between currencies. so each has advantages. I use both to separate daytrading & swing trading.

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  #308 (permalink)
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Jeff Castille View Post
I believe that Shodson is working on a way to "carve out news time".......I see that Roonius has "the button" on his website.

I've looked at "backtesting" many, many times.......each and every time the losers most ofter occur around news releases.......so.....unless the "backtesting" has accounted for news releases I'm not going to waste my time looking at them.

This doesn't work for backtesting, but this easier way works for live trading: specify a string of times you want to avoid trading as a parameter.
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How it would look on yesterday's chart
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  #309 (permalink)
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Inside bar didn't do so well today.

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I ended up -$215 on crude. But was 3/3 on ES.

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  #310 (permalink)
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3 1-contract trades based on 2 Inside Bar set-ups. $80 before commission.

Beth

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THREE SET UPS-cl-08-10-6_29_2010-15-min-am.jpg  

Last edited by wgreenie; June 29th, 2010 at 06:51 PM. Reason: Fixed typo on the chart
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