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THREE SET UPS


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THREE SET UPS

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  #801 (permalink)
 vast 
Australia
 
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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

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  #802 (permalink)
 shodson 
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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, 58 views)
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  #803 (permalink)
 shodson 
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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.


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  #804 (permalink)
 cunparis 
Paris, France
 
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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.

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  #805 (permalink)
 shodson 
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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.

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  #806 (permalink)
 shodson 
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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.

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  #807 (permalink)
 cunparis 
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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.

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  #808 (permalink)
 cunparis 
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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.

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  #809 (permalink)
 shodson 
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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.

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  #810 (permalink)
 vast 
Australia
 
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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

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