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THREE SET UPS


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THREE SET UPS

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  #841 (permalink)
 Jeff Castille 
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shodson View Post
I only tested CL-09 but the NR4 filter looks promising, especially those of low volume (according to BetterVolume)



I also want to test more relative to Keltners and only taking a mean reversion trade or a continuation trade if an IB touches outside a Keltner channel.


Hey Scott,

Great work!!

I was wondering if your testing was conducted during RTH?

Jeff

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  #842 (permalink)
 shodson 
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Jeff Castille View Post
Hey Scott,

Great work!!

I was wondering if your testing was conducted during RTH?

Jeff

Yes only RTH and avoid trades during lunch (9am-10am Pacific). No news filters.

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  #843 (permalink)
 Jeff Castille 
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Hey Scott,

One more question.........on your backtest.......what constitues a winner?

My backtesting shows a higher win percentage.......I'm guessing that the diference might be the money management.

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  #844 (permalink)
 shodson 
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Jeff Castille View Post
Hey Scott,

One more question.........on your backtest.......what constitues a winner?

My backtesting shows a higher win percentage.......I'm guessing that the diference might be the money management.

Your targets are usually smaller than mine, I'm targeting the bar size so my risk/reward = 1.0.

r = High - Low (the size or range of the IB)
stop loss = -r (other side of IB)
profit target = m * r, where m=1


Now below I've tested different values of m for CL-03 through CL-09 (most of 2010) to get the avg win / avg loss over 100%, 1.5 looks good-ish, at least my expectancy exceeds my risk, but my win rates are hovering around 50%. Some sort of stop adjustment or trailing stop would help but for this test I don't adjust the stops no matter how much profit is achieved.

It's interesting to note that in testing different multiples the bigger it got the worse it works, though we often see 100+ tick moves in CL. This just confirms that IBs rarely are the beginnings of meaningful moves, rather usually a bridge between moves (pauses).

RTH (6:00am - 11:30am Pacific)
No lunch trades (9am-10am Pacific)
No news filters
IBs that are NR4 and have BetterVolume's "Normal Volume"

(I said in a previous post I was testing "Low Volume" but that was inaccurate, I tested "Normal Volume" which is usually low volume, but low volume is usually lower and occur much less frequently)



It seems there's a sweet spot between 1.0 and 2.0, but maybe less than 1.0 (what you do Jeff, but with discretion) is worth looking at. That's next...

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  #845 (permalink)
 vast 
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Shodson, what is the new filter you are using? Is this tied in with the post a few pages ago about the HVC bars? Better volume?
Thanks for your work.
I think another filter could be using the DM(14) as well. Jeff mentioned this at one stage. I have noticed that it will help with those IB's that fail. If we are in a trending down day and an IB forms and the 1st trade is a long, look at the DM(14) it will usually be telling you a short will only work. Just an observation.
Regards

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  #846 (permalink)
 shodson 
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vast View Post
Shodson, what is the new filter you are using? Is this tied in with the post a few pages ago about the HVC bars? Better volume?
Thanks for your work.
I think another filter could be using the DM(14) as well. Jeff mentioned this at one stage. I have noticed that it will help with those IB's that fail. If we are in a trending down day and an IB forms and the 1st trade is a long, look at the DM(14) it will usually be telling you a short will only work. Just an observation.
Regards

How so? So if I have a DM up and red is above blue only take shorts? I've looked at that as a reference on a 60 min chart but trading the 15min chart. Also, ADX must be rising, so primarily the IBs are pauses and we're looking for continuation trades if using the DM in this way. I haven't tested it but just eyeballing looks good but the eyes deceive

Is that how you recommend using DM, or do you recommend some other way?

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  #847 (permalink)
 Jeff Castille 
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Yes, I believe that the DM can be very useful.

I've attached a chart with my DM experiments. I am not making these public at this time but anyone with coding skills can accomplish this.

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  #848 (permalink)
 cory 
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Jeff Castille View Post
Hey Shodson,

I wanted to take alook at your shVolume indicator but.........I searched both the regular downloads and the elite downloads and come up with nothing.

Could you direct me the this indicators location?

Thanks, Jeff

it looks the same as better volume indicator, select lowbar and lowchurnbar

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  #849 (permalink)
 vast 
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shodson View Post
How so?

Hope this makes sense

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  #850 (permalink)
 Jeff Castille 
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Excellent observations!!

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