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THREE SET UPS
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THREE SET UPS

  #691 (permalink)
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A brief update.

I have been sim trading "inside bar" and "outside bar" setups that I track on a 1-minute chart rather than a 15-minute chart. See post #287 of this thread for further details. I've also made some additional tweaks to the system, as follows:

1. 20-tick max stop. I apply this stop regardless of the size of the preceding bar.

2. 4 or 8 contracts, exit half at 8 ticks, reset stop to -4 ticks on remainder. Thus a "breakeven" trade that hits the first PT and then stops out results in a net gain of 4 ticks per contract.

3. Exit 1/4 of position (1 or 2 contracts) at 20 ticks; hold remainder for longer move, trailing stop manually.

This method has performed reasonably well. I'm getting about a 78% "win" rate, counting breakeven trades as wins, and a positive expectancy of about 8 ticks per trade (after commissions). I'm not convinced that this money management strategy is ideal and continue to experiment with different combinations of targets. Also still trying to decide on a maximum daily loss threshold and daily profit target. So it's a work in progress but early results are encouraging.

I've also been tracking performance based on time of day. Consistent with other people's observations in this thread, I've found noon ET to be the worst hour of the day. The remainder of the afternoon is somewhat better than the noon hour but not as successful as the morning session. Specifically I'm getting an 84% success rate in the morning session, versus 74% in afternoon. On this basis I've tentatively decided to trade only 9 - noon ET.

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  #692 (permalink)
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worldwary View Post
A brief update.

I have been sim trading "inside bar" and "outside bar" setups that I track on a 1-minute chart rather than a 15-minute chart. See post #287 of this thread for further details. I've also made some additional tweaks to the system, as follows:

1. 20-tick max stop. I apply this stop regardless of the size of the preceding bar.

2. 4 or 8 contracts, exit half at 8 ticks, reset stop to -4 ticks on remainder. Thus a "breakeven" trade that hits the first PT and then stops out results in a net gain of 4 ticks per contract.

3. Exit 1/4 of position (1 or 2 contracts) at 20 ticks; hold remainder for longer move, trailing stop manually.

This method has performed reasonably well. I'm getting about a 78% "win" rate, counting breakeven trades as wins, and a positive expectancy of about 8 ticks per trade (after commissions). I'm not convinced that this money management strategy is ideal and continue to experiment with different combinations of targets. Also still trying to decide on a maximum daily loss threshold and daily profit target. So it's a work in progress but early results are encouraging.

I've also been tracking performance based on time of day. Consistent with other people's observations in this thread, I've found noon ET to be the worst hour of the day. The remainder of the afternoon is somewhat better than the noon hour but not as successful as the morning session. Specifically I'm getting an 84% success rate in the morning session, versus 74% in afternoon. On this basis I've tentatively decided to trade only 9 - noon ET.

Hey Worldwary,

Thanks for the "time of day" stats ! I'm getting to the point in the afternoon when I just looking for two trades...one at 10:30 am pst and one at 11:00 am pst (push into the close) and that's it.

Keep us updated on the money management. That is the key.

Jeff


Last edited by Jeff Castille; July 22nd, 2010 at 01:01 AM.
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  #693 (permalink)
Market Wizard
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different approach but same setup


this might give some of you more possibilities about how to handle the trade. it's the same setup, but a few more options for stops and exits.


Background

The idea behind this trade is to find a strong move down, wait for the turn, and then buy the stock to capture a portion of the retrace of the prior move down. You can use this setup on any time scale but you can narrow your potential loss if you use a short time period to exit, like the 1-minute scale.
Methodology

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The figure shows an idealized retrace trade. You can use the 1 or 5-minute scale for this. Price begins trending downward at A with a tall black candle. Candle B has short shadows and the candle opens near where the prior candle closes. Candle C is similar in appearance but that is not important. What is important is that you have at least three consecutive black candles. Many times, more than three candles will form a strong down trend. You do not want to see much overlap between candles and few or no consolidation regions. Those consolidation regions will slow or stop price when it turns.
In this example, candle D ends the downtrend. Candle E forms as a color change (black candle to white). This is the signal candle. It may not mean a trend change but you can use it to prepare. Place an order to buy the stock a penny or two above the high. I show that as point F. Place a stop a penny below the bottom of the candle at E. If the candle is tall then switch to a shorter scale (move from the 5-minute scale to the 1-minute, for example) and place the stop. If no good stop location exists, then place a stop a penny below the mid point of the tall candle’s body.
If you are using the 5-minute scale to find the setup then switch to the 1-minute scale as price approaches the target. The ideal target is at least 50% of the prior down move. That is half the move from the swing high at A to the swing low at D. Other retrace values are 38%, 50%, 62% or even more of the AD move. If price approaches the 38% retrace target then switch to the 1-minute scale for the exit.
To exit the trade once price nears the target, place a stop a penny below the prior candle’s low. Raise the stop as each new candle appears. In this example, the initial stop is at E then the stop location follows each candle higher as price climbs. At candle H, the stop is a penny below candle G’s low. Candle H pierces the stop and takes us out of the trade.


  • Begin with the 5-minute (or 1-minute) chart to identify a strong down trend
  • The ideal trend will have black candles with tall bodies, short shadows, and prices with little or no overlap. This is the AD move in the above figure
  • Look for at least three consecutive black candles
  • When a candle changes color (candle E), from black to white, that is the signal candle. It may mean a trend change
  • Place an order to buy a penny above the signal candle’s high (the price at F)
  • When the order fills, place a stop a penny below the signal candle’s low (the price at E)
  • Compute the exit (target) price as a 38% or 50% retrace of the prior down move (from swing high to the next swing low, that is, a portion of the AD move in the above figure)
  • As price nears the target, move the stop to a penny below the prior candle’s low (a penny below the low price at candle G when H forms, for example)
  • Alternatively, you can place a stop a penny below the prior candle or 2 candles behind as price drops. You need not wait for price to near the target before using the prior candle low as the stop location but you may be stopped out prematurely
  • If a tall candle appears, place a stop one penny below the middle of the body: (open+close)/2 - .01
  • Eventually, price will hit the stop and take you out
Example

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The chart shows an example of the retrace trade. Price drops in a strong trend on the 5-minute chart beginning at candle A and bottoming out at B. A buy order a penny above candle B would get you into the trade during candle D, shown at price C.
Since candle B is so tall, you will want to place a stop closer than a penny below its low. I would split the height in two and place a penny below the mid point. Raise the stop as each new candle appears. Place the stop a penny below the prior candle’s low. The trade remains open on this chart because price has not hit the stop yet.






















a short trade would of course be the opposite.

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  #694 (permalink)
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https://futures.io/elite-circle/4700-how-capture-context-designing-trading-strategies.html#post52065

Has a link to a version of shPickyIB (avPickIB for clarity) which announces an inside bar via a synthesized statement. It has a print statement which show the text it will announce which you can comment out.

We can now program it to give an heads-up 1 or 2 minutes before the bar ends.

Also for an instrument like CL I think we need to give some room in the definition of an inside bar. Today we had a great setup at 11:30AM which ran for 60 ticks from the buy-stop. However the low of the bar was 1 tick below the low of 11:15AM bar. So a 1-2 tick (or perhaps 10% of the size of the previous bar) flexibility in the definition of the IB might help find more opportunities.

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  #695 (permalink)
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Silvester17

The pattern site does not allow hotlinking of images so it will not show up correctly. Could you post the URLs of the main page?

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  #696 (permalink)
Market Wizard
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aviat72 View Post
Silvester17

The pattern site does not allow hotlinking of images so it will not show up correctly. Could you post the URLs of the main page?

here you go:

http://thepatternsite.com/retracel.html

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  #697 (permalink)
Trade with the flow
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My IB trade. I choose to get out at +1 because it didn't hit my target.

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Another view:

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  #698 (permalink)
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https://futures.io/elite-circle/4700-how-capture-context-designing-trading-strategies.html#post52257

A: The indicator attached above has been updated to accept a tolerance limit which allows it to declare a bar as an IB if
(1) Range is smaller than previous AND
(2) Overshoot is limited to user controlled threshold to define fuzziness

B: It will also check for the inside bar condition when most (user controllable between 0.8 to 0.99) of the bar is complete. A heads up is delivered early. Note that it will color the bar then and not wait for it to complete.

Exports a _fuzzyGoodBar series to complement the _goodBar series.

It accepts other rules as originally defined by shodson before declaring it a _fuzzyGoodBar.

Will speak the sound message as long as the IB or the fuzzyIB rules are satisfied independent of the other rules.


Last edited by aviat72; July 23rd, 2010 at 01:38 AM.
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  #699 (permalink)
Trade with the flow
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Two IB trades today. Crude is a bit choppy now and is trading in a range so I'm not trading any more with real money.

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  #700 (permalink)
Trade with the flow
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cunparis View Post
Two IB trades today. Crude is a bit choppy now and is trading in a range so I'm not trading any more with real money.

Not so fast. Crude went to the top of the trading range and when the market is balanced and at the high it's good for a short. So when I saw the IB setup I put a sell stop in but wasn't going to buy at the high.

3/3 for IB trades

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Also note my exit. This is why I believe a good trader with discretion can outperform automated strategies. This is why I haven't put any effort into automating mine. Twice my automated strategy stopped out while I got a winner. Trade management is the key and I think that's why Jeff is so successful. He scales out and has a good eye for when to trade.

I took profit a bit early and then there was a quick burst lower. It pulled back and I waited for a retest. When I decided it wasn't going to make it I bailed on the 2nd contract. Coincidentally at the same price.


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Good weekend everyone.

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