THREE SET UPS - Trading Journals | futures io social day trading
futures io futures trading


THREE SET UPS
Updated: Views / Replies:155,514 / 1,073
Created: by Jeff Castille Attachments:243

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 243  
 
Thread Tools Search this Thread
 

THREE SET UPS

  #801 (permalink)
Elite Member
Australia
 
Futures Experience: Intermediate
Platform: Ninja
 
vast's Avatar
 
Posts: 167 since Jun 2009
Thanks: 154 given, 59 received

Thanks Shodson.
Is there a way to make the strat set the stop based on the trigger bar?
I tried to do it, but could only use a set number of ticks.
I see a few of your trades had stops that were larger than that would have been if you had taken the trade manually.
I find the strat thing rather frustrating as it it seems very difficult to code such things.
Regards

Reply With Quote
 
  #802 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
Favorite Futures: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,860 since Jun 2009
Thanks: 480 given, 3,255 received


shodson View Post
IBs
CL 15min, enter on 1-range bars
Measure the size of the IB
Take first breakout
Target = IB size
Stop loss = IB size
Risk/Reward = 1/1
Avoid lunch
No news filters
See attached spreadsheet, CL-03 through CL-08, one sheet for each contract

Trade accordingly.

Sorry, I realized a bug in the algo, the stop losses were too large. I fixed and re-tested. Got better results. Updated the spreadsheet attached.

Attached Files
Register to download File Type: xlsx CL-testing-target-IB-size.xlsx (18.3 KB, 53 views)
Reply With Quote
 
  #803 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
Favorite Futures: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,860 since Jun 2009
Thanks: 480 given, 3,255 received



vast View Post
Thanks Shodson.
I see a few of your trades had stops that were larger than that would have been if you had taken the trade manually.

That was a bug that I fixed, check out the same chart with the fixed strat.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
 
  #804 (permalink)
Trade with the flow
Paris, France
 
Futures Experience: Advanced
Platform: Market Delta & Ninjatrader
Favorite Futures: ES
 
cunparis's Avatar
 
Posts: 2,563 since Jun 2009
Thanks: 1,157 given, 2,032 received


shodson View Post
Sorry, I realized a bug in the algo, the stop losses were too large. I fixed and re-tested. Got better results. Updated the spreadsheet attached.

Good work. A 1:1 ratio would make me a lot more confortable. Unfortunately I suspect it might make less than a 15 tick target. I'll try to run the test on my strategy to see if I get the same results. Tradestation has continuous contracts so I can run it on the past 3 years.

Do you think slippage will be an issue?

We can see that recent months have done better than the first ones.

Have you tried making a continuous contract? You can export your data for each month, rename it CL ##-##.txt and then re-import it. Once you have made it you can then run one test for the 6 months.

Reply With Quote
 
  #805 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
Favorite Futures: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,860 since Jun 2009
Thanks: 480 given, 3,255 received


Jeff Castille View Post
Hey Shodson,

Nice work!!

Are you going to be able to add a news filter?

Also, are you going to be able to test different money management strategies?

Thanks, Jeff

The backtesting news DB will take a lot of work so I may not have it ready any time soon.

I plan to test more target scenarios and different money mgt strategies though.

See those orange bars? Those are IBs where IB size < ATR/2, which seem to often make big moves, often twice the size of IB bar size. It's in my backtesting Inbox. They don't happen very often during RTH though.

The double IBs are also very powerful.

Reply With Quote
The following user says Thank You to shodson for this post:
 
  #806 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
Favorite Futures: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,860 since Jun 2009
Thanks: 480 given, 3,255 received


cunparis View Post
Good work. A 1:1 ratio would make me a lot more confortable. Unfortunately I suspect it might make less than a 15 tick target. I'll try to run the test on my strategy to see if I get the same results. Tradestation has continuous contracts so I can run it on the past 3 years.

Do you think slippage will be an issue?

We can see that recent months have done better than the first ones.

Have you tried making a continuous contract? You can export your data for each month, rename it CL ##-##.txt and then re-import it. Once you have made it you can then run one test for the 6 months.

Slippage: Not so much. Entering on a 1-range bar can give you up to 3 ticks of slippage already so I think it's baked in.

Continuous: I have a CL-##-## with minute data but I have a hard time merging range/tick data into it, so it's no good for testing with my 1-range bar entries. That's why these test take me a while.

Reply With Quote
 
  #807 (permalink)
Trade with the flow
Paris, France
 
Futures Experience: Advanced
Platform: Market Delta & Ninjatrader
Favorite Futures: ES
 
cunparis's Avatar
 
Posts: 2,563 since Jun 2009
Thanks: 1,157 given, 2,032 received


shodson View Post
Slippage: Not so much. Entering on a 1-range bar can give you up to 3 ticks of slippage already so I think it's baked in.

Continuous: I have a CL-##-## with minute data but I have a hard time merging range/tick data into it, so it's no good for testing with my 1-range bar entries. That's why these test take me a while.

I used to make continuous tick data and I didn't have any difficulties. I didn't adjust for the rollover since I didn't hold crude overnight.

If you want I could try exporting CL tick data for 6 months with tradestation. I can export minute but I am not sure about tick.

For your entry - when I traded this I used a stop limit order so that I didn't have slippage. Often on the dax it'll pass me up but it always pulls back a few ticks and I get in. So that limit order ends up saving me a few ticks quite a lot. Getting an extra tick sounds like a little but it will add a huge amount to your p/l. In ES my average trade last month was just 1 pt. So every tick counts.

Reply With Quote
The following user says Thank You to cunparis for this post:
 
  #808 (permalink)
Trade with the flow
Paris, France
 
Futures Experience: Advanced
Platform: Market Delta & Ninjatrader
Favorite Futures: ES
 
cunparis's Avatar
 
Posts: 2,563 since Jun 2009
Thanks: 1,157 given, 2,032 received


shodson View Post
Slippage: Not so much. Entering on a 1-range bar can give you up to 3 ticks of slippage already so I think it's baked in.

Continuous: I have a CL-##-## with minute data but I have a hard time merging range/tick data into it, so it's no good for testing with my 1-range bar entries. That's why these test take me a while.

One more idea. It's complicated but with ninja you can use a range bar for timing your entries and you can put in a stop limit order when you're close to one extreme of the IB. If you move back to the other side (across halfway pt) you can cancel the stop-limit and place one on the other side. Or if you don't use live until canceled you just set it when you need it (when you're close to the breakout pt). I suspect stop limit will increase your profits.

Reply With Quote
 
  #809 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
Favorite Futures: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,860 since Jun 2009
Thanks: 480 given, 3,255 received


cunparis View Post
One more idea. It's complicated but with ninja you can use a range bar for timing your entries and you can put in a stop limit order when you're close to one extreme of the IB. If you move back to the other side (across halfway pt) you can cancel the stop-limit and place one on the other side. Or if you don't use live until canceled you just set it when you need it (when you're close to the breakout pt). I suspect stop limit will increase your profits.

Yeah, I've thought of that before, but like you said it's complicated to code, but do-able. I think the stop limit orders are a good idea. I wish Ninja would just allow us to place multiple stop limit orders, like an OCO, in an ATS, would make things easier.

Reply With Quote
 
  #810 (permalink)
Elite Member
Australia
 
Futures Experience: Intermediate
Platform: Ninja
 
vast's Avatar
 
Posts: 167 since Jun 2009
Thanks: 154 given, 59 received


Thanks again Shodsun.
How did you get that code to work?
I couldn't get it worked out. Well done.
Any chance of seeing the code for the strat?
I am sure there must a way of putting in a time filter for news. The main one would be inventory news. Wed and Thursday. Oil @ 10:30 EST on Wed and Gas on Thursday @ 10:30.
These would be the main ones. Along with FOMC...
They are regular and would help with the testing

Reply With Quote

Reply



futures io > > > THREE SET UPS

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
UPS opinions? Poocher Tech Support 45 July 4th, 2017 12:28 PM
Very basic scalper set up Xzap Traders Hideout 25 November 18th, 2013 09:39 AM
ES indicators, set ups exits kctpac Emini Index Futures Trading 18 December 16th, 2011 03:07 PM
Home Depot Earnings Beat Forecasts, Ups Dividend Quick Summary News and Current Events 0 February 22nd, 2011 08:00 AM
What is the perfect set up? h4cked Reviews of Brokers and Data Feeds 8 December 11th, 2010 03:54 PM


All times are GMT -4. The time now is 02:29 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-17 in 0.18 seconds with 20 queries on phoenix via your IP 54.82.56.95