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THREE SET UPS


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THREE SET UPS

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  #1 (permalink)
 Jeff Castille 
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As some of you know I have been working for the last month on three set ups. I thought I'd take a minute and share the results of this effort. The win rate for these trades is over 90% in the last 30 days.

I have been trading CL using a 15 minute chart. These set ups are as follows: INSIDE BAR, OUTSIDE (ENGULFING) BAR AND REVERSAL BAR.

INSIDE BAR: This is the simplest set up of the three. If the current bar closes within the previous bar.....set a buy or sell stop 1 tick above/below the inside bar and put your stop at the opposite end +1 tick. The Reversals v4 indicator paints the inside bar yellow so you can't miss it. The psychology of the trade is that there is indecision in the market and you simply get on board when the market makes up its' mind which way it's going.

OUTSIDE BAR: On this set up you do NOT wait for bar close for your entry......you enter WHEN the previous bar is being engulfed. You still use a buy/sell stop and place your stop at the opposite end of the outside bar +1. The psychology of this trade is a CHANGE in sentiment.......first going one way and then the other.

REVERSAL BAR: This set up is a little tougher........the key is to recognize that this bar MUST occur AFTER an up/down move on higher volume. The wick on the bar (candle) must be approximately 2/3 of the entire bar. The psychology of this trade is that at extreme levels (after a good move) that prices will attract buyers/sellers.

NOTE: I didn't invent these trades........I actually read about them about a year ago and never really persued them until now. I didn't remember where I read about them but......thanks to Silvester 17 my memory has been refreshed !!! These basic set ups were presented by Malcolm Robinson ( a good trader and teacher.) He didn't invent them either ! lol These are well known Japanese Candlestick Patterns that have been around for centuries.

I'm posting yesterdays chart......which was good for 148 ticks on CL.

I've got Roonius working on an improved version of the Reversal v4 but I'll post the current version with the template that I am using.

If you have some experience trading these set ups I'd be interested in hearing from you.

Thanks, Jeff

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  #3 (permalink)
 Fat Tails 
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Hi Jeff,

all three types of bars are very useful, but I would not call it a setup, unless you have additional criteria as a prerequisite and they become signal bars.

Inside bars

If an inside bar occurs in the middle of a trading range, it does not tell me much. Most of the inside bars are meaningless in a way that they do not show any significant price action. I actually prefer to use narrow range bars, I have coloured them on my charts. These bare, call them dojis, show a temporary pause in price action and you can eventually trade a breakout. They usuakky have good risk-to reward ratios, if you take them as signal bars. If you trade a long break out, you would enter a position on a buy stop above the doji and put you sell stop just below. The narrow range, means that your risk is low as well. For high probability setups you would want additional criteria, such as support and resistance and volume analysis.

Outside bars

Very nice setup, if the outside bar occurs in the direction of the prevailing trend and has trapped some countertraders. The trapped traders are rushing to exit their positions, which could extend the move. Enter near the stops of the countertraders. You would also need additional conditions here to define the setup, such as high volume and trend filter.

Reversal bars

This is a well known setup now, so there are many false setups. A real reversal bar (or two bars, known as a railway setup) should have high volume. If it does not it is just a trading range that fits exactly into the period chosen for the bar. Reversal bars can be valid signals if

- they occur outside a Bollinger Band or Keltner Channel
- they occur at a significant resistance
- they are a failed retest of a prior high or low (second entry)
- the reversal is a retracement / with-trend setup on a higher time frame

I would like to post some examples of successful and failed setups here, but I am not on my main machine, so will do this during the next days.

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 Jeff Castille 
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Fat Tails View Post
Hi Jeff,

all three types of bars are very useful, but I would not call it a setup, unless you have additional criteria as a prerequisite and they become signal bars.

Inside bars

If an inside bar occurs in the middle of a trading range, it does not tell me much. Most of the inside bars are meaningless in a way that they do not show any significant price action. I actually prefer to use narrow range bars, I have coloured them on my charts. These bare, call them dojis, show a temporary pause in price action and you can eventually trade a breakout. They usuakky have good risk-to reward ratios, if you take them as signal bars. If you trade a long break out, you would enter a position on a buy stop above the doji and put you sell stop just below. The narrow range, means that your risk is low as well. For high probability setups you would want additional criteria, such as support and resistance and volume analysis.

Outside bars

Very nice setup, if the outside bar occurs in the direction of the prevailing trend and has trapped some countertraders. The trapped traders are rushing to exit their positions, which could extend the move. Enter near the stops of the countertraders. You would also need additional conditions here to define the setup, such as high volume and trend filter.

Reversal bars

This is a well known setup now, so there are many false setups. A real reversal bar (or two bars, known as a railway setup) should have high volume. If it does not it is just a trading range that fits exactly into the period chosen for the bar. Reversal bars can be valid signals if

- they occur outside a Bollinger Band or Keltner Channel
- they occur at a significant resistance
- they are a failed retest of a prior high or low (second entry)
- the reversal is a retracement / with-trend setup on a higher time frame

I would like to post some examples of successful and failed setups here, but I am not on my main machine, so will do this during the next days.

Hey Fat Tails,

Thanks for your comments.

One of the reasons that I have been using the 15 minute chart is that it seems less prone to the failures that you are referring to. The 15 minute chart also keeps me from over trading.

Jeff

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 Fat Tails 
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Have seen a number of false reversal bars on the 15-minute chart for ES, I am also using this timeframe.... will post them.


Jeff Castille View Post
Hey Fat Tails,

Thanks for your comments.

One of the reasons that I have been using the 15 minute chart is that it seems less prone to the failures that you are referring to. The 15 minute chart also keeps me from over trading.

Jeff


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 shodson 
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If you like inside and outside bars you might like this.

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 Jeff Castille 
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Fat Tails View Post
Have seen a number of false reversal bars on the 15-minute chart for ES, I am also using this timeframe.... will post them.

At a quick glance of the 15 minute chart of the ES.........(which I do not trade) I noticed that there were failures during the time period that is known as "GRIMREAPER" this is from 11:30 am to 12:00 PST......this is when the bond market is closing and NOT a good time to be trading the indexes. So I hope that your examples of "failed" trades will consider "time of day"

Also, I do NOT trade 15 minutes before or after the release on high priority news. I would venture to say that the reason many traders fail is that they do NOT give the proper respect to dangerous times to trade........at the open.....at the close.....either side of major news....lunch time in NYC.....bond market closing......Bernanke or Geithner speaking etc.

If examination of charts does NOT include "time of day" then the reasearch is worthless.

Jeff

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 Silvester17 
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today I had 3 reversal trades that met all the necessary criteria. using a 5 min chart for ES. couldn't find a single loser.

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 Michael.H 
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i posted about this in another thread... you were i think were i was about 2 years ago...

I would get alot of false signals when trading using 5 min bars... so i switched to higher time frames, and that killed alot of false positives... Unfortunately, when you do that, you have to take alot more heat, and most of the times you'll get in towards the end of the move, unless you are disciplined enough to catch those high runners that happen only a few times a month... I suggest you switch to non-time based charts.... when you play around with it you'll notice that its actually better. Its still cuts out most of the noise, but you don't have to wait 15 min to see if its a failed reversal, or a hammer, or whatever pattern your looking at. ( I personally gave up on candlestick patterns since after backtesting i found very little positive results).
When market slows down, less bars form, so you stay away from chop. when markets move fast, you get more signals, and trade more since there are more opporutnity's....

Hope this helps

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 Jeff Castille 
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Michael.H View Post
i posted about this in another thread... you were i think were i was about 2 years ago...

I would get alot of false signals when trading using 5 min bars... so i switched to higher time frames, and that killed alot of false positives... Unfortunately, when you do that, you have to take alot more heat, and most of the times you'll get in towards the end of the move, unless you are disciplined enough to catch those high runners that happen only a few times a month... I suggest you switch to non-time based charts.... when you play around with it you'll notice that its actually better. Its still cuts out most of the noise, but you don't have to wait 15 min to see if its a failed reversal, or a hammer, or whatever pattern your looking at. ( I personally gave up on candlestick patterns since after backtesting i found very little positive results).
When market slows down, less bars form, so you stay away from chop. when markets move fast, you get more signals, and trade more since there are more opporutnity's....

Hope this helps

Hey Michael,

I would be curious to find out ......when you switched from time based charts to non time based charts......which market were you trading and did you switch to tick charts? Did you try the candlestick patterns on CL?

Jeff

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 Zoethecus 
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Is this the replacement for the "All You Need" thread?

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 Jeff Castille 
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Silvester17 View Post
today I had 3 reversal trades that met all the necessary criteria. using a 5 min chart for ES. couldn't find a single loser.

Hey Silvester17,

Thanks for sharing that chart..........it seems the difference between the "failed" set ups and the winners is volume.

It has recently occured to me that I was looking at volume all wrong.......when there was a big move I assumed that the increase in volume was in the direction of the move when in reality the move was making prices attactive to the opposite side.

Could you share what your "necessary" criteria is for a trade.....I noticed that you focused on the "inside" bars......do you trade the outside bars too?

Thanks, Jeff

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 Jeff Castille 
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Zoethecus View Post
Is this the replacement for the "All You Need" thread?


Well.........if you want it to be.

This is just an exploration into trading price patterns (3 in particuliar).......using NO indicators other than volume.

If you have experience trading these patterns I look forward to your contributions.

I am always looking for simple effective ways to trade. To date (5/17-6/16) these set ups have turned in a 92.24 winning %. During this time period we had one holiday and I was away for 3 other days) This is in spite of my execution mistakes along the way and continued refining of the "rules"

Jeff

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 AR01 
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Jeff Castille View Post
Well.........if you want it to be.

This is just an exploration into trading price patterns (3 in particuliar).......using NO indicators other than volume.

If you have experience trading these patterns I look forward to your contributions.

I am always looking for simple effective ways to trade. To date (5/17-6/16) these set ups have turned in a 92.24 winning %. During this time period we had one holiday and I was away for 3 other days) This is in spite of my execution mistakes along the way and continued refining of the "rules"

Jeff

Jeff,
It is awesome that you shared this. What are you money management rules to determine what constitutes a winner?

Andrew

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 Silvester17 
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Jeff Castille View Post
Hey Silvester17,

Thanks for sharing that chart..........it seems the difference between the "failed" set ups and the winners is volume.

It has recently occured to me that I was looking at volume all wrong.......when there was a big move I assumed that the increase in volume was in the direction of the move when in reality the move was making prices attactive to the opposite side.

Could you share what your "necessary" criteria is for a trade.....I noticed that you focused on the "inside" bars......do you trade the outside bars too?

Thanks, Jeff

it was just a coincidence that there were only inside bars today. here's what I'm looking for in a reversal trade:

- a move either up or down (the bigger the better)
- the last bar before the signal bar or the signal bar itself must have a bigger volume
(indicating that in a up move sellers are stepping in and the move might be over)
- in a up move the signal bar has to be either a bearish inside, outside or reversal bar

that's what I'm basically looking for

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 Jeff Castille 
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AR01 View Post
Jeff,
It is awesome that you shared this. What are you money management rules to determine what constitutes a winner?

Andrew

Hey Andrew,

Right now I am trading a 2 lot........drop dead stops are market driven (as described in post #1) first target is +8, once this has been achieved I move the stop to b/e +1, second target is +16. That's it. I hope to add a third position but until I get more confidence in my entries there is no point to that. Also, moving the stop to b/e +1 after the first objective has been achieved has been proving to be more of a detriment than a help as many of my trades take me out of the second position at b/e +1 and then continue to move to my second objective........I am watching this carefully......but I have not changed the ATM yet. The alternative is to move the stop to -8 after the first objective.

Also.........one of the rules that I have adopted........if a trades goes 15 minutes without hitting my stop or targets........I move my stop to the high/low (pending on if it's a long or short trade) of the trigger bar to reduce my risk. These trades average less than 5 minutes each.......so the longer you are in the trade the less chance it will succeed.

Jeff

Almost forgot......a winner is +8 +1.

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 gtichauer 
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Jeff Castille View Post
As some of you know I have been working for the last month on three set ups. I thought I'd take a minute and share the results of this effort. The win rate for these trades is over 90% in the last 30 days.

I have been trading CL using a 15 minute chart. These set ups are as follows: INSIDE BAR, OUTSIDE (ENGULFING) BAR AND REVERSAL BAR.

INSIDE BAR: This is the simplest set up of the three. If the current bar closes within the previous bar.....set a buy or sell stop 1 tick above/below the inside bar and put your stop at the opposite end +1 tick. The Reversals v4 indicator paints the inside bar yellow so you can't miss it. The psychology of the trade is that there is indecision in the market and you simply get on board when the market makes up its' mind which way it's going.

OUTSIDE BAR: On this set up you do NOT wait for bar close for your entry......you enter WHEN the previous bar is being engulfed. You still use a buy/sell stop and place your stop at the opposite end of the outside bar +1. The psychology of this trade is a CHANGE in sentiment.......first going one way and then the other.

REVERSAL BAR: This set up is a little tougher........the key is to recognize that this bar MUST occur AFTER an up/down move on higher volume. The wick on the bar (candle) must be approximately 2/3 of the entire bar. The psychology of this trade is that at extreme levels (after a good move) that prices will attract buyers/sellers.

NOTE: I didn't invent these trades........I actually read about them about a year ago and never really persued them until now. I didn't remember where I read about them but......thanks to Silvester 17 my memory has been refreshed !!! These basic set ups were presented by Malcolm Robinson ( a good trader and teacher.) He didn't invent them either ! lol These are well known Japanese Candlestick Patterns that have been around for centuries.

I'm posting yesterdays chart......which was good for 148 ticks on CL.

I've got Roonius working on an improved version of the Reversal v4 but I'll post the current version with the template that I am using.

If you have some experience trading these set ups I'd be interested in hearing from you.

Thanks, Jeff

Jeff,

Thanks for starting this thread....I am also interested in this price action setups.....and I also believe there is potential opportunity to work in filters / confirmation / requirements to get only the higher probability and best risk/reward trades.

I started doing some research on IB with nice outcomes so far....not much sample but positive results. I agree that using the concept of NRx (narrow of x bars) helps to increase r/r also.

We are also working together with Emini_Holy_Grail making a draft of a strategy to code with a proffesional to be able to backtest this concepts for different timeframes, money mgmnt strategies, longer periods, diff intruments, and using some filters optional.

This thread will help us get some more ideas.

GT
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 Michael.H 
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To be honest.. i only traded ym, nq, es. I have never traded the CL, not even now. So if your getting positive results, then i guess you can completely disregard everything i said. I also haven't tested it on stocks or equities( not intraday, used to for swing trading).... only on those index futures. You can try tick based or volume based, and find that sweet spot which goes well with your personality. For example, i think anything above a 900tick chart on ym will provide you with good results. Anything less, you tend to get much more false signals. I see people using a 89 tick chart, or 233 ticks chart.. you might as well just use a 1 min chart because theres too much noise, and they become useless. Thats why i talked about time-independent charts, since you can get in and out earlier based on trade intensity. You can also use volume charts( my favorite).




In terms of time frame, i actually traded the 30 min mainly on the nq and ym with best results. It didn't work well on the es. And when i traded those, i had specific rules on my entries and exits. If you go in at market at the close of a 15/30 min bar, you're getting a really bad fill...lol

I only know of one guy that trades candlestick patterns, and he seems like he knows what he is doing( not personally verified). And when he trades those patterns, he has like an 8 page summary of how exactly the candlestick pattern(hammer) should look like( not kidding),in terms of size of the tail, size of the body....etc and he only takes it based on preceding price action on what happened before. His signals actually have more to do with volatility patterns than candlestick patterns. I never followed him so you have to do your own research there.

Those charts you posted, you will get run over alot when the market finds a trend. Just because its a high volume bar doesn't mean its going to traverse.. Thats why i got into bid ask..... its paints a very pretty picture.

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 Jeff Castille 
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I thought it might be a good idea to look at each bar type on a individual basis.

So........let's start with the "INSIDE BAR"

Since 5/17 until today 6/16 on a 15 minute chart of CL during the hours of 6-9 am PST and 10-11:15 am PST there have been 46 inside bar trades......40 have been winners (at least +8+1) 2 have been stop outs......and 4 have met the criteria for a stop and reverse.

For a trade to qualify for a stop and reverse.......it must hit the initial stop within the trigger bar. On the 2 regular stop outs......the trades did not reach their targets or stops within the trigger bars (15 min) and the initial stops were moved to take us out of the trades without having to reach the initial stops.

Also, I have been trading signals that set up pre pit open and during lunch as long as the trigger bar is within the trading times listed above.

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 Jeff Castille 
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gtichauer View Post
Jeff,

Thanks for starting this thread....I am also interested in this price action setups.....and I also believe there is potential opportunity to work in filters / confirmation / requirements to get only the higher probability and best risk/reward trades.

I started doing some research on IB with nice outcomes so far....not much sample but positive results. I agree that using the concept of NRx (narrow of x bars) helps to increase r/r also.

We are also working together with Emini_Holy_Grail making a draft of a strategy to code with a proffesional to be able to backtest this concepts for different timeframes, money mgmnt strategies, longer periods, diff intruments, and using some filters optional.

This thread will help us get some more ideas.

Hey GT,

We'll be very interested in hearing about your progress in this regard.

I have also recieved inquiries about automating these bar patterns. I think we'll start with the inside bar and see how that goes. At this point it seems that the inside and outside bars do not require discretion and therefore might be good canidates for automation. Let the testing begin !!

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 Michael.H 
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I posted a chart of yesterday representing your inside bar with high volume..... showing you how you can get run over trading these...

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 Silvester17 
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Michael.H View Post
I posted a chart of yesterday representing your inside bar with high volume..... showing you how you can get run over trading these...

just my 2 cents for your chart.

trade # 1 never triggered. sell stop would be 1 tick below inside bar. price never got there.
trade # 2 is a loser
trade # 3 would not meet my criteria (bearish inside bar after down bar in a up move) hope that makes sense.
trade # 4 is a loser

plus there were a couple winning inside bars like at 10:20 and 11:40. I know this is just for inside bars, but there were also a few winning outside and reversal bar trades.

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 cory 
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Michael.H View Post
To be honest.. i only traded ym, nq, es. I have never traded the CL, not even now.

you are missing out, more and more traders move over to CL daily. It worths every pennies to corral it into your stable.

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 Jeff Castille 
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Michael.H View Post
I posted a chart of yesterday representing your inside bar with high volume..... showing you how you can get run over trading these...

Hey Michael,

Your point is well taken........that is why I do NOT use this set up on the ES or on a 5 minute chart. Check these out on CL on a 15 minute chart and see if the result is different.

Jeff

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 Jeff Castille 
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cory View Post
you are missing out, more and more traders move over to CL daily. It worths every pennies to corral it into your stable.

Hypothetically these bar patterns should work on any market.....but.........CL is a "different" animal. The volitility that CL has often works to a traders advantage in achieving at least a minimal profit target where a less volitile market might not.

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 Michael.H 
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Your right in terms of the cl being a different animal, reason is i've seen that when the cl takes a trend, it takes off and never looks back. Reason i don't trade it is because i sincerely think that for every trade, you should be willing to risk about $400 min if your not scalping( at least with the way i trade) per contract, specially on a 15 min time frame, which equates to $20k per contract(2%) or at bare minimum $10k... which is more volatile than the TF. I'de rather do more contracts and have more profit targets.
-I am accumilating data on the 6e, TF, and CL(bid/ask) for possible future use, but i haven't really done anything with it yet untill i get at least a few more months.

-I checked it on a 15 min time frame, i still think time-independent charts will yield better results. But thats just my opinion. You don't have to do what i say.


One of the reason i trade the US index futures is because you have other correlated markets, as well as the nyes tick, which heavily skews the odds in your favor. I still haven't found any type of market breadth indicator for those instruments( except the TF). There's also good inter-market analysis between those indices that don't exist on the CL or 6E(besides the US dollar). That imo helps a great deal as well.
Also, i've mentioned this before, those instruments, specially currency, are very geopolitical, which make them harder to trade, as to any news not only in the US, but also abroad will cause a sudden shift in price if you're not carefull or do not have a good new service.
So i am watching other instruments that i could use to trade, but its much easier to trade the ES/Ym than the cl, and i think most would agree. Once i gather more data and can come up with something that yields good results, ill share.

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 Michael.H 
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sylvester17.....
All those trades i mentioned meet the criteria that was mentioned before, which was a need for a high volume bar. The trades that you mention at 10:20 was a losing trade that you mentioned yourself and 11:40 do not show that same high volume surge that i annotated on the charts.... you can easily spot those.


I put that chart up not to argue with you, just to point out that using candlestick patterns alone will not make you money, even if high volume is involved......
Also, if you were trading the ES on this and not the CL, you would have nyse tick data, as well as other market breadth indicators showing the skewed activity to the upside for that day, so you could have just avoided short triggers all together and stayed safe... Like i said, you can't do that with CL bc no such thing exists.

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 shodson 
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Jeff Castille View Post
I am always looking for simple effective ways to trade. To date (5/17-6/16) these set ups have turned in a 92.24 winning %.

Which setup? All 3 or just the reversals?

Have you looked at the BetterVolume2 indicator? It measures volume relative to price action and can help pinpoint exhaustion moves and reversals.

Also, inside bars tend to work better if you only take breakouts in the direction of the trend. See DIBS as an example, which only takes long breakouts on 60min charts if 1) today's open is higher that last week's close and 2) price is above the open. The reverse applies for shorts.

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 shodson 
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shodson View Post
If you like inside and outside bars you might like this.

I couldn't resist
  • D = double inside bar
  • A = arrow, which is a less stringent version of a double inside bar
  • P = popgun
  • 3 = 3-in-1
  • F = forward and reverse, or reverse 3-in-1
  • O = O-I reversal, which is essentially a popgun after a bar that makes a new 5-period high/low
Based on cursory observation so far the last 3 patterns seem to work the best, especially when trading with the trend.




More examples attached...

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 Eric j 
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Silvester17 View Post
today I had 3 reversal trades that met all the necessary criteria. using a 5 min chart for ES. couldn't find a single loser.

1405 would qualify for exhaustion volume then IB reversal , make it 4 winners . A lot of folks focus on following the trend and seem to miss out on credible opportunities countertrend .

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 Jeff Castille 
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A nice way to start the day........LET'S ROCK AND ROLL !!!!

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 Silvester17 
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Michael.H View Post
sylvester17.....
All those trades i mentioned meet the criteria that was mentioned before, which was a need for a high volume bar. The trades that you mention at 10:20 was a losing trade that you mentioned yourself and 11:40 do not show that same high volume surge that i annotated on the charts.... you can easily spot those.


I put that chart up not to argue with you, just to point out that using candlestick patterns alone will not make you money, even if high volume is involved......
Also, if you were trading the ES on this and not the CL, you would have nyse tick data, as well as other market breadth indicators showing the skewed activity to the upside for that day, so you could have just avoided short triggers all together and stayed safe... Like i said, you can't do that with CL bc no such thing exists.

Michael,

first thank you very much for your inputs. your ideas make perfect sense to me. I totally agree, trading inside bars with high volume bars alone will probably not making you money. I'm certainly watching for other confirmation as well.

the trade at 10:20 looks like a winner to me. but no reason to argue. always thankful for people with different views. I think that's a good way to improve your trading.

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 Jeff Castille 
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Nice reversal bar.....+8+1......also an example of moving my stop too quickly after my first objective has been met.

High priority news at 7:00 PST and Natural gas report at 7:30 PST

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 Eric j 
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I use this to point out the highest volume across the last 20 bars . You can change the lookback if you want , just open the code , change the # and recompile . Put it in the same panel as volume . Thought maybe you could use it for this strategy .

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 shodson 
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Jeff Castille View Post
Nice reversal bar.....+8+1......also an example of moving my stop too quickly after my first objective has been met.

Have you considered using ATR-based targets and stops? As market volatility expands and contracts, perhaps so should your expectations.

Also, instead of going +1 on the runner, try going -50% to give it more room. You'll give up some of your profit on the first car if it reverses you out but you'll still walk away with some profit and you're more likely to catch those bigger moves when they come.

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 Jeff Castille 
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OK....gas news is over and we're coming off the low of day....+8+1

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 cunparis 
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Hey Jeff, good to see you're exploring and finding new stuff. I was suspicious so I pulled up a CL chart and used my inside bar paintbar to mark them and I was surprised to see that they have been working over the past few weeks.

I just have one question: do you take the trade if the risk is too high? On a few bars I see the inside bar can be 30+ ticks so that's a stop to make 8 & 16 ticks. Not a good ratio. The win rate is high but catching a few losers would really hurt.

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 Jeff Castille 
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cunparis View Post
Hey Jeff, good to see you're exploring and finding new stuff. I was suspicious so I pulled up a CL chart and used my inside bar paintbar to mark them and I was surprised to see that they have been working over the past few weeks.

I just have one question: do you take the trade if the risk is too high? On a few bars I see the inside bar can be 30+ ticks so that's a stop to make 8 & 16 ticks. Not a good ratio. The win rate is high but catching a few losers would really hurt.


Greeting Cunparis,

Excellent point.....you are correct.......the R/R is sometimes crappy............BUT........ keep in mind.....this isn't IT..........this is a first step.......if the entries PROVE to be good (over 92% win rate so far) THEN I will add another contract and another target AND in so doing improve the R/R.

There have been a few suggestions that I want to look into regarding targets.......ATR being one that I think deserves investigation.

Jeff

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 Jeff Castille 
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Cunparis,

Your point had been raised previously in the Jeff CCI thread.....see post #375.........just reduce size to accommodate large stop size.

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 cunparis 
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Jeff Castille View Post
Greeting Cunparis,

Excellent point.....you are correct.......the R/R is sometimes crappy............BUT........ keep in mind.....this isn't IT..........this is a first step.......if the entries PROVE to be good (over 92% win rate so far) THEN I will add another contract and another target AND in so doing improve the R/R.

There have been a few suggestions that I want to look into regarding targets.......ATR being one that I think deserves investigation.

Jeff

I'm on the fence about having multiple targets. Because that 3rd contract you add will hurt when it gets stopped out. If you determine that you can get more than 16 you could just make your second target 20 or whatever.

I looked at a year ago and I found more stops than I do in the past few weeks. I am not actively trading CL but for ES the past few weeks have been unusually more likely to be trend days and therefore less likely hood of a stop out.

I'll stay tuned to track your progress. If someone is interested, it'd be interesting to write a back test for this. Use a 1 minute bar to see inside the bars. I'm guessing it'd be profitable recently but not over the past year.

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 Jeff Castille 
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cunparis View Post
I'm on the fence about having multiple targets. Because that 3rd contract you add will hurt when it gets stopped out. If you determine that you can get more than 16 you could just make your second target 20 or whatever.

I looked at a year ago and I found more stops than I do in the past few weeks. I am not actively trading CL but for ES the past few weeks have been unusually more likely to be trend days and therefore less likely hood of a stop out.

I'll stay tuned to track your progress. If someone is interested, it'd be interesting to write a back test for this. Use a 1 minute bar to see inside the bars. I'm guessing it'd be profitable recently but not over the past year.

Cunparis,

I think everyone reading this thread would be interested in any back testing that you are willing to do. However........the first major criteria should be "TIME OF DAY"

NO trades during lunch in NYC
NO trades 15 min before and after high priority news (this includes natural gas)
NO trades 15 min before the close of the pit.

Trading hours 6-9 am PST and 10-11:15am PST

Each bar type should be looked at separately. Inside bar and outside bar will be the easiest. The reversal bars will be a little more complex......with the volume AND bar configuration.

CL......15 minute chart.......

I'm glad this has piqued your interest......I know we'll all benefit from your contributions.

Jeff

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 Jeff Castille 
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shodson View Post
Have you considered using ATR-based targets and stops? As market volatility expands and contracts, perhaps so should your expectations.

Also, instead of going +1 on the runner, try going -50% to give it more room. You'll give up some of your profit on the first car if it reverses you out but you'll still walk away with some profit and you're more likely to catch those bigger moves when they come.

Hey Shodon,

I haven't considered using ATR for targets........just haven't fotten that far yet. I have considered only moving my stop up to -8 instead of +1 thereby insuring at least a breakeven trade. I guess I've been burned in the past and I don't want to see my first target profit disappear to a breakeven trade. I know that this will be difficult for me......but......I know that if we can document the success of a different approach that I'll be happy to switch.

Also, can you demonstrate HOW an ATR strategy would be implemented?

Thanks, Jeff

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 Jeff Castille 
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All righty then......lunch is over and we're back at it......+8+16

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 Jeff Castille 
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Stop and reverse....-16-16........+8+16

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 Jeff Castille 
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OK.....that's it for me today on CL. I finished with +58 ticks.

The stop out was frustrating because it hit my first target and did not fill me......that's trading. You'll notice that this was an example of the stop and reverse that I'd had spoken of earlier. At this point I only do the stop and reverse thing on failed inside bars.....the rationale being....since we had an inside bar....indicating indecision.....and the market did not move the original direction.....resulting in a stop out.....therefore.....it wants to go the other way. This stop and reverse approach helps take the sting out of a stop out.

Well..........I don't intend on posting all my trades in real time like I did today....but......I wanted to demonstrate exactly what I was doing for everyone to see. No BS....no making crap up after the fact. Trades taken in real time and posted immediately.

So.......I know this approach is far from perfect.....as am I......however, it has been working for me......and I think you can see this for yourself. I would be happy to recieve constructive criticisim......emphasis on the constructive part. That is to say.....if you can see where this approach can be improved.....SHOW ME. Don't just say reversals are scary or you don't like this style....give me some powerful evidence that I can sink my teeth into.

Hope you had an awesome day trading.....I did. Let's see if we can keep it going!!

Jeff

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 cunparis 
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Jeff Castille View Post
OK.....that's it for me today on CL. I finished with +58 ticks.

Congrats Jeff on a great day. +58 including a stop out, that's pretty darn good.

have you thought about putting your stop to BE once price goes 8 ticks, whether you're filled or not? I've done that in the past to prevent exactly what happened to you.

Other than that I don't really have any constructive criticism. My only concern is that this didn't work as well in the past. I encourage you to pick a random week from a few months ago and test it. Your stop today was -16 that's not bad. Sometimes these bars are 30+ ticks.

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 shodson 
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Jeff,

Can you clarify a stop and reverse for me? I thought you look for reversal bars with higher volume than the previous trend bars, but some of your examples you took show lower volume on the reversal bars. So I'm not clear.

Here's my understanding

reversal bar = a reverse direction bar (a down bar in an uptrend for example) where
a) the volume is greater than the previous bar or set of trend bars (clarify?)
b) 2/3 of the bar must be wicks/shadows (small bodies, doji-like)

Is this a correct definition?

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 Jeff Castille 
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cunparis View Post
Congrats Jeff on a great day. +58 including a stop out, that's pretty darn good.

have you thought about putting your stop to BE once price goes 8 ticks, whether you're filled or not? I've done that in the past to prevent exactly what happened to you.

Other than that I don't really have any constructive criticism. My only concern is that this didn't work as well in the past. I encourage you to pick a random week from a few months ago and test it. Your stop today was -16 that's not bad. Sometimes these bars are 30+ ticks.

Thanks Mac.......lol

Yes and yes........yes I've considered moving my stop regardless of if I am filled or not....it's a two edged sword.....as you know often even if my first target is filled my second contract gets stopped at +1......an then goes to my second target....SO....for now I'm adopting the "set it and forget it approach" and see how that works in the long run.

And yes again.......I've tested months and months of this approach.....all good. The set up for the inside and outside bars is so easy to spot even in retrospect that backtesting is easy. I have a feeling that the reversal bars will be tougher........but I am looking forward to any back testing that you choose to do.

Jeff

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 Jeff Castille 
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shodson View Post
Jeff,

Can you clarify a stop and reverse for me? I thought you look for reversal bars with higher volume than the previous trend bars, but some of your examples you took show lower volume on the reversal bars. So I'm not clear.

Here's my understanding

reversal bar = a reverse direction bar (a down bar in an uptrend for example) where
a) the volume is greater than the previous bar or set of trend bars (clarify?)
b) 2/3 of the bar must be wicks/shadows (small bodies, doji-like)

Is this a correct definition?

Hey Shodson,

You are correct on your definition of a reversal bar........however, a stop and reverse has NOTHING to do with a reversal bar. So I think that is where the confusion might have come in.

I justify using the stop and reverse only after a failed inside bar trade. I wouldn't do it on a failed reversal bar or a failed outside bar. Besides......there are not that many failures !! After today.....which included a stop out the winning percentage is at 91.41%. You don't have to deal with this stuff that often......but when you do.......it's nice to take the sting out of a stop out.

Keep in mind that my "official" stats are NOT perfect. When I first started them I was ONLY taking the inside bar trades.......then I added the outside bar trades.....but I had the entries wrong.....they still worked but they work better now......then I added the reversal bars which are extremely powerful. Plus, there is a situation of a double inside bar......I've got rules for that now......but I got burned once on it.....not again. So, dispite the evolution of the statistics we still have OVER 90% win rate ! I think you can see why I am enthusiastic.

It can only get better with strict criteria established for the reversal bars and better money management......but I had to start somewhere......and this is not too bad of a place to be.

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 cunparis 
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Would have worked well for ES today.

Since I trade ES right now I'm more interested in testing it on ES than CL. I just have to decide what the targets should be..


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 shodson 
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Jeff Castille View Post
I justify using the stop and reverse only after a failed inside bar trade. I wouldn't do it on a failed reversal bar or a failed outside bar. Besides......there are not that many failures !! After today.....which include

So a "stop and reverse" is simply a failed inside bar, correct? I like failures.

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 Jeff Castille 
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shodson View Post
So a "stop and reverse" is simply a failed inside bar, correct? I like failures.

Or how about......a successful failure???? lol

I presume that you use Ninja trader......if you right click on the SuperDom you'll see an option to "reverse at stop".......so to me this terminology is in reference to money management options.

By the way Shodson........your implementation of the Kennedy article is VERY impressive !

I would like to know everything about that.......lol......can you have those patterns identified in real time? That would be awesome. Also, I am curious about the various sh....indicators that you have on your charts....vol, atr etc. Have you shared these with the forum?

Thanks, Jeff

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 Silvester17 
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perfect example for an inside bar.

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 Jeff Castille 
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OK.......+68 ticks for this morning.

Unfortunately it could have been more but I screwed up two times.

Actually three.

The first trade I have NO signal that was in my plan (thought we had a double bottom at the open)......the trade was slow to develop....I decide to exit at breakeven. Shortly after the market moves to my first target.

Next trade....I decide I have a reversal bar and I go short +8+16 but.......I hit something on the DOM that triggers ANOTHER trade.....I quickly exit +3+3.

Next trade +8+16...no screw ups

Next trade....enter trade and see that I have NO ATM strategy on the trade !! I immediately close the trade+7+7......or course this is the strongest move of the morning and I get about half of what I should have........

I can't believe I am capable of this many screw ups in such a short time. But.....+68 ticks....I should screw up like this everyday!! lol

It's quadruple witching day......so I'm done trading for today.

Roonius finished my new indicator for me......it's the reversals v6.1. This is an indicator that helps to identify the reversal bars. It features an adjustable wick %......so if we are looking for a bar at the end of an up/down move where the wick is 2/3 of the bar......it will paint it for you. Also, it will paint the outside bar in real time instead of waiting until bar close. The inside bar and reversal bar paint at bar close.

I'll test it out and post it if it checks out.

Have a great weekend !!

Jeff

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 max-td 
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Hi Jeff,
nice trades !

Some folks talked about testing other kind of ATM / MM-style.
Have you ever played with the Ninja - ATM-Shadow-function ?

you find it at : ATM --> rightklick - advanced options -- Shadow.

it only works when trading a real / live account.
your real trade uses the upper ATM - as usual.

The ATM choosed in the Shadow-pulldown-menue will run parallel to the realone in the SIM account.

so you can forward-test how an AMT would run with other stop or trail-stuff + compare it to your real result.

maybe this is interesting to check out !

max-td
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 max-td 
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BTW - i personaly dont think you need to change your MM / ATM-Style

-- it looks like a pretty good way to grab enaugh ticks in CL

but comparing can bring you good results / reasons for not to think about an other ATM-style anymore
and this Shadow-trick is more "real" in its results than backtesting with strategys i think,
cause it enters exactly with your live-trade - + only then.

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 cunparis 
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I gave it a try today on sim. ES was very choppy and slow so it was fun to try your setups.

I didn't realize it was rollover for Crude so I traded July, which is ok cause it had enough volume but you have an inside bar that I didn't have so I missed that one.

First one I put my stop on the low instead of one tick under (I guess, I don't know for sure) so that was a mistake. Other than my mistake I was 3/3 for 41 ticks. Not bad for my first day. I'll pay more attention next time. I was playing poker while trading cause ES was so slow.

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 Jeff Castille 
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cunparis View Post
I gave it a try today on sim. ES was very choppy and slow so it was fun to try your setups.

I didn't realize it was rollover for Crude so I traded July, which is ok cause it had enough volume but you have an inside bar that I didn't have so I missed that one.

First one I put my stop on the low instead of one tick under (I guess, I don't know for sure) so that was a mistake. Other than my mistake I was 3/3 for 41 ticks. Not bad for my first day. I'll pay more attention next time. I was playing poker while trading cause ES was so slow.

Yeah.......playing poker while trading is NOT recommended !! lol

Also, quadruple witching day is NOT the best day to trade either.......but.......you can't knock +41 !! Good work.

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 cory 
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found the clock

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 Zoethecus 
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cunparis View Post
I gave it a try today on sim. ES was very choppy and slow so it was fun to try your setups.

I didn't realize it was rollover for Crude so I traded July, which is ok cause it had enough volume but you have an inside bar that I didn't have so I missed that one.

First one I put my stop on the low instead of one tick under (I guess, I don't know for sure) so that was a mistake. Other than my mistake I was 3/3 for 41 ticks. Not bad for my first day. I'll pay more attention next time. I was playing poker while trading cause ES was so slow.

Is that a custom indicator identifying the setup bars?

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 Jeff Castille 
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cory View Post
found the clock

This is awesome!!

I believe that this is the FIRST thing an aspiring trader should learn.(indexes)

Of course the times for CL are a little different.

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 Jeff Castille 
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I wanted to take a moment and share how I trade a double inside bar. The illustration on the attachment is a perfect example........I suffered a loss on this trade.....so this approach comes from personal experience.

So......two inside bars......equals consolidation.....wait for a break from the FIRST inside bar (the MOTHER) NOT the baby. Notice how the blue outside bar broke beyond the low of the second inside bar by 1 tick........I don't have to tell what happened....but I will......you just got had by the pros. Often a break from the second inside bar will work......but beware....that breakout could very well be a fake out.

Jeff

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 Jeff Castille 
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Michael.H View Post
Your right in terms of the cl being a different animal, reason is i've seen that when the cl takes a trend, it takes off and never looks back. Reason i don't trade it is because i sincerely think that for every trade, you should be willing to risk about $400 min if your not scalping( at least with the way i trade) per contract, specially on a 15 min time frame, which equates to $20k per contract(2%) or at bare minimum $10k... which is more volatile than the TF. I'de rather do more contracts and have more profit targets.
-I am accumilating data on the 6e, TF, and CL(bid/ask) for possible future use, but i haven't really done anything with it yet untill i get at least a few more months.

-I checked it on a 15 min time frame, i still think time-independent charts will yield better results. But thats just my opinion. You don't have to do what i say.


One of the reason i trade the US index futures is because you have other correlated markets, as well as the nyes tick, which heavily skews the odds in your favor. I still haven't found any type of market breadth indicator for those instruments( except the TF). There's also good inter-market analysis between those indices that don't exist on the CL or 6E(besides the US dollar). That imo helps a great deal as well.
Also, i've mentioned this before, those instruments, specially currency, are very geopolitical, which make them harder to trade, as to any news not only in the US, but also abroad will cause a sudden shift in price if you're not carefull or do not have a good new service.
So i am watching other instruments that i could use to trade, but its much easier to trade the ES/Ym than the cl, and i think most would agree. Once i gather more data and can come up with something that yields good results, ill share.

Hey Michael,

There is one point that we agree on.....that is......anyone considering trading CL has to have the appropriate account size to give these trades the stops they need to work. This FACT can NOT be over emphasized.

Let us know how the CL data works out.


Thanks, Jeff

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 Jeff Castille 
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NOW, this one is trickier than the inside bar and the outside bar because there is a little math involved AND volume is a consideration.

SO, here's the homework for the weekend. (only for those that are serious about these three trades)

Recognize that the reversal bar equates to four japanese candlestick formations.They are as follows: SHOOTING STAR......similiar to GRAVESTONE DOJI......AND.....HAMMER.....similiar to DRAGONFLY DOJI.

Shooting Star Candlestick Chart Pattern
Gravestone Doji Candlestick Chart Pattern
Hammer Candlestick Chart Pattern
Dragonfly Doji Candlestick Chart Pattern

After you are done memorizing the descriptions and characteristics of these four candlesticks please note the similiarities.

The ONE common element is the size of the shadow.....most often described as "at least twice as big as the Real Body".....So....I had Roonius create an indicator that would identify all candles that exhibit this characteristic. That does not mean that they are all reversal bars but if we get these at the end of an up/down move there is a high probability that there will be a reversal.

I will share this indicator in the Elite downloads. It is entitled ReversalsV6.1 and it is for Ninja 6.5.

We can discuss the volume component to these trades later.

Jeff

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 gulabv 
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Michael.H View Post
sylvester17.....
All those trades i mentioned meet the criteria that was mentioned before, which was a need for a high volume bar. The trades that you mention at 10:20 was a losing trade that you mentioned yourself and 11:40 do not show that same high volume surge that i annotated on the charts.... you can easily spot those.


I put that chart up not to argue with you, just to point out that using candlestick patterns alone will not make you money, even if high volume is involved......
Also, if you were trading the ES on this and not the CL, you would have nyse tick data, as well as other market breadth indicators showing the skewed activity to the upside for that day, so you could have just avoided short triggers all together and stayed safe... Like i said, you can't do that with CL bc no such thing exists.

Michael H - where can I find the NYSE tick indicator and other market breath indicators that you mention? Thanks in advance

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 cunparis 
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Zoethecus View Post
Is that a custom indicator identifying the setup bars?

Yeah, it's really easy to write in Easylanguage and even easier in market delta. Should be slightly more difficult for ninja. Here is the easylanguage code:

 
Code
Inputs:        IB(Blue), OB(Cyan), Lunch(Red), StartTime(1500), EndTime(2015);

if High[0] <= High[1] and Low[0] >= Low[1] then
    PlotPaintBar(H,L,O,C,"InsideBar",IB);

if High[0] >= High[1] and Low[0] <= Low[1] then
    PlotPaintBar(H,L,O,C,"InsideBar",OB);

if time >= 1800 and Time <= 1900 then
    PlotPaintBar(H,L,O,C,"InsideBar",Lunch);
if Time <= StartTime then
    PlotPaintBar(H,L,O,C,"InsideBar",Lunch);
if Time >= EndTime then
    PlotPaintBar(H,L,O,C,"InsideBar",Lunch);

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 rassi 
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gulabv View Post
Michael H - where can I find the NYSE tick indicator and other market breath indicators that you mention? Thanks in advance

This will depend on which charting package you are currently running and also you will need a data provider who supplies the correct data as most do not, one that does is DTN IQfeed.

also see here
TraderFeed: Trading With the NYSE TICK - Part Two

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 Todd 
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Jeff,

Fat Tails showed me this thread. I've read thru it but I think my mind is tired so you'll have to forgive my dumb question.

Can you post a chart(s) showing an outside bar and a reversal bar? I saw plenty of examples of inside bars (the yellow ones) when I skimmed the thread but I don't think I saw charts showing the other 2.

Thanks,
Todd

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 emini_Holy_Grail 
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Does anyone believe that the back test results from Strategy analyzer are reliable? mean, can the trades from backtest close to, if we did in real time data?

or is the sim trade in real time data or market replay better?

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 Jeff Castille 
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Todd View Post
Jeff,

Fat Tails showed me this thread. I've read thru it but I think my mind is tired so you'll have to forgive my dumb question.

Can you post a chart(s) showing an outside bar and a reversal bar? I saw plenty of examples of inside bars (the yellow ones) when I skimmed the thread but I don't think I saw charts showing the other 2.

Thanks,
Todd

Hi Todd,

Probably the best way to see ALL of the bar types that this thread is concerned with (inside/outside/reversal) would be to load the Reversals V6.1 indicator on the 7-10 contract of CL (15 min) for the last 35 days and you will see days....of charts. The reason that the reversal bars have not appeared on any charts is that the indicator was just posted Fri afternoon. Remember that a tradeable reversal bar MUST come AFTER an up/down move.

Jeff

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 Todd 
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Jeff,

I use NT7. Does your current Reversal 6.1 indicator work in NT7? If so, where can I find it?

Todd

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 Jeff Castille 
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Todd View Post
Jeff,

I use NT7. Does your current Reversal 6.1 indicator work in NT7? If so, where can I find it?

Todd


Hmmmmm........I don't know........I've been sticking with Ninja 6.5 until Ninja is done with their beta versions of 7.

The Ninja 6.5 version is in the elite downloads.

I think Roonius may have made me a Ninja 7 version.........which is sitting in my email......and I have no way of checking.......let me see what I can find.

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 Todd 
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Thanks for checking...

I would have stuck with NT6.5 but I use SBS Renko bars alot and the CMI pivot indicators would not produce accurate pivots with SBS renko charts in 6.5. But they work in NT7.

Todd

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 Jeff Castille 
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Todd View Post
Thanks for checking...

I would have stuck with NT6.5 but I use SBS Renko bars alot and the CMI pivot indicators would not produce accurate pivots with SBS renko charts in 6.5. But they work in NT7.

Todd

Well......here is the Ninja 7 version. I'm not sure if I attached this in a way that you can access it.......but.....this was the only way I could think of since I don't have ninja 7.

Let me know if this works......if so we can post it in the elite section

Jeff

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 Todd 
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Jeff,

I downloaded the zip file to my desktop
I imported it into the ninja7 and ninja 7 said "imported"
I went into "edit ninjascript" and compiled some random indicator - no problem

BUT...
When I opened the indicator page on my 15 minute chart, I couldn't find the Reversals indicator in the list. Not sure if I did something wrong or if the ninjascript is somehow not in that zip file.

Maybe someone else can try this also.

Todd

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 Jeff Castille 
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Todd View Post
Jeff,

I downloaded the zip file to my desktop
I imported it into the ninja7 and ninja 7 said "imported"
I went into "edit ninjascript" and compiled some random indicator - no problem

BUT...
When I opened the indicator page on my 15 minute chart, I couldn't find the Reversals indicator in the list. Not sure if I did something wrong or if the ninjascript is somehow not in that zip file.

Maybe someone else can try this also.

Todd

Or......maybe I can get Roonius to post it in the elite section tomorrow. Stay tuned.....

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 Zoethecus 
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emini_Holy_Grail View Post
Does anyone believe that the back test results from Strategy analyzer are reliable? mean, can the trades from backtest close to, if we did in real time data?

or is the sim trade in real time data or market replay better?

Strategy analyzer is not accurate for backtesting, let alone reliable.

It's not an either or question. Live trading trumps everything: backtesting, sim, and replay.

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 lolu 
Lagos, Nigeria
 
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Todd View Post
Jeff,

I downloaded the zip file to my desktop
I imported it into the ninja7 and ninja 7 said "imported"
I went into "edit ninjascript" and compiled some random indicator - no problem

BUT...
When I opened the indicator page on my 15 minute chart, I couldn't find the Reversals indicator in the list. Not sure if I did something wrong or if the ninjascript is somehow not in that zip file.

Maybe someone else can try this also.

Todd

Todd,

The zip file contains the ReversalsV6.cs (it should have been named ReversalsV7) file, which you'll have to manually compile into NT7. I have successful done that, just now (into my NT7b17). So, unzip the zip file and compile the ReversalsV6.cs into your NT7.

Lolu

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 lolu 
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Well......here is the Ninja 7 version. I'm not sure if I attached this in a way that you can access it.......but.....this was the only way I could think of since I don't have ninja 7.

Let me know if this works......if so we can post it in the elite section

Jeff

Jeff,

Does this Reversals indicator work well with Range, Renko, and other chart types too ?

Lolu

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 Jeff Castille 
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lolu View Post
Todd,

The zip file contains the ReversalsV6.cs (it should have been named ReversalsV7) file, which you'll have to manually compile into NT7. I have successful done that, just now (into my NT7b17). So, unzip the zip file and compile the ReversalsV6.cs into your NT7.

Lolu

Hey Lolu,

Thanks for helping Todd........the reason that the file is entitled ReversalsV6 is because that indicator has gone through 6 different versions........we called the one that works in Ninja 6.5 ReversalsV6.1 just to differentiate between the two.

So......it should NOT have been called V7.


Jeff

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 Jeff Castille 
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lolu View Post
Jeff,

Does this Reversals indicator work well with Range, Renko, and other chart types too ?

Lolu

Hey Lolu,

I don't think the reversals indicator would be of much use on anything other than minute charts. But........you can try. The Range bars would NOT be able to show an inside/outside bar as all the bars are the same.

Jeff

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 Todd 
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Lolu,

I'm still using Beta 16 so maybe that is why the indicator doesn't show up. I always like to wait at least a week after ninja releases a new beta before I install it and replace something that is working pretty well for me.

I just went to the NT7 beta forum and saw that people were having some memory issues with beta 17. Are you having any problems with beta 17?

Todd

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 lolu 
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Todd View Post
Lolu,

I'm still using Beta 16 so maybe that is why the indicator doesn't show up. I always like to wait at least a week after ninja releases a new beta before I install it and replace something that is working pretty well for me.

I just went to the NT7 beta forum and saw that people were having some memory issues with beta 17. Are you having any problems with beta 17?

Todd

No problem with my NT7beta17 setups. I always upgrade to the latest beta immediately NT notifies me and I've had no issues. In any case, I run my Windows XP/NT on my Mac's MAC OS X/VMware Fusion environment.

Lolu

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 Jeff Castille 
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Two inside bars......+34

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 LukeGeniol 
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Jeff Castille View Post
Two inside bars......+34

Good catch!

Luke.

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Luke.
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 Jeff Castille 
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That'll do it.......+58. Three inside bars today.

See you at the Al Brooks webinar !!!!

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 cunparis 
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Great work Jeff. I caught one of those myself, got +8 and stopped out breakeven. Then I realized my IQFeed continuous contract was july but I was trading august. oops. by the time I got it fixed I missed another one. I count 11 total trades including premarket. And I think all 11 would be at least +8. Amazing.

I know the day I start doing this with real money will be the day it stops out a few times.. hehe..

sorry for the poor chart, market delta has the worst drawing tools I've ever seen. QuoteTracker was better..



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 Fat Tails 
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I quite enjoyed this little article by Jeffrey Kennedy, it makes sense. The wonderful thing about looking at single bars is that the noise is already filtered out and you only get the essentials.

Want to post here some ideas with respect to inside bars.

An inside bar is a 1-bar consolidation period that follows an expansion bar, which is a 1-period trending bar. However, the trending periods are shorter in time than the consolidation periods, so you may typically expect more than one "inside" bar after a trend move. There are different variations of inside bars:

Single inside bar

As described in the posts Low[1]>Low[0] and High[1]<High[0]. Means that the value shift that occured during the continuous auction, which is described by the prior bar, is now being tested.

Arrow as described by Jeffrey Kennedy

An inside bar on a timeframe x 2, with reduced volatility of bar 4 compared to bar 3.

Double inside bar

An inside bar followed by an inside bar.

Inside close bars (see charts below)

Usually an expansion bar is followed by several inside close bars. These bars are testing the upper and lower limit of the range. The 15 min ES charts below for last Friday and today uses an indicator that

- identifies upthrusting and downthrusting expansion bars (lime and red)
- trading ranges created by these bars (magenta)
- inside close bars -> all other bars (doji -> white, upclose -> hollow green, downclose -> hollow red)

If you count the bars, you will find that Friday's ETH session had 6 upthrust, 6 downthrust bars and 81 inside close bars. If you take the day session only, there were 3 upthrust, 3 downthrust and 21 inside close bars. This would yield you 22% trending and 78% ranging price action. Friday was a terrible day, where price went nowhere.

Today, as per the chart shown, there were 4 downthrust, no upthrust bar and 15 inside close bars after the open at 9:30 AM, so the percentage comes down to 21% trending and 79% ranging bars. A trending day still has mostly inside close bars, just the thrust bars are all heading in the same direction.

The (ii) or (iii) trading range from Al Brooks (see his book)

I remember a huge quantity of those. Al Brooks suggests to trade or to fade the breakout, depending on where it occurs. You can fade it, if it is a final trading range that already broke the trendline, so the breakout is the test of the high or low. I also like to fade them, if the trading range follows a churn bar located outside or at the border of my Keltner Channel.

The popgun from Jeffrey Kennedy

Is similar to the failed break-out from the final trading range. The popgun, requires that there is a double inside bar, the (ii) or (iii) approach just looks at low range bars with a small body (dojis), but otherwise the popgun is a failure of a breakout from a trading range, as described by Al Brooks.

How to trade?

You first need a setup bar. This is the bar - or in case of the arrow, the 2 bars - that precedes the inside bar. The setup bar establishes a trading range. The inside bar signals reduced volatility. Usually it will take several bars to dissolve the trading range. Now you have two options for the trigger

-> agressive entry, a few ticks above of below the last inside or narrow range bar
-> conservative entry, when a bar has closed x % outside of the trading range (percentage of the width of the trading range)

In both cases price action can quickly revert and you may get trapped. This is the popgun setup, which is a failed breakout. For some instruments - in particular ES - I have suffered failures of failed failures with the result that I got whipsawed several times.

Filters

So the setup is only tradeable when using some filters.
- direction and maturity of the underlying trend (linreg indicator would do this)
- an idea whether volatiliy might rise or not, depending on news and time of the day
- mean reversion (I use Keltner channels -> I do not trade a long setup if the market is already extremely overbought)
- volume analysis to spot churning and potential reversals

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 emini_Holy_Grail 
Dallas,TX
 
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can someone give link to download BetterVolume indicator as cant find in the download section

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 lolu 
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Jeff Castille View Post
Hey Loju,

I don't think the reversals indicator would be of much use on anything other than minute charts. But........you can try. The Range bars would NOT be able to show an inside/outside bar as all the bars are the same.

Jeff

See what I have on a Range chart, with the Reversals indicator; only the Magenta candles are showing. Can the Magenta candles be considered as reversals ?

Lolu

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 Fat Tails 
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Search "bettervolume"

View Download Details - Big Mike's Day Trading Forum


emini_Holy_Grail View Post
can someone give link to download BetterVolume indicator as cant find in the download section


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 emini_Holy_Grail 
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Thks Fat Tails

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 Jeff Castille 
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lolu View Post
See what I have on a Range chart, with the Reversals indicator; only the Magenta candles are showing. Can the Magenta candles be considered as reversals ?

Lolu

Hi Lolu,

I say no. See post #1 where reversal bars are defined..........the key is AFTER AN UP/DOWN MOVE........ON HIGHER VOLUME

Jeff

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 lolu 
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Jeff Castille View Post
Hi Lolu,

I say no. See post #1 where reversal bars are defined..........the key is AFTER AN UP/DOWN MOVE........ON HIGHER VOLUME

Jeff

See what I have now; and on NT7b17.

I have a bit of GOMVolumeLadder flavor in this setup. I'll now go through the "Three Set Ups" thread to have an in-depth understanding.

Lolu

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 gtichauer 
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Jeff Castille View Post
Hey Lolu,

I don't think the reversals indicator would be of much use on anything other than minute charts. But........you can try. The Range bars would NOT be able to show an inside/outside bar as all the bars are the same.

Jeff

I imagine they should also work on volume charts.....as the concept of why they work or what they represent is valid.....an amount of volume makes a big move (decision) and the same amount of volume consolidates within the previous bar (indecision)....same for OB, and RB

GT
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 lolu 
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I put the THREE SETUPS to a 6E test this morning @ 10:15am (GMT+1) on NT7b17 (my first trade of the day) and the result is of great interest to me (see attached screen shot). I also did a live real-time recording of the trade which I'll later post in my thread here.

You will observe that the trade was taken just at the beginning of NO TradingTime zone; I'll need to adjust my TradingTime zone because 10:30am is just two and half hours after London Open and could be active for me to trade 6E.

As you will notice, my chart has some flavor of GOMVolumeLadder. I want to explore how THREE SETUPS can integrate with GOMVolumeLadder.

Lolu

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 lolu 
Lagos, Nigeria
 
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Oooooooh !!!!! And another one. My second trade of the day and I'm done.

Lolu

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 LukeGeniol 
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Nice Lolu!!

Good job!

Luke.

Take your Pips, go out and Live.
Luke.
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 lolu 
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Still hanging out with THREE SET UPS; then took this trade which to me looked like a REVERSAL setup; but the trade momentarily went against me.

Please, I need some comments/views on what played out in the trade on the attached screenshot.

Lolu

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 worldwary 
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Thanks for this thread. I've been sim trading this with solid results over the past few days, after completely striking out trying to trade CL on lower timeframes.

One tweak to the system that's worked for me is to trade 3 contracts, with profit targets of 8 and 16 ticks on the first two and the third contract as a "runner" designed to catch larger moves. I don't have a mechanical system for this third contract but have just been manually trailing stops.

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