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THREE SET UPS


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THREE SET UPS

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  #871 (permalink)
 jtrade 
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Just added NR7 bars to make it FIVE SET UPS. As I explained before, this is for context only on the M15 chart : I'm entering via an R5 chart with very low risk. FDAX only at the moment, atlhough cunparis has sparked my interest in a bund.

Jeff - I have to thank-you again for this thread : although I do not trade CL nor use the set ups in the simple way you describe (which I think would be riskier with an index future, prone to false breakouts as they are), it has really helped my thought processes and improved my trading.

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  #872 (permalink)
 thatguy 
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jtrade View Post
Just added NR7 bars to make it FIVE SET UPS. As I explained before, this is for context only on the M15 chart : I'm entering via an R5 chart with very low risk. FDAX only at the moment, atlhough cunparis has sparked my interest in a bund.

Jeff - I have to thank-you again for this thread : although I do not trade CL nor use the set ups in the simple way you describe (which I think would be riskier with an index future, prone to false breakouts as they are), it has really helped my thought processes and improved my trading.


Wouldn't a NR7 bar also be a NR4 (also a NR[2-6]) bar which you added as your 4th setup?

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  #873 (permalink)
 jtrade 
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thatguy View Post
Wouldn't a NR7 bar also be a NR4 (also a NR[2-6]) bar which you added as your 4th setup?

All NR7 bars are also NR4s, but not all NR4s are NR7s.

On the other hand, why not make it NR5 and NR8 bars, at least that'd add some Fibonacci hocus pocus ...(I see no reason why 4 & 7 would be more significant, it's just the "received wisdom") !

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  #874 (permalink)
 Fat Tails 
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jtrade View Post
All NR7 bars are also NR4s, but not all NR4s are NR7s.

On the other hand, why not make it NR5 and NR8 bars, at least that'd add some Fibonacci hocus pocus ...(I see no reason why 4 & 7 would be more significant, it's just the "received wisdom") !


You could add NR13 bars, IR9 bars or double outside bar..... no limits to your imagination. The only limit is your bank account.


Hindsight for Inside

What about a hindsight bar, which tells you whether the trade would have been good. I use hindsight bars, and they are quite effective.

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  #875 (permalink)
 jtrade 
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Fat Tails View Post
I use hindsight bars, and they are quite effective.

Please send the code immediately. In return, you may take 10 gold coins from my stash at Gringotts - tell the goblin on Counter Number Two and a Half I said so... and give my regards to Harry P if you see him....

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  #876 (permalink)
 trs3042 
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Fat Tails View Post
You could add NR13 bars, IR9 bars or double outside bar..... no limits to your imagination. The only limit is your bank account.


Hindsight for Inside

What about a hindsight bar, which tells you whether the trade would have been good. I use hindsight bars, and they are quite effective.

That right there was FUNNY!!!

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  #877 (permalink)
 Fat Tails 
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jtrade View Post
Please send the code immediately. In return, you may take 10 gold coins from my stash at Gringotts - tell the goblin on Counter Number Two and a Half I said so... and give my regards to Harry P if you see him....


Hindsight Bars

I keep that code, but it is one of the most powerful tools that I have. I use them for visual backtesting. It for sure does not belong into this thread, but this is how it works:


Step 1

I define a R-Multiple, say 5 and a max. drawdown, say 1 ATR. Then I am looking for all potential entries during the past day that would have generated this R-Multiple. To achieve this the trade (entry at bar close) must hit the target at 5*ATR before it hits the stop-loss at 1*ATR. For ATR I use a period equivalent to 24 hours, so if I take a 15 minute chart, it would be 93 bars for ES.

The hindsight indicator plots all profitable entries during the day.

Step 2

I check these entries against my indicators. That way I learn, which combinations of indicators and which indicator levels provide an edge.

Step 3

I analyze the intraday seasonality by calculating an intraday distribution for all profitable 5R entries that occured during the last year. This helps me to determine the optimum trading times.

Below I have added a chart with the profitable entries of the last 2 days (arrows). The distribution below the price panel shows, at what intraday time you get the highest probability for a 5 R trade!

So, go and laugh about my hindsight bars. I love them. They are quite valuable.

Or did you already know that statistically you get better R-Multiples for ES, when trading the Tokio Open compared to the London Open? And that you should have traded the London Open this morning?



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  #878 (permalink)
 jtrade 
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Fat Tails View Post
Hindsight Bars

So, go and laugh about my hindsight bars. I love them. They are quite valuable.



Please forgive me, dear Fat Tails, for misunderstanding & responding to what I thought was sarcasm in your earlier post. As you may have noticed, I have appreciated many of your posts on this thread and others.

I have reached a point where I don't need to know what time in a 24hr period would be optimal for my intraday trading, simply because I find I can only sustain the maximum focus required for 2-3 hours. I get back from the school run shortly before 0900 CET which is just my good fortune, as that coincides with the opening of the Frankfurt Exchange, when as you know Eurex futures volume typically kicks in. So I trade 0900>1200 CET, come what may (including, of course, staying flat as appropriate). Afternoons are for longer term trades (I'm long XAUUSD from 1264.45 and short USDJPY from 84.95,although I could have as many as 10 open positions, usually not more than 1 - 4), admin, walking the dog, mowing the lawn, etc, etc...

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  #879 (permalink)
 thatguy 
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jtrade View Post
All NR7 bars are also NR4s, but not all NR4s are NR7s.

On the other hand, why not make it NR5 and NR8 bars, at least that'd add some Fibonacci hocus pocus ...(I see no reason why 4 & 7 would be more significant, it's just the "received wisdom") !

I guess the point I was trying to make is that NR7 is not really an additional setup (your 5th) if you are already using NR4 bars. You will not miss any NR7 bars by just using NR4 bars, since all NR7 bars will show up as a NR4 bar anyway. Unless of course you have different trading rules for a NR4 and a NR7 bar.

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  #880 (permalink)
 Fat Tails 
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jtrade View Post


Please forgive me, dear Fat Tails, for misunderstanding & responding to what I thought was sarcasm in your earlier post. As you may have noticed, I have appreciated many of your posts on this thread and others.

I have reached a point where I don't need to know what time in a 24hr period would be optimal for my intraday trading, simply because I find I can only sustain the maximum focus required for 2-3 hours. I get back from the school run shortly before 0900 CET which is just my good fortune, as that coincides with the opening of the Frankfurt Exchange, when as you know Eurex futures volume typically kicks in. So I trade 0900>1200 CET, come what may (including, of course, staying flat as appropriate). Afternoons are for longer term trades (I'm long XAUUSD from 1264.45 and short USDJPY from 84.95,although I could have as many as 10 open positions, usually not more than 1 - 4), admin, walking the dog, mowing the lawn, etc, etc...


You rightly detected a bit of sarcasm, as I do not believe that NR8, NR9 bars etc. bring us any further, unless you undertake the effort to produce a backtest, which shows that they work better than NR 7. The IB4 and NR7 bars are a 20 year old concept, repeating this again and again will probably not give us an edge.

Low volatility entries have an excellent reward-to-risk ratio, if you expect volatility to rise. That is all. The inside and narrow range bars do tell us little about the direction of the breakout. But the low volatility bars are useful as a timing tool in combination with a setup and a trendfilter, but maybe not on their own right.

The Hindsight Bars were just a play on words. They do not belong here of course, but nevertheless the method is quite useful to get acquainted with one's own indicators.

Sorry, if I confused anyone by hiding a serious idea behind intentional sarcasm.

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