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THREE SET UPS
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Created: by Jeff Castille Attachments:243

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THREE SET UPS

  #41 (permalink)
Elite Member
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Futures Experience: Intermediate
Platform: Ninja Trader
Broker/Data: Amp Futures/ Zen-Fire
Favorite Futures: YM and CL
 
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cunparis View Post
I'm on the fence about having multiple targets. Because that 3rd contract you add will hurt when it gets stopped out. If you determine that you can get more than 16 you could just make your second target 20 or whatever.

I looked at a year ago and I found more stops than I do in the past few weeks. I am not actively trading CL but for ES the past few weeks have been unusually more likely to be trend days and therefore less likely hood of a stop out.

I'll stay tuned to track your progress. If someone is interested, it'd be interesting to write a back test for this. Use a 1 minute bar to see inside the bars. I'm guessing it'd be profitable recently but not over the past year.

Cunparis,

I think everyone reading this thread would be interested in any back testing that you are willing to do. However........the first major criteria should be "TIME OF DAY"

NO trades during lunch in NYC
NO trades 15 min before and after high priority news (this includes natural gas)
NO trades 15 min before the close of the pit.

Trading hours 6-9 am PST and 10-11:15am PST

Each bar type should be looked at separately. Inside bar and outside bar will be the easiest. The reversal bars will be a little more complex......with the volume AND bar configuration.

CL......15 minute chart.......

I'm glad this has piqued your interest......I know we'll all benefit from your contributions.

Jeff


Last edited by Jeff Castille; June 17th, 2010 at 03:34 PM.
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  #42 (permalink)
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shodson View Post
Have you considered using ATR-based targets and stops? As market volatility expands and contracts, perhaps so should your expectations.

Also, instead of going +1 on the runner, try going -50% to give it more room. You'll give up some of your profit on the first car if it reverses you out but you'll still walk away with some profit and you're more likely to catch those bigger moves when they come.

Hey Shodon,

I haven't considered using ATR for targets........just haven't fotten that far yet. I have considered only moving my stop up to -8 instead of +1 thereby insuring at least a breakeven trade. I guess I've been burned in the past and I don't want to see my first target profit disappear to a breakeven trade. I know that this will be difficult for me......but......I know that if we can document the success of a different approach that I'll be happy to switch.

Also, can you demonstrate HOW an ATR strategy would be implemented?

Thanks, Jeff

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  #43 (permalink)
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All righty then......lunch is over and we're back at it......+8+16

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  #44 (permalink)
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Stop and reverse....-16-16........+8+16

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  #45 (permalink)
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Recap

OK.....that's it for me today on CL. I finished with +58 ticks.

The stop out was frustrating because it hit my first target and did not fill me......that's trading. You'll notice that this was an example of the stop and reverse that I'd had spoken of earlier. At this point I only do the stop and reverse thing on failed inside bars.....the rationale being....since we had an inside bar....indicating indecision.....and the market did not move the original direction.....resulting in a stop out.....therefore.....it wants to go the other way. This stop and reverse approach helps take the sting out of a stop out.

Well..........I don't intend on posting all my trades in real time like I did today....but......I wanted to demonstrate exactly what I was doing for everyone to see. No BS....no making crap up after the fact. Trades taken in real time and posted immediately.

So.......I know this approach is far from perfect.....as am I......however, it has been working for me......and I think you can see this for yourself. I would be happy to recieve constructive criticisim......emphasis on the constructive part. That is to say.....if you can see where this approach can be improved.....SHOW ME. Don't just say reversals are scary or you don't like this style....give me some powerful evidence that I can sink my teeth into.

Hope you had an awesome day trading.....I did. Let's see if we can keep it going!!

Jeff

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  #46 (permalink)
Trade with the flow
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Jeff Castille View Post
OK.....that's it for me today on CL. I finished with +58 ticks.

Congrats Jeff on a great day. +58 including a stop out, that's pretty darn good.

have you thought about putting your stop to BE once price goes 8 ticks, whether you're filled or not? I've done that in the past to prevent exactly what happened to you.

Other than that I don't really have any constructive criticism. My only concern is that this didn't work as well in the past. I encourage you to pick a random week from a few months ago and test it. Your stop today was -16 that's not bad. Sometimes these bars are 30+ ticks.

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  #47 (permalink)
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Jeff,

Can you clarify a stop and reverse for me? I thought you look for reversal bars with higher volume than the previous trend bars, but some of your examples you took show lower volume on the reversal bars. So I'm not clear.

Here's my understanding

reversal bar = a reverse direction bar (a down bar in an uptrend for example) where
a) the volume is greater than the previous bar or set of trend bars (clarify?)
b) 2/3 of the bar must be wicks/shadows (small bodies, doji-like)

Is this a correct definition?

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  #48 (permalink)
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cunparis View Post
Congrats Jeff on a great day. +58 including a stop out, that's pretty darn good.

have you thought about putting your stop to BE once price goes 8 ticks, whether you're filled or not? I've done that in the past to prevent exactly what happened to you.

Other than that I don't really have any constructive criticism. My only concern is that this didn't work as well in the past. I encourage you to pick a random week from a few months ago and test it. Your stop today was -16 that's not bad. Sometimes these bars are 30+ ticks.

Thanks Mac.......lol

Yes and yes........yes I've considered moving my stop regardless of if I am filled or not....it's a two edged sword.....as you know often even if my first target is filled my second contract gets stopped at +1......an then goes to my second target....SO....for now I'm adopting the "set it and forget it approach" and see how that works in the long run.

And yes again.......I've tested months and months of this approach.....all good. The set up for the inside and outside bars is so easy to spot even in retrospect that backtesting is easy. I have a feeling that the reversal bars will be tougher........but I am looking forward to any back testing that you choose to do.

Jeff

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  #49 (permalink)
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shodson View Post
Jeff,

Can you clarify a stop and reverse for me? I thought you look for reversal bars with higher volume than the previous trend bars, but some of your examples you took show lower volume on the reversal bars. So I'm not clear.

Here's my understanding

reversal bar = a reverse direction bar (a down bar in an uptrend for example) where
a) the volume is greater than the previous bar or set of trend bars (clarify?)
b) 2/3 of the bar must be wicks/shadows (small bodies, doji-like)

Is this a correct definition?

Hey Shodson,

You are correct on your definition of a reversal bar........however, a stop and reverse has NOTHING to do with a reversal bar. So I think that is where the confusion might have come in.

I justify using the stop and reverse only after a failed inside bar trade. I wouldn't do it on a failed reversal bar or a failed outside bar. Besides......there are not that many failures !! After today.....which included a stop out the winning percentage is at 91.41%. You don't have to deal with this stuff that often......but when you do.......it's nice to take the sting out of a stop out.

Keep in mind that my "official" stats are NOT perfect. When I first started them I was ONLY taking the inside bar trades.......then I added the outside bar trades.....but I had the entries wrong.....they still worked but they work better now......then I added the reversal bars which are extremely powerful. Plus, there is a situation of a double inside bar......I've got rules for that now......but I got burned once on it.....not again. So, dispite the evolution of the statistics we still have OVER 90% win rate ! I think you can see why I am enthusiastic.

It can only get better with strict criteria established for the reversal bars and better money management......but I had to start somewhere......and this is not too bad of a place to be.

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  #50 (permalink)
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Would have worked well for ES today.

Since I trade ES right now I'm more interested in testing it on ES than CL. I just have to decide what the targets should be..

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