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THREE SET UPS


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THREE SET UPS

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  #811 (permalink)
 cunparis 
Paris, France
 
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shodson View Post
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.

Tradestation allows bracket orders which is why I do most of my prototyping with Tradestation. In the past when an idea had merit I would then code it for Ninjatrader and run it live on Ninja. I tried running live with TS and had nothing but problems. Probably just me cause lots of TS traders automate. I haven't tried to automate anything since January, but I do prototype just for proof of concepts and to see if ideas have merit.

Vast - it's not so simple as avoiding 10:30 every wednesday. The crude day does change around holidays. But if it was just crude inventory it wouldn't be too hard to have a big if statement to return true for the crude days. One can get the historical ones from forex factory. It's all the other news items that are difficult. If I were doing it, I'd type those into excel and then use that to make a big if statement that would return true if the date & time fall in a news time.

for example in excel

2010/07/25 10:30

translates in ninja to:

if date = 20100725 and time >= 10:20 and time <= 10:40 return true;

you can create the ninja code in excel itself. in fact if someone can make an excel with all the news dates I could make the ninja code column and then you can just copy/paste the ninja code into your strategy/indicator.

this is called "lookup functions" in tradestation and I've done a lot of items like this. this is how I used to import my COT data..

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  #812 (permalink)
 vast 
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How about this:
DailyFX - Economic Calendar | DailyFX Forex Events Calendar
Filter for only US news. Oil inventory is classified as Low.
Then choose the xls or the csv format
Bingo, you have the excel sheet

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  #813 (permalink)
 cunparis 
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vast View Post
How about this:
DailyFX - Economic Calendar | DailyFX Forex Events Calendar
Filter for only US news. Oil inventory is classified as Low.
Then choose the xls or the csv format
Bingo, you have the excel sheet

Awesome! Exactly what I needed I think I'll have to do it for each week unless there is a way to see an entire month. I'll work on converting this to ninja code. I can put it into a public static function that others can import into their workspace.

Thanks

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  #814 (permalink)
 vast 
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Looks like it is only 1 week at a time unfortunately
Glad I could help

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  #815 (permalink)
 baruchs 
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Quoting 
If I were doing it, I'd type those into excel and then use that to make a big if statement that would return true if the date & time fall in a news time.

I have done it its very simple. Have an array to hold the news times. On each session change read the excel up to the current day and load into the array the current day news.
Then on each bar check if the time is in between the start - end of news event.

Baruch

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  #816 (permalink)
 shodson 
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vast View Post
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.

I've done that in the past but it's not constant. Like July 8th, both oil and gas reports were on Thurs, probably because of the 4th of July weekend

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  #817 (permalink)
 Jeff Castille 
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Just wanted to say a word about using discretion when trading............

Take a look at the CL open this morning.........after the 5:30 am pst news we got an inside bar which would normally be a great set up.........however you should NOT have taken this trade long as S1 and yesterdays low were right there in your face. As the market opened it jerked up exactly to S1......to the tick and proceeded to break the inside bar to the downside (becoming an outside bar) to retest the recent low.

So, be aware of taking trades right at support and resistance. Inside bars are great but you still have to use discretion.



Side note...........use caution right at the open of the CL pit and the opening of the indexes.

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  #818 (permalink)
 cunparis 
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baruchs View Post
I have done it its very simple. Have an array to hold the news times. On each session change read the excel up to the current day and load into the array the current day news.
Then on each bar check if the time is in between the start - end of news event.

Baruch

Can you share what you've done? I'd hate to re-invent the wheel.

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  #819 (permalink)
 cunparis 
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Jeff Castille View Post
Just wanted to say a word about using discretion when trading............

Take a look at he CL open this morning.........after the 5:30 am pst news we got an inside bar which would normally be a great set up.........however you should NOT have taken this trade long as S! and yesterdays low were right there in your face. As the market opened it jerked up exactly to S1......to the tick and proceeded to break the inside bar to the downside (becoming an outside bar) to retest the recent low.

So, be aware of taking trades right at support and resistance. Inside bars are great but you still have to use discretion.



Side note...........use caution right at the open of the CL pit and the opening of the indexes.

Outstanding post Jeff. This is what makes a trader successful! You've got a great eye for this sort of thing. I do similar things with ES, looking out for "obstacles" in the way of my targets.

This also sums up why I choose to focus on ES. It was not because the IB setup is not good, it's because I couldn't give it the focus required. It's hard to track s/r on multiple markets. I don't track floor pivots but market profile key areas, areas of professional activity (pro bars and/or POT signals, etc.). It's a bit of work but really helps.

I suggest anyone interested in the IB setup to sim it for a while, paying attention to the S/R and potential "obstacles".

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  #820 (permalink)
 shodson 
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Impressed with cunparis' results, I thought I'd go through his journal some more. I started going back to his thread on volume. I've been using BetterVolume for a while now, or at least observing it, but never really put it to use for anything useful yet.

After reading through the thread some and Barry's site again about the descriptions, I decided to see if there was any correlation to IBs and volume bar type. I know the BetterVolume on Ninja is not as good as the one on TS because of the lack historical data on volume hitting the bid vs ask, but I did notice a couple things which I will backtest: IBs seem to work best on volume bars that are not volume climaxes, churns nor low volume bars.

If you think about it this makes sense. If the market is not climaxing an IB is more likely a real pause/equllibrium and the market is waiting to make it's next move. Again, needs more backtesting, but I just found this eyeballing the CL-09 and 6E-09 tonight.

HVC IBs also look promising as they often signal a reversal. We'll see. Churns are still very active and could cause outside bars, killing IB profitability, but seem more prone to successful recovery if you implement a stop and reverse.

Interestingly, low volume bars don't seem that great either. Again, thinking about it, a low volume bar is not so much a time out, rather, game over. Trading has nearly come to a stop. It may take it a while to start it up again. That reboot process can cause price to wiggle around above and below your IB before establishing the next direction. Again, hard to say without testing, but that's my thinking as to why those might not work as well either.

PS - the shVolume indicator is a specialized version of BetterVolume2, with some other goodies added.

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