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THREE SET UPS


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THREE SET UPS

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  #481 (permalink)
 aviat72 
San Francisco Bay Area
 
Experience: Intermediate
Platform: NT,TOS,IB
Trading: ES,CL,TF
 
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jtrade View Post
Good work, shodson, & thanks to Jeff for another great thread ('don't think I posted to this thread yet).

Whilst I am not trading CL, I am looking at adding these entries to FDAX during the European morning. FDAX and CL are quite similar in their trading characteristics, with great potential for profit and loss. Imho, there simply has to be the possibility of catching the bigger swings to keep the RR acceptable : the odd 100+ tick trade is invaluable in this regard. My present conclusion is that one needs to trade 4 contracts minimum (I know, I know...) : "buy your risk" with 2 off at +8 / whatever, another off at +16 for you guys, +21 to +34 for FDAX, c4 hold for bigger swing / technical exit.

I'm going to run this in SIM from Monday.

Use QM to reduce your bet size if leverage becomes an issue. It is not as liquid so there is a greater chance of slippage. However if you trading for 20 CL ticks or more then it is a better option than CL if you are concerned about leverage.

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  #482 (permalink)
 jtrade 
near Amsterdam
 
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The trouble with QM is that it trades in 0.25 increments... with smaller targets, smaller tick increment is preferable imho.

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  #483 (permalink)
 Michael.H 
CA
 
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I am not really fully following this, since i don't use candlestick patterns, but instead of entering as a market order once it breaks low/high of the previous inside bar, enter one as a stop market order, then use limit orders below to get price improvement....

Trading is an art, and trade management is important.. By doing this, you'll have greater odds of hitting your targets since your average price is lower, your risk is reduced....

You need to do the statistics to find out how many point of heat you take on average per trade.. if its 5 ticks, then enter one as market, then put limit orders 3+ points and below to get price improvement...

I still think that there are better methods to trade in terms of risk/reward, but this is your project, and everyone needs to find their own method.. Good luck, hope this helps.

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  #484 (permalink)
 gtichauer 
Argentina
 
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shodson View Post
Well, today confirmed my biggest fear with the IBs: risking 2 cars at 20-30 each to make +8 +16 requires too high of a win rate than I may want to stomach. So, a couple of things

1) I'm only going to trade one car, not two
2) I'm going to trade targets more proportional to my risks, hopefully not at the peril of my win rate and profit factor

I did some more testing tonight, just trading 1 car, 1 target, 1 stop, and not moving any stops to breakeven, just letting it fly in the wind. I tested CL-07 because I don't have recent data on this laptop, but here are my results for +8, +16, +24 and +32. +24 worked best.

I've also started coding for backtesting
- target ATR
- target the size of the IB so risk=reward
- target (ATR+IB size) / 2
- different strategies for moving stops at certain points of profit
- only trade with-trend or counter-trend
- examine when IB size < 1/2 of ATR, these are points of extreme indecision and seem to produce greater win rates, perhaps trade those with larger positions
- only take IBs inside of some set of std dev-based bands (Keltner, Bollinger) and not if they are outside of the bands. or, if outside, only trade an IB move that is a mean reverting back into the bands

Lots to do...

Hey shodson why don't u include NR as a filter.....NR4 or NR7....this should offer great risk reward even if using fixed targets.....but I believe the best way to use this in the long run is to use R multiples with a good "b/e trade" management plan....

GT
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  #485 (permalink)
 gabga100 
New York
 
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private double today = 0;
private double DaysNR = 1 ;
private double NRMAX =7;
private bool Tradetoday = true ;



// This goes in OnBarUpdate()


if ( CurrentBar > (int)Math.Ceiling(390/ (double) BarsPeriod.Value)*15) // Ensures that enough daily bars are loaded as the primary bar is a minutes bar , the session here is from 9.30 to 4
{
if (ToDay(Time[0]) != today ) // Do it only at the beginning of a new day
{

today = ToDay(Time[0]);




DaysNR = 1 ;

Tradetoday= true;


for(int i = 1; i < 10; i++)
{


if (Range(BarsArray[1])[0] < Range(BarsArray[1])[i]) // The BarsArray[1] is a daily bar


{
DaysNR = i+1;
}
else
{
break;
}

}


if ( DaysNR >= NRMAX)
{
Tradetoday = false;
}
}

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  #486 (permalink)
 shodson 
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  #487 (permalink)
 Jeff Castille 
Northern California
 
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shodson View Post

Please see post #473 to see how you could have improved these results.

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  #488 (permalink)
 Jeff Castille 
Northern California
 
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I'd like to take a look a each of the three set ups individually.

First........we got and outside bar...........this trade was a winner........unfortunately for me........I closed the trade making me a loser on that trade.

This trade had a huge amount of risk.....however, had we traded it the way that I've suggested it was a winner.....and a big winner at that......depending on your money management.

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  #489 (permalink)
 Jeff Castille 
Northern California
 
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Second trade on Friday......inside bar.......super trade........this set up launched almost a 100 tick move.

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  #490 (permalink)
 Jeff Castille 
Northern California
 
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Third trade..........LOSER. However........on inside bars I employ a stop and reverse and this minimized the damage of the loss.

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