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THREE SET UPS


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THREE SET UPS

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  #531 (permalink)
 cunparis 
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I settled for 8 because that 15min candle was looking a bit bearish to me and both crude & ES were "stuck" in a very tight range.


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  #532 (permalink)
 shodson 
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cunparis View Post
I settled for 8 because that 15min candle was looking a bit bearish to me and both crude & ES were "stuck" in a very tight range.

cunparis, you CHICKEN! +24


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  #533 (permalink)
 cunparis 
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shodson View Post
cunparis, you CHICKEN! +24

Good job. Was that real money? Do you trail a stop?

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  #534 (permalink)
 Fat Tails 
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Hi cunparis,

I think that exiting positions can be improved, when looking at support and resistance. After the double inside bar,

- first ignore any short setup, as price action was outside the Keltner Channel (see concept of breakout preference)
- 1st exit 4 ticks below midrange of red expansion bar (exit at 75.08)
- 2nd exit 4 ticks below multiple resistance, prior month close and prior month mid (exit at 75.31)

I think to be profitable, it takes

- low risk entries (inside bars are low risk entries, as volatiliy is low)
- well chosen targets for exits (not fixed size, but adapted to chart)

chart attached...

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  #535 (permalink)
 shodson 
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cunparis View Post
Good job. Was that real money? Do you trail a stop?

It's using real money, if you consider US Dollars real money

I'm currently not trailing or adjusting stops, just going for static targets. This backtests well but I want to improve it to base targets on ATR and/or IB size as market volatility changes over time. That's next on my list. Then, I'll add some conservative trailing stop formulas, similar to what I've done before in other strats. I'm thinking a progressive, perhaps exponential-like formula that will give it plenty of room to breath while exponentially reducing my risk as we get closer to the target.

if SL = my original stop loss amount (in ticks)

% target level reached ==> updated stop level (in ticks)
---------------------------------------------------------------------------
50% ==> SL * 0.8
75% ==> SL * 0.5
85% ==> SL * 0.25
90% ==> break-even
95% ==> SL * -0.25 (+1/4 of my target size)
99% ==> SL * -0.50 (+1/2 of my target size)

So, if I was targeting +24 and my stop loss was, say -30 ticks, and price moved straight up my loss levels would be

Profit ==> New stop loss level
------------------------------------------------------
0 ==> -30
+12 ==> -24
+18 ==> -15
+20 ==> -8
+22 ==> 0
+23 ==> + 6
+24 ==> +12 (if it touches the +24 target but doesn't fill me, have had that happen to me before)

This still keeps the stop pretty far away for most of the trade, but as we tick closer and closer to the target I tighten up profit more aggressively to not let a near complete winner turn into a loser.

For now, I'll roll with targeting +24.

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  #536 (permalink)
 shodson 
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Looks like I just got short, monitoring my trades now via email alerts since I'm not near my trading computer. Looks like a decent risk/reward, just a little more than 1.0. A target with ATR mixed into the calculation would have given me a larger target.



I love .NET rounding problems, I think Ninjatrader should have used decimal instead of double for their pricing data. The guys in Office Space are probably keeping the other 0.00000000009 ticks for themselves

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  #537 (permalink)
 shodson 
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Since it appears I'm not getting my OnPositionUpdate() emails (need to fix that) I'm monitoring it with ToS and my acct balance at Mirus, it looks like it just hit my target and turned around. Maybe I should accelerate getting to that progressive stop loss code because if it did a touch-and-turn I'd be really ticked!



OK no more posts today until later tonight, I gotta get some work done!

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  #538 (permalink)
 shodson 
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Fat Tails View Post
Hi cunparis,

I think that exiting positions can be improved, when looking at support and resistance. After the double inside bar,

- first ignore any short setup, as price action was outside the Keltner Channel (see concept of breakout preference)
- 1st exit 4 ticks below midrange of red expansion bar (exit at 75.08)
- 2nd exit 4 ticks below multiple resistance, prior month close and prior month mid (exit at 75.31)

I think to be profitable, it takes

- low risk entries (inside bars are low risk entries, as volatiliy is low)
- well chosen targets for exits (not fixed size, but adapted to chart)

chart attached...

What Keltner settings are you using? I threw up a Keltner on my charts over the weekend and couldn't find any or at least very few IBs outisde of a Keltner channel. When you say an IB is outside of a Keltner, are you referring to
a) the entirety of the bar is floating outside of the channel?
b) the close of the bar is outside of the channel?
c) most of the bar's prices are outside the channel?
d) it's high or low touches outside the channel?

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  #539 (permalink)
 Fat Tails 
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shodson View Post
What Keltner settings are you using? I threw up a Keltner on my charts over the weekend and couldn't find any or at least very few IBs outisde of a Keltner channel. When you say an IB is outside of a Keltner, are you referring to
a) the entirety of the bar is floating outside of the channel?
b) the close of the bar is outside of the channel?
c) most of the bar's prices are outside the channel?
d) it's high or low touches outside the channel?

My Keltner settings are (33,3). I smooth them with a period 3 , just for the pleasure of the eye , so maybe it is more something like (31,3).

I do not mind where the inside bar is exactly located, but I want to see a complete opera, which confirms that the bears are exhausted and that the bulls have recovered.

(1) Accelerated downward move culminating in a climax bar (wave 3 type price action), (2) stopping or churning volume inside or just below that wide ranging bar, but above strong resistance (3) establishment of a trading range in the lower half of the climax bar, (4) trendline break on a lower time scale (5) retest of low or bear trap, (6) silence. Enter a position during silence, it is a low risk entry. A narrow range inside bar or several consecutive dojis both mean silence. I trade two dojis in the same way that I trade an inside bar. Then I use a soundfile with church bells to alert me.

S2 is a key support that only breaks on strongly trending days, so I would not have traded a downward breakout of the inside bar, as my preferred breakout direction was clearly up.

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  #540 (permalink)
 Fat Tails 
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shodson View Post
I'm currently not trailing or adjusting stops, just going for static targets. This backtests well but I want to improve it to base targets on ATR and/or IB size as market volatility changes over time. That's next on my list. Then, I'll add some conservative trailing stop formulas, similar to what I've done before in other strats. I'm thinking a progressive, perhaps exponential-like formula that will give it plenty of room to breath while exponentially reducing my risk as we get closer to the target.


Quite similar to the parabolic stop introduced by Welles Wilder.

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