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THREE SET UPS
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Created: by Jeff Castille Attachments:243

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THREE SET UPS

  #911 (permalink)
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revtrader View Post
Here are the volume roll-over dates as I recorded them.

From To Contract
12/18/2009 - 1/18/2010 02-10
1/19/2010 - 2/18/2010 03-10
2/19/2010 - 3/18/2010 04-10
3/19/2010 - 4/18/2010 05-10
4/19/2010 - 5/17/2010 06-10
5/18/2010 - 6/18/2010 07-10
6/19/2010 - 7/18/2010 08-10
7/19/2010 - 8/17/2010 09-10
8/18/2010 - 9/17/2010 10-10
9/18/2010 - 10/17/2010 11-10
10/18/2010 - 12-10

Have put my rollover dates and offsets, which are mostly based on volume rollover and always on CL settlement price here:

https://futures.io/brokers-data-feeds/3541-changing-rollover-dates-cl-crude-oil-futures-contract-2.html#post71646

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  #912 (permalink)
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cunparis View Post
If I had crude data on TS I'd try exporting tick data but I'm no longer subscribed. I used to make continuous data with NT all the time. I think I did it like this:

export a month's data. hardest part is knowing the rollover dates
rename the file to CL ##-##.txt
import it
then repeat for each other month

that way is very simple and it works great. There will be gaps at the rollover days but that's only an issue if holding positions overnight which I never did with crude.

Cool, thanks! I now have a CL ##-## of tick data back to Jan 19 of this year! I've uploaded a RAR file of it here if anybody else wants it.

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  #913 (permalink)
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shodson View Post
Cool, thanks! I now have a CL ##-## of tick data back to Jan 19 of this year! I've uploaded a RAR file of it here if anybody else wants it.

How about attaching it to this post:
https://futures.io/elite-circle/3381-historical-cl-crude-oil-futures-contract-ti...1-2009-march-2010-a.html

I will edit the thread title after. Please be sure to note the time zone.

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  #914 (permalink)
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Hey Guys,

Where can I find the insidebar indi for NT7? Sure would save me some time.

I am guessing all the indi's in the front post are 6.5 as they don't seem to load either.

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  #915 (permalink)
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Jeff on trial :)

OK, I'm up and running on NT7 RC1 with all of 2010 in a CL ##-## instrument. I've tested 8 ticks tagets, 16 tick targets and 16 tick targets with moving stop to break-even when it hits +8 ticks. In short, and unless there's a bug in my code or in NT7, it's a good thing Jeff uses discretion.

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  #916 (permalink)
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I like this one better

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  #917 (permalink)
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Great work!

Hey Shodson,

Great work!!

I am curious if you have filtered for news? Also, did you run your backtest the last 15 minutes of the pit session?

What were your perameters for your preferred backtest?

Thanks, Jeff

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  #918 (permalink)
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Jeff Castille View Post
Hey Shodson,

Great work!!

I am curious if you have filtered for news? Also, did you run your backtest the last 15 minutes of the pit session?

What were your perameters for your preferred backtest?

Thanks, Jeff

The 'preferred' strategy only has roughly 200 trades, while the others are 3 times that. There is some kind of filter in there to eliminate a LOT of trades.

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  #919 (permalink)
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NEWS

Hey Shodson,

I know that while backtesting it is difficult to account for news releases...........BUT......our futures.io (formerly BMT) friend from Israel, Baruch Skorohod, has developed an ingenius indicator that is able to put the historical news releases WITH the desired time to "stand aside" on your backtest charts...........perhaps you could contact him and see if he is willing to share his work with you. I'm sure that your inside bars stats will improve !

Also, I have found that certain times of day (morning ahead of oil inventory report) and certain days ( options X and Fed day) and Friday afternoons in general are NOT good times to trade. Taking these days AND time of day functions into account will also improve your stats.

Best, Jeff

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  #920 (permalink)
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shodson View Post
it's a good thing Jeff uses discretion.

I think entry triggers are great because we can relax a bit while waiting for the trigger and potentially monitor several markets. But once it triggers, in my opinion, discretion is required. The reason is it's very difficult to have an exit trigger. Many edges only have a few ticks net edge (many only have 1 tick net edge). If discretion can get an extra tick out of it then that can increase the profit by 50% (or double it).

I give you an example: When I scalp, I look to get as much as I can. But if price stops moving in my way I'm out. Sometimes I get a couple ticks and sometimes more. But I try not to let it come back to my entry.

Now if I tried to automate that I'd have to pick a target and that would be making a lot of sacrifices. Let's say the target is 8 ticks, market goes 6 ticks in my direction and then pulls back 3. I can get out with +3 ticks. An automated system would get out with 0 assuming a "breakeven stop" is triggered. Now let's say the market moves 12 ticks and then pulls back 2. I could get out with 10, once again beating the automated method.

I quit messing with automation for this reason. I remember back when I was backtesting another strategy with Jeff, I optimized and came up with an optimal target that was bigger than Jeff's +8/+16. I forget what it was but I told Jeff that it's better to wait for the "optimal" target. I don't remember his exact words but it was something like "just because it has hit that in the past doesn't mean that it'll continue doing so". Which turned out to be exactly right. Over the next few weeks the "optimal" wasn't optimal.

So to conclude, backtesting entries can be good to find entry triggers. But in my opinion, discretion should be used once in the trade.

I hope you found this post useful. I wish several years ago I had known this and spent my time learning to trade with discretion instead of programming & backtesting.

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