Until Tuesday, as a base, I was using 20 Excel files (4 files per weekday: 1> IB short + long trade 2> IB short + short trade 3> IB long + long trade 4> IB short + short trade), each file had >800.000 lines and 117 columns. Lots of data, making …
The trades in this journal are based on historical statistics (FDAX 2010-2020). I’m looking at the initial balance of the RTH DAX future (= IB = first 30 minutes 9:00-9:30 CET). And I’m looking at its direction, its position compared to the prior day and/or the prior day direction and the direction of the day before that. Possibly I’m adding some other parameters, but first will see how things turn out.
At 9:30 there can be 3 outcomes, a green IB (IBL), a red IB (IBS) or a (to be ignored) flat IB. Both IBL and IBS can trigger a long trade and a short trade. In my Excel sheets with the historical data, I will fill in the conditions that are actual for that day. The sheets then give me the best results for a long trade and for a short trade, with an entry – and exit time and the SL. I will only take a trade in case either the long trade or the short trade show a (to be defined) significant historical positive result.
I only take one trade per day and only if the odds look good ('Good? What's good??' ). In case (for example) a long trade is triggered for the morning and a short trade for the afternoon, I might take 2 trades, but I expect that to be exceptional. All trades start between 9:30 and 12:00 and exit between 10:00 and 15:30 (on the open and close of a 30 minute bar on the FDAX), with a SL 5 to 60 points.
To manage my risk, I will implement a schedule that tells me when to increase (and decrease!) the number of contracts to trade (posted below). For the journal, the results mentioned are in points for 1 contract traded.
The trading in this journal is inspired by GFIs1’s journal. I will also share my trades with you, with SL, and upfront if possible. Some days I will need to wait till the IB finished (9:30) to be able to decide on the trade, then to start the trade, and then to post it here. This is clearly not an investment advice, but just a personal journal.
A bit about myself. I’m from Amsterdam, have an accounting background and have been working self-employed since 2005. I started to work fulltime on trading in June 2019. I had been trading mainly stocks and stock options for about 25 years, just sometimes when I felt like it and without any plan. In the last 1,5 year I learned a lot and have a much better understanding of the retail trader’s world. During this time tried several ways of trading and one of the conclusions is, that trading without a plan, is (like I read over and over again) not going to work out. This seems to be something you have to experience, not just to be told. FIO is a big help in the whole process and I’m glad to be part of this great and helpful community.
I hope to get your feedback, for instance on the statistics I’m using, but let’s first get started.
The following 10 users say Thank You to Deetee for this post:
Wednesday 10 Feb 2021: IBS (first 30 minutes a red bar)
For the short trade, after applying the filters for that moment, it gives an outcome of 240pts with 17 trades, 4 wins/13 losses:
For the long trade, after applying the filters for that moment, it gives an outcome of 704pts with 17 trades, 13 wins/4 losses:
So, here I would take the long trade, from 9:30 till 14:30 with a SL of 45 pts. This would have resulted in 14 pts profit. Not much, but just wanted to give an example
The following 4 users say Thank You to Deetee for this post:
Because each weekday has its own statistics, basically there are 10 options:
5 weekdays with an IBL or an IBS
In 11 years, there are roughly 2800 trading days (after excluding holidays/IFO days), if you assume 50-50 on short and long IB’s, there are about 280 short trades per weekday and 280 long trades. But because of all the conditions I can filter on, it gives (way to) many possibilities.
I’m not sure how to approach this and am struggling with questions like, is the sample size big enough to count on these statistics? And if yes, to rely on the results, how many trades should be the minimum to take the trade?
The following 5 users say Thank You to Deetee for this post:
I don’t need to earn the margin before stepping up to the next level, but I want a) to trade 5 FDXM as soon as my profits are covering the risk and b) to be able to minimalize the risk considering a).
The below schedule indicates how I will increase/decrease the number of traded contracts.
* = The cumulative results (in EUR) minus 50% of the risk on this trade determines the number of contracts to trade
The above schedule will be applied to each of these options separately:
Once profits are coming in, scaling down and moving the SL are to be investigated.
The following user says Thank You to Deetee for this post:
In the Wednesday IBS (red IB bar) file, when I add filters on ‘Down gap’, ’Gap closed’ and IB 9:30 position ‘Below’, the results given are only based on 8 trades (in 11 years).
* For the short trade it gave 88 pts (4 win/4 loss), 9:30-11:30 SL 20.
* For the long trade it gave 292 pts (5 win/3 loss), 10:00-14:30 SL15.
The numbers for the long trade look good enough, I just think the 8 (historical) trades is too small quantity to use here as a trigger for a live trade. So no trade today.
The following user says Thank You to Deetee for this post:
In the Thursday files, when I add filters on ‘No gap’, IB 9:30 position ‘Inside’ and filters on Prior Day OC and the day before, the better results are given for the short trade. At 9:30 the IB position was shortly below and not inside prior day’s HL range though.
For the short trade it gave 446 pts (15 win/4 loss), 10:30-14:30 SL 35.
For the long trade it gave 168 pts (4 win/15 loss).
The numbers for the short trade look good, also because when I remove filters step by step, the short trade keeps on showing good results (on bigger number of trades, so that gives more confidence).
DAX Short trade
Entry 10:30 @ 13905
Exit 14:30 @ 13940 (SL 13:33)
SL 35pts (CORRECTED)
Result - 35 pts
Historical results with this setup :
446 pts (15 win/4 loss)
Let's see
Edit 14:32 – In the morning the SL seemed to be spot on, and then price went in the right direction. Until it didn’t
The following 2 users say Thank You to Deetee for this post:
In the Friday files, when I add filters on ‘No gap’, IB 9:30 position ‘Inside’ and filters on Prior Day OC and the day before, the better results are given for the short trade.
DAX Short trade
Entry 10:00 @ 13937
Exit 12:30 @ 13949
SL 40pts
Result - 12 pts
Historical results with this setup:
758 pts (18 win/10 loss)
Let's see
edit 13:30: At least the SL was good
The following 3 users say Thank You to Deetee for this post:
(German) IFO day (@10am).
This weekend I started to analyse the IFO days (2010-2020), but unfortunately the work is not finished yet. So I won't trade today.
Soon I will have detailed analyses to share with you, showing historical results for trading on IFO days.
The following 5 users say Thank You to Deetee for this post:
I have been analysing historical data (from 2010 to 2020) on IFO days.
Below I mention the best results, only based on the direction of the 10:00-10:30 bar and additional the IB direction.
First, I looked at setups with entry time 10:30 (30 minutes after IFO announcement):
The green marked setup seems to be interesting.
Next, I looked at setups with entry times 10:30, 11:00, 11:30 and 12:00:
Some have a nice win rate, but in general the risk-reward doesn’t look good.
To decrease risk/exposure it might be worth to choose for instance a lower SL or a shorter trading timeframe with a slightly lower result.
When adding other filters (like with the daily trades), it will give different outcomes. For instance, looking at the length of the 10:00-10:30 bar will have a positive effect on the results:
There are several ways to drill down on the data/results, but here I just wanted to show you the outcome of this analyses on IFO days
The following 4 users say Thank You to Deetee for this post:
if you add here and there filters and filter out the very thin data basis even more, you are making cherry picking. This will not result in a stable system. You should split your data basis in a training- and test set and compare the results with fixed rules. You should also measure the size distribution of the trade results. If you make any good looking "profit per trade" numbers with only very few trades, these could be outlier which skews your results. But these are the basics of backtesting which were already well described here at futuresio.
Regards,
Koepisch
The following 4 users say Thank You to Koepisch for this post:
Thank you. I am looking help, so your feedback is appreciated.
I am aware of the thin data basis, and that with filtering down the selection becomes cherry picking. I wasn’t sure about my approach. About when the selection becomes cherry picking, about the population/sample size, and how to approach this data in finding setups. I have been searching on how to handle statistics (without the answers I was looking for), but not on back testing; will do. Is there perhaps a good thread you can recommend?
For my understanding, for example, taking the IFO case above, the bottom setup filters the IFO days, 10:00-10:30 bar green within a (length) range, and triggers a long trade from 11:30-14:30 with a SL of 20pts. Can’t this be seen as fixed rules? I guess not, but is that because only 19 trades remained?
Thanks again,
Deetee
The following 2 users say Thank You to Deetee for this post:
In the Tuesday files, when I add filters on IBS, ‘Up gap & gap closed’ , IB 9:30 position ‘Inside’ the results look good but conflicting.
For a short trade the best result is 445 pts (12 win/9 loss), but this includes a large win of 353 pts.
For a long trade the best result is 466 pts (12 win/9 loss), this include large winners of 222 + 146 pts.
So, no trade today
edit 24-2-21 7:50: I just now notice that the short trade was for 9:30-11:00 (SL50) and the long trade for 11:00-15:30 (SL40). The short would have given 142 pts profit and the long 40 pts loss
The following 3 users say Thank You to Deetee for this post:
This morning I noticed that yesterday the trading times of the short and the long trades were not conflicting (as the trading times were not overlapping) and would have given a nice profit (102 pts). I was a bit in a rush and didn’t do the preparation work properly. Lesson learned.
In the Wednesday files, when I add filters on IBL, ‘No gap’, IB 9:30 position ‘Inside’ and Prior Day Hi/Lo on extreme, the results are not the best but the win rates are OK.
For a short trade the best result is only 136 pts (9 win/3 loss), from 11:30 – 12:00 SL20.
For a long trade the best result is 186 pts (9 win/3 loss), from 12:00 – 14:00 SL45.
I will take both trades, only for the long trade using a 20 pts stop (178 pts, 9 win/3 loss) to have a better risk/reward.
DAX Short trade
Entry 11:30 @ 13971
Exit 12:00 @ 13991 (SL, was exactly the high of this 30min bar. I traded the CFD IBDE30 and escaped from the SL and ended with 1 pts loss)
SL 20pts
Result - 20 pts
Historical results with this setup:
136 pts (9 win/3 loss)
= = = =
DAX Long trade
Entry 12:00 @ 13974 (not the best place to go long)
Exit 14:00 @
SL 20pts
Result - 20 pts
Historical results with this setup:
178 pts (9 win/3 loss)
Let's see
edit 17:48 Well, at least I'm creating some statistics. Hopefully better tomorrow
The following 3 users say Thank You to Deetee for this post:
In the Thursday files, when I add filters on IBS, ‘Up gap & closed’, IB 9:30 position ‘Above’ it turns out that there were only 7 occurrences (out of 269 Thursday IBS days in 2010 to 2020). I’m taking the ‘Above’ as the IB closed near prior day’s high, which then gives 39 occurrences.
For a short trade the best result is 574 pts (18 win/21 loss), from 9:30 – 15:00 SL30.
For a long trade the best result is 461 pts (24 win/15 loss), from 11:00 – 12:30 SL25.
The win rate should at least be 1 so the short trade is off. I will take the long trade, also because when I filter it down with prior day OC and the day before, results still look good.
DAX Long trade
Entry 11:00 @ 13971
Exit 12:30 @ 13946 (SL)
SL 25pts
Result - 25 pts
Historical results with this setup:
461 pts (24 win/15 loss)
Let's see
edit 12:30 So far, not so good. Anyway, I'm learning
The following 4 users say Thank You to Deetee for this post:
Good morning, today it is the last trading day of the month, which I analysed separately.
There are 84 occurrences between 2010 and 2020. So, the sample size is small. When adding Friday and IBL to the filters only 7 occurrences remain… Too thin for a trade.
Anyway, just for the record:
For a short trade the best result is 112 pts (4 win/3 loss), from 11:00 – 12:00 SL20.
For a long trade the best result is 153 pts (5 win/2 loss), from 12:00 – 14:00 SL45.
No trade today
The following 3 users say Thank You to Deetee for this post:
6 trades, 6 losses. This journal might looks like a joke, but it's a real thing
The only winning day (2 trades, 102pts, last Tuesday) I missed by 'mistake'
Basicly I see 10 setups (see table above) and 6 of them lost their first trade. I would like to think 'you win some, you lose some', but 6 losses out of 6 (or 7 losses out of 8 if I include last Tuesday) doesn't sound good.
Please comment on the approach as I can use some help to understand if this approach is a waste of time or not.
Anyway, have a good weekend and Monday another try.
Cheers,
Deetee
The following 4 users say Thank You to Deetee for this post:
In the Monday files, when I add filters on IBL, ‘Up gap & not closed’ and a Prior Day and the day before open/close ranges, the short trades give the better results.
I picked this setup because the win rate is good, and because on a higher level the results were ok as well:
DAX Short trade
Entry 12:00 @ 13937
Exit 15:00 @ 13914
SL 20 pts
Result 23 pts
Historical results with this setup:
253 pts (9 win/2 loss)
Let's see
The following 4 users say Thank You to Deetee for this post:
In the Tuesday files, when I add filters on IBL, ‘No gap’ and on Prior Day and the day before open/close ranges, the long trades give the better results.
For a long trade the best result is 342 pts (19 win/6 loss), from 10:30 – 15:30 SL35.
For a short trade the best result is 215 pts (4 win/12 loss), from 09:30 – 15:30 SL10.
DAX Long trade
Entry 10:30 @ 13997
Exit 15:30 @ 14091
SL 35 pts
Result 94 pts
Historical results with this setup:
342 pts (19 win/6 loss)
Let's see
edit 15:33: A good winner
The following 2 users say Thank You to Deetee for this post:
In the Wednesday files, when I add filters on IBL and on ‘Up gap & not closed’, then the long trades give better results (591pts 23win/16loss, 9:30-14:00 SL50) than the short trades.
After filtering down to prior day OC green and also 2 days ago OC green, the long trade results are not good and also. With these filters, the short trades look a bit better (183/11 7win/4loss, 11:30-15:30 SL60), but with this thin sample size and with an SL of 60 points I won’t take the trade.
The following 2 users say Thank You to Deetee for this post:
In the Thursday files, when I add filters on IBL, on ‘No gap’ and on Prior Day Hi/Lo, then the short trades give much better results (1037pts 51 win/21 loss) than the long trades.
After adding filters on prior day OC and the day before, the long trades are still not looking good (although long 9:30-10:00 with SL15 could make some points).
The short trade still looks good (301 pts 12 win/5 loss):
DAX Short trade
Entry 10:30 @ 14003
Exit 15:00 @ 14048 (SL)
SL 45 pts
Result -45 pts
Historical results with this setup:
1008 pts (50 win/22 loss)
Let's see
edit 17:14: Started nicely, ended at SL
The following 2 users say Thank You to Deetee for this post:
In the Friday files, when I add filters on IBS, on ‘No gap’ and IB 9:30 position below prior day Hi/Lo, the short trades look much better. The win rate is not too good, but in recent years it looks better.
Also after adding filters on prior day OC and the day before, the short trade 9:30-12:30 still looks ok:
DAX Short trade
Entry 9:30 @ 13926
Exit 12:30 @ 13956 (SL)
SL 30 pts
Result - 30 pts
Historical results with this setup:
280 pts (13 win/9 loss)
Let's see
The following 2 users say Thank You to Deetee for this post:
With only 10 trades in this journal I'm curious to see how this will turn out on the longer term. Context is probably most important in trading and I'm not sure how to come up with context/bias based on numbers.
I don't have clear what the answers are to questions I am having. Questions like, is the sample size big enough to rely on these statistics? And if yes, to rely on the results, how many trades should be the minimum to take the trade?
I'm considering to look for higher level setups (I mean with less filtering down) which would be based on a bigger sample size.
Monday another day. Have a good weekend
The following 3 users say Thank You to Deetee for this post:
For sure you do have more questions than answers. So let's play some more cards:
First I want to give a precise answer on two events
• A GAP in my trading is defined as IB 30m hi/lo of cash hour is OUTSIDE of previous day range. Totally.
• A Range Cross (VTR) in my system is when the IB is crossing the hi/lo of yesterday's range. This can happen inside out or vice versa.
The second term had not been described as I read your journal. But this is far more often than a real gap.
More from my system here
I am using in my rule set a combination of above events in combine with the IB range plus the weekday. So it is not obvious how my time settings change as those rules are cascading and individual for a certain situation. To make it more difficult - this includes end of month, holiday (incl. US) and time of very important news to suppress risk during that volatility (stop loss setting etc.).
Of course I am watching where the price is in the chart 1d, 1h, 30m - using Ichimoku Kinko Hyo (which you see in all my charts). When the price is in the KUMO there is a good chance that we see no direction. But if it is far outside and turns direction, then you can see how FAR it may wander through the KUMO in the next period. That is also part of the trading system I am using to omit losses. So last Thursday I did not take a trade because of such a situation.
If you see my given trades of the last 10 days then you see a large difference to yours - yes?
Your goal must be to find such recurring patterns in timeline. With those you will enhance your guiding parts to add some more - and "zack!" you will have the door open!
The proof of my trades you can see in my journal when every trade is described while evolving. With a pre trade description of the actual situation as well as the description of some breaking events during a trade.
Good trades
GFIs1
PS: Most "systems" work only for a certain time and stop suddenly to be positive. If I watch my journal here since 2012 I had all years a positive result. That is for the GFIs1 trading system as well for the high vola "Walzer system that came later. Looks good as I had not to change my rules because of change in the economies.
The following 6 users say Thank You to GFIs1 for this post:
Thank you @GFIs1 for your input.
I have been following your journal for >1,5 years, read all posts and made a small study of it. It is the base for this journal, so I really appreciate your input. Your ongoing results are what we all want I am far from there with this journal It’s a work in progress and time will tell.
I will look again at the gap/range cross, very clear now. Special treatment for holidays, last of month, triple witch, etc is clear (well, it’s clear to exclude them from the ‘normal’ days, not yet how to trade them). I also found some other details in your post above that gave some direction, great.
I have been looking at Ichimoku. From reading your thread/journal it became clear how predictable this sometimes can be; very impressive. Ichimoku is not taken into consideration in this journal (yet!?), but maybe in the future.
Thanks again
Deetee
The following 3 users say Thank You to Deetee for this post:
There are many paths to a stable system - but it needs often some "mettre les mains dans la pâte" - aka dirty hands. You will find the way for sure - good luck!
GFIs1
The following 3 users say Thank You to GFIs1 for this post:
In the Monday files, when I add filters on IBS, on ‘No gap’ and IB 9:30 position inside prior day Hi/Lo, the long trades look good (994 pts, 69 win/43 loss).
After adding filter on prior day HL range, the long trade gives 710 pts, 29 win/17 loss for the same entry/exit/SL.
DAX Long trade
Entry 12:00 @ 14089
Exit 14:00 @ 14103
SL 35 pts
Result 14 pts
Historical results with this setup:
710 pts (29 win/17 loss)
Let's see
edit 14:50: At 12:00, entering a long position didn't seem like a good idea, but it ended up with a small winner
The following 3 users say Thank You to Deetee for this post:
Yesterday’s range HL 433 pts is extreme and rare.
Combining this with IBS gives only 15 occurrences in 11 years (2010-2020), the best results are:
Long trade: 175 pts, 8 win/7 loss, 9:30-12:00 SL20
Short trade: 370 pts, 9 win/6 loss, 12:00-15:30 SL50
Yesterday’s range OC 380 pts is even more rare (5 occurrences). When adding this to the selection, only 4 occurrences remain. Best results are for the long trade 56 pts (3 win/1 loss) and for the short trade 49 pts (2 win/2 loss). I’ll be ignoring the prior day OC now.
Adding a range of IB HL to the filters, gives:
Long trade: 233 pts, 6win/2 loss, 9:30-12:00 SL20
Short trade: 211 pts, 6win/2 loss, 12:00-14:00 SL25
I’ll take both, even though with this volatility the SL is very low (so price should be running in the right direction once the trades start:
DAX Long trade
Entry 9:30 @ 14346
Exit 12:00 @ 14326 (SL, 4 pts too tight, otherwise 81 pts profit)
SL 20 pts
Result - 20 pts
Historical results with this setup:
233 pts (6 win/2 loss)
DAX Short trade
Entry 12:00 @ 14428
Exit 14:00 @ 14453 (SL, 6 pts too tight, otherwise 10 pts profit)
SL 25 pts
Result - 25 pts
Historical results with this setup:
211 pts (6 win/2 loss)
Let's see
edit 14:40: SL too tight. Happened before, will happen again
The following 2 users say Thank You to Deetee for this post:
The IB is thin. In the Wednesday files, when I add filters on IBL, on ‘No gap’, IB HL range and IB 9:30 position inside prior day Hi/Lo, on prior day OC range and the day before, short & long trade both look good.
DAX Short trade
Entry 9:30 @ 14445
Exit 11:00 @ 14490 (SL)
SL 45 pts
Result -45 pts
Historical results with this setup:
417 pts (20 win/5 loss)
>>
DAX Long trade
Entry 11:00 @ 14487
Exit 14:30 @ 11498
SL 35 pts
Result 11 pts
Historical results with this setup:
314 pts (18 win/7 loss)
Let's see
The following 2 users say Thank You to Deetee for this post:
In the Thursday files, when I add filters on IBS and on ‘Up gap & closed’, the long trade looks OK (461 pts, 24 win/15 loss with SL25 11:00-12:30). The short trade has a bad win ratio.
When I add IB position at 9:30 inside prior day HiLo range the same long trade gives the best results, so:
DAX Long trade
Entry 11:00 @ 14524
Exit 12:30 @ 14527
SL 25 pts
Result 3 pts
Historical results with this setup:
429 pts (20 win/12 loss)
Let's see
The following 2 users say Thank You to Deetee for this post:
Today IB is almost flat. I check both IBS and IBL, and for both the short trade has better results.
I’m tempted to take the short trade (480 pts (11 win/8 loss) 9:30-12:30 SL30), but being a bit more selective on which trades to take, might help the result in this journal
So, no trade today.
The following 2 users say Thank You to Deetee for this post:
may I ask what your understanding is from: The IB is almost flat". I know you are just using the first 30min of the cash-session (GFIs1 also uses just the first 30min), so your IB for today should be 61 points. What do you mean by almost flat?
The following 3 users say Thank You to tr8er for this post:
Thanks for asking. With flat I mean that the open/close is almost flat.
The first selection I use is whether the IB open/close is green (=IB long=IBL) or red (=IB short=IBS). Today is was 2 points, so I tried to find a trade that worked (historically seen) for both IBL and IBS. Having some clear rules for which trades to take and which not, is on my to do list...
Cheers,
Deetee
The following 3 users say Thank You to Deetee for this post:
This week 62 points loss.
For now, I want to continue the journal with the same system. I only would like to define hard rules for entry, but not sure yet what to base this on. There were trades lost, while the odds looked good.
In the meanwhile I am looking into alternatives based on the same data.
Total results for this journal:
Thanks for following Have a good weekend
The following 4 users say Thank You to Deetee for this post:
In the Monday files, when I add filters on IBL, on ‘No gap’ and IB position at 9:30 above prior day HiLo range the short trade gives 705 pts (14 win/8 loss) 10:00-15:00 SL25.
Also after adding filters on IB HiLo range, the same trade gives almost the best results, so:
DAX Short trade
Entry 10:00 @ 14543
Exit 15:00 @ 14527
SL 25 pts
Result 16 pts
Historical results with this setup:
458 pts (8 win/4 loss)
Let's see
The following 4 users say Thank You to Deetee for this post:
In the Tuesday files, when I add filters on IBL, on ‘No gap’, IB position at 9:30 inside prior day HiLo range and on IB HiLo range doesn’t give great results, although the long trade doesn’t look bad.
After adding filters on prior day HiLo range, the win % for the long trade looks good, so:
DAX Long trade
Entry 10:30 @ 14549 (entry at the high )
Exit 14:30 @ 14573
SL 40 pts
Result 24 pts
Historical results with this setup:
612 pts (45 win/17 loss)
Let's see
The following 3 users say Thank You to Deetee for this post:
In the Wednesday files, when I add filters on IBL, on ‘No gap’, IB position at 9:30 inside prior day HiLo range and on IB HiLo range, the long trade looks best, 865 pts (53 win/36 loss) with SL50.
After adding filters on prior day HiLo range and the day before (filtering out the extreme higher values), the best results are for the long trade, 9:30-15:30 SL60 924 pts (34 win/19 loss). I don’t like the SL of 60, but what I like or don't like is not really part of this system, so:
DAX Long trade
Entry 9:30 @ 14561
Exit 15:30 @ 14582
SL 60 pts
Result 21 pts
Historical results with this setup:
924 pts (34 win/19 loss)
Let's see
The following 3 users say Thank You to Deetee for this post:
FYI: For now, I want to continue the journal with the same system. I only would like to define hard rules for entry, but not sure yet what to base this on. There were trades lost, while the odds looked good.
In the meanwhile, I am looking into alternatives based on the same data.
The following 3 users say Thank You to Deetee for this post:
In the Monday files, when I add filters on IBL, on ‘No gap’ and on IB position at 9:30 inside prior day HiLo range, the short trade gives most points, 1168 pts (32 win/58 loss) with SL20.
After adding filters on IB HiLo (excluding the extreme values) and prior day HiLo range (also filtering out the extreme higher values), the best results are for the short trade, 9:30-15:00 SL40 1334 pts (36 win/32 loss). The long trade (with same filters) gives 262 pts but a better win % 43 win vs 25 losses.
In the Tuesday files, when I add filters on IBS, on ‘No gap’ and on IB position at 9:30 inside prior day HiLo range, the long and short trades give similar outcomes (Long 1144 pts 70 win/72 loss with SL35 / Short 1142 84 win/58 loss with SL60).
After adding filters on IB HiLo (to exclude the extreme values) and prior day HiLo range (also filtering out the extreme higher values), the best results are for the short trade, 10:30-15:30 SL55 973 pts (25 win/10 loss). Because Powell testifies at 15:00, I’ll take the following trade:
DAX Short trade
Entry 10:30 @ 14595
Exit 15:00 @
SL 35 pts
Result -35 pts
Historical results with this setup:
891 pts (23 win/12 loss)
Let's see
The following 2 users say Thank You to Deetee for this post:
In the Wednesday files, when I add filters on IBL, on ‘No gap’ and on IB position at 9:30 inside prior day HiLo range, the best long trade gives 1285 pts 81 win/55 loss with SL60.
After adding filters on prior day HiLo and prior day OpCl range and the day before (filtering out the extreme higher values), the long trade has the best results:
DAX Long trade
Entry 11:30 @ 14612
Exit 14:30 @ 14592 (SL)
SL 20 pts
Result -20 pts
Historical results with this setup:
362 pts (12 win/5 loss)
Let's see
edit 12:15: Chop day and entry was on the higher end of the range
The following 2 users say Thank You to Deetee for this post:
In the Thursday files, when I add filters on IBL, on ‘No gap’ and on IB position at 9:30 inside prior day HiLo range, the long trade gives a slightly better result (985 pts) than the short trade, but the short trade win % is much better (809 pts 79 win/45 loss with SL50) but 6-7 pts profit per trade is far from enough.
After playing with other filters, I will have to conclude not to trade today as nothing seem to give consistent results.
The following 3 users say Thank You to Deetee for this post:
Today @ 10:00 (CET) IFO. Positive numbers but price didn't really move. I guess that will start at 11:00
In this post ( Check post) I analysed IFO days. I didn’t split the outcome per weekday, which I will do now for the Friday.
The green marked ones have pretty good results, be it on a low number of trades. The 10:00-10:30 bar is green (but only 4 points). I'm not sure how to handle the hour difference between USA and Europe (daylight saving time), so to be on the safe side, the trade will run till 14:30.
DAX Long trade
Entry 11:00 @ 14739
Exit 14:30 @ 14714
SL 25 pts
Result -25 pts
Historical results with this setup:
322 pts (6 win/0 loss)
Let's see
edit 13:06: Even a 6 win out of 6 trades couldn't bring profits
The following 2 users say Thank You to Deetee for this post:
This week 120 points loss. Better results would be welcome.
Thanks for following and have a good weekend
FYI: For now, I want to continue the journal with the same system. I only would like to define hard rules for entry, but not sure yet what to base this on. There were trades lost, while the odds looked good.
In the meanwhile, I am looking into alternatives based on the same data.
The following 2 users say Thank You to Deetee for this post:
A bit late as I had everything ready, but then the IBL turned into IBS and the gap closed, so had to re-do the prep work.
In the Monday files, when I add filters on IBS, on ‘Up gap & closed’ and on IB position at 9:30 inside prior day HiLo range, the results for a long trade looks better, especially after excluding the extremes on prior day HiLo range, prior day OpCl range and the day before.
DAX Long trade
Entry 9:30 @ 14791
Exit 12:00 @ 14809
SL 30 pts
Result 18 pts
Historical results with this setup:
324 pts (8 win/3 loss)
Let's see
The following 3 users say Thank You to Deetee for this post:
In the Tuesday files, when I add filters on IBL and on ‘Up gap & not closed’, the results for a long trade (648 pts 26 win/19 loss SL50 10:00-15:00) look better than the short trade.
After excluding the extremes on prior day HiLo range, prior day OpCl range and the day before, the results are not getting better.
So, no trade today.
The following 2 users say Thank You to Deetee for this post:
For the ‘last day of the month’ I made a separate analysis.
On Wednesday + last day of the month + IBL + No gap, there are only 6 historical occurrences (short trades 77 pts 6 win/0 loss, long trades 136 pts 3 win/3 loss). Considering 5 out of 6 days had a red prior day and the thin sample size, no trade today.
The following 5 users say Thank You to Deetee for this post:
Long weekend coming up, no trading on Friday and Monday.
In the Thursday files, when I add filters on IBS and on ‘Up gap (both closed & not closed)’, the results for a long trade are slightly better than the short trade.
After excluding the extremes on the day before prior day OpCl range, the results for a short trade looks interesting (though be it thin), so:
DAX Short trade
Entry 9:30 @ 15067
Exit 12:00 @
SL 40 pts
Result .. pts
Historical results with this setup:
198 pts (8 win/1 loss)
Let's see
The following 4 users say Thank You to Deetee for this post:
Last Friday we travelled to The Azores, Portugal, to stay with my family in law for 5 weeks. On Terceira island are 0 active covid19 cases, so some (home) quarantine and a re-test are required. Even though also here face masks are mandatory, life is more normal, especially the social part.
Different time zone here (-/- 2 hrs compared to Amsterdam/CET), and I am not sure yet if I am going to put my alarm clock early every morning. Having better results on this journal would be a good motivator to wake up early.
Last week I had 2 trades in this journal, -/- 22 points loss. I have not done much on finding alternatives yet, but it’s on my to do list...
Total results for this journal:
Thanks for following
The following 5 users say Thank You to Deetee for this post:
In the Wednesday files, when I add filters on IBL, on ‘No gap’ and on IB position at 9:30 inside prior day HiLo range, the best result for a long trade (1285 pts, 81 win/55 loss, SL60 11:30-15:30) look much better than the short trade.
After excluding the extremes on prior day HiLo range, prior day OpCl range and the day before, the results for the long trade are still best, so:
DAX Long trade
Entry 11:30 @ 15223
Exit 15:30 @ 15188 (SL )
SL 35 pts
Result -35 pts
Historical results with this setup:
618 pts (26 win/19 loss)
Let's see
The following 4 users say Thank You to Deetee for this post:
Today the IB Op/Cl is only 1 point, so I would not take a trade as there is no clear direction. But:
In the Thursday files, when I add filters on IBL, on ‘No gap’ and on IB position at 9:30 inside prior day HiLo range, the best results are for a short trade (809 pts, 79 win/45 loss, SL50 10:30-13:00) (the best long trade gave 985 pts, 30 win/94 losses).
In the Thursday files, when I add filters on IBS, on ‘No gap’ and on IB position at 9:30 inside prior day HiLo range, also the best results are for a short trade (1148 pts, 83 win/65 loss, SL60 10:30-12:30).
IBL and IBS both have a similar outcome for entry time, exit time and SL. That could be interesting.
For both IBL and IBS, the SL is pretty high while the pts per trade is pretty low. That is not so interesting.
When I add a filter on prior day Op/Cl and on the day before, the IBS and IBL entry/exit times are not similar anymore, so I’ll skip the trade today.
Anyway, have a great day
The following 5 users say Thank You to Deetee for this post:
In the Friday files, when I add filters on IBS, on ‘No gap’ and on IB position at 9:30 inside prior day HiLo range, the best results are for a short trade (1438 pts, 75 win/78 loss, SL50 10:00-15:30) but the win % is not good (the best long trade gave 530 pts, 68 win/85 losses).
When I add a filter (excluding the extreme values) on prior day Hi/Lo, prior day Op/Cl and on the day before, the short trade still looks best, but not good enough for a trade (363 pts, 15 win/13 loss).
Anyway, I’ll skip the trade today, because while adding these filters one by one, I see different entry/exit times. I prefer to see some consistency while filtering down. Plus low volume on the IB.
Hopefully better stats for Monday!
The following 4 users say Thank You to Deetee for this post:
Dear followers, I entered the April Journal competition. I would appreciate it a lot if you could hit the THANKS button on my April posts
Last week I only had 1 trade in this journal, 35 points loss.
Even though some statistics show pretty good results in the past, the trades I’m taking in this journal are not successful.
I have started to look for adjustments. One of the things I want to look at, are short term trades (like 30-120 minutes).
Total results for this journal:
Thanks for following and have a good Sunday
The following 4 users say Thank You to Deetee for this post:
In the Monday files, when I add filters on IBS, on ‘No gap’ (the gap at opening was 1pt, but closed immediately) and on IB position at 9:30 inside prior day HiLo range, the best results are for a long trade (994 pts, 63 win/41 loss, SL35 12:00-14:00) (the best short trade gave 258 pts, 31 win/73 losses).
When I add a filter (excluding the extreme values) on prior day Hi/Lo the same long trade still looks good, so:
DAX Long trade
Entry 12:00 @ 15263
Exit 14:00 @ 15265
SL 35 pts
Result 2 pts
Historical results with this setup:
994 pts (63 win/41 loss)
Let's see
edit 14:07: In The Netherlands we have a saying, something like 'Who doesn't appreciate the small, is not worth the large'. I couldn't agree more, a win is a win and not a loss
The following 4 users say Thank You to Deetee for this post:
In the Tuesday files, when I add filters on IBL, on ‘No gap’ and on IB position at 9:30 inside prior day HiLo range, the best results are for a long trade (1007 pts, 81 win/41 loss, SL50 10:30-15:30) (the best short trade gave 233 pts).
When I add a filter (excluding the extreme values) on prior day Hi/Lo the same long trade still looks good, so:
DAX Long trade
Entry 10:30 @ 15271
Exit 15:30 @ 15221
SL 50 pts
Result -50 pts
Historical results with this setup:
913 pts (54 win/24 loss)
Let's see
Edit 13:28: Terrible German ZEW economic sentiment numbers, large move down. Tomorrow another day
The following 2 users say Thank You to Deetee for this post:
Even though I had done many checks before starting this journal, this week I found an error in the files. I haven’t checked the full impact, but this error effected the historical results
I would be very curious to see how the trades in this journal would have been without these errors (could be better or worse, but for sure not the same). I didn’t understand why the statistics (my files) showed good results, while the trades in this journal didn’t.
As a financial controller, I am sorry and disappointed not finding this discrepancy before starting the journal. As a trader, I have good hopes for future trades. Always look on the bright side of live
Tomorrow I will finalize the new files, there are some other changes too.
I will be back on Thursday, otherwise Friday. Hopefully starting to bring some profits that we can all benefit from; that's my goal.
Stay tuned
The following 5 users say Thank You to Deetee for this post:
You are not the only one. I have made tons of mistakes and continue make small errors here and there. Hope you get those data fixed in your file and find more accurate results to base your trades on. Thanks!
The following 3 users say Thank You to kanepa for this post:
Yes, I have exported 30 minute bar data (OHLC + volume) from NT8 (data from Kinetic) and am using Excel to analyse it (using a pivot table).
I'm still working on it, but I will share the Excel file(s) with you in the next days, so you can have a look if you're interested.
The following 4 users say Thank You to Deetee for this post:
Thanks for your post, good to see fellow Amsterdam/Dutch traders.
A few months ago I run exactly one backtest in NT8, just for the purpose to compare the results with the results I had in Excel. That confirmed to me that my files were correct, or better said, that 1 file was correct... I looked for it, but I can't find it anymore. I want to(/will) run more backtests in NT8, but I'm not a programmer. I understand the logic, but am limited in what I can program in NT8. Once I get to the backtesting, I will post the results here.
Have you considered starting a journal here with your strategie(s)?
The following 3 users say Thank You to Deetee for this post:
Ah ok, I'm curious to see your journal, I started following it now. Will look at it later.
(For this journal) I'm only looking at 30 minute bars, so I used minute data for the backtest. I use Excel because (compared to NT8) it's fast and it gives a full report for a variation of variables, see for example this snapshot. In NT8, I will need to run the backtest for each SL / entry time / exit time, and then manually enter the results in Excel to keep track of the backtest results. Maybe there is a function in NT8 for this that I am not aware of.
At this point, I want first to see in Excel which settings seem to be good/best, and then run the backtest(s) in NT8.
PS I'm in the April journal competition and would like to invite you (and anybody) to click on the THANKS button on (all? ) posts made in April.
The following 3 users say Thank You to Deetee for this post:
Until Tuesday, as a base, I was using 20 Excel files (4 files per weekday: 1> IB short + long trade 2> IB short + short trade 3> IB long + long trade 4> IB short + short trade), each file had >800.000 lines and 117 columns. Lots of data, making the Excel files slow and each time I wanted to change something, I had to go through each file taking the same steps (with the risk of making errors).
I decided to reduce the files in a way that these are easier to work with. To reduce the number of lines in the Excel files I had to use less entry times, less exit times and(/or) less SL options.
Things that I have changed are:
* 2021 Q1 data has been included (so the files cover 2010 – 2021 Q1)
* Only looking for trades with:
- Entry times: 9:30, 10:00 and 10:30 (CET)
- Exit times: 10:00, 10:30, 11:00, 11:30 and 12:00 (CET)
* Stoploss based on a % of the ATR (9%, 12%, 15%, 18%, 21% and 24%, so currently between +/- 12-34 pts). Because in 2010 the DAX opened at 6140, while right now price is above 15000.
By taking these steps, all data fits in one Excel file (410.000 lines).
Today I will do lots of checks to make sure that the file has correct data and hopefully finish before the end of the day, so I can continue on Friday. I will continue this journal, starting with a 0 balance, because of the errors I found in the previous files (see post No. 62 in this thread).
Stay tuned and have a great day
The following 5 users say Thank You to Deetee for this post:
I would like to share the file that I am going to use from now on (see previous post for more information), which is attached.
There is a sheet ‘Info’, with some explanation of the data. Sheet ‘FDAX 30min’ has the data and sheet ‘Pivot’ is the report, where I pick the trade after setting the relevant filters.
I have another file which has all the 30min bar data and the formulas to calculate the other data, which is large and slow.
I want to set some hard rules and ‘just’ follow these but will need to work on that in the coming period.
In the meanwhile, I will continue trading how I did before.
After setting the hard rules, I would like to run some backtests in NT8 for the better trades. I wanted to do this today, but this is going to be more complicated, as the SL is now a % of the ATR instead of a absolute number. I will need to find out how I can do this in the strategy builder
Please hit the THANKS button on my April posts (for the journal contest)
I’m curious to hear what you think of the file, and if you have any questions, I’m happy to answer these.
Let’s see tomorrow
The following 6 users say Thank You to Deetee for this post:
Very generous of you to freely share your work. I look forward to checking out your spreadsheets. Even though I don't currently trade EUREX products I'm sure I'll learn something. So thanks
Also, as long as we're sharing, I thought I'd also mention a few things I've learned along the way. First, some markets exhibit slight time- and calendar-based tendencies even without the influence of any other factor. Though their effects may be modest, and in the vast majority of cases insufficient to generate profitable trading strategies on their own, these mini-cycles can and do exist. Just as seasonals can influence a commodity's behavior on an intra-year timeframe, shorter-cycle "seasonals" can influence a commodity's behavior on intra-month, intra-week, and even intra-day time-frames as well.
Because of this, I've found it helpful to break the data down not only by day-name (Monday, Tuesday, etc) but by sequence in the week and month, i.e. first of week, second of week, last of week, first trading day of month, last trading day of month, etc. Although the work has been tedious, I've learned a few little tidbits here and there, as I'm sure you have as well.
Good luck tomorrow
The following 4 users say Thank You to Schnook for this post:
Today the first day using the new file. This file also contains the win percentage for each trade; the previous files didn’t have this, and I could only check this manually for a few good looking trades. The win % will be telling me which trade to take, although I need to be careful and to know (and to define) when not to trade. Still some work to be done here.
We started the day with a 3 points up gap, which closed in the first minute. Combined with a long IB, there have only been 10 occasions in the past 11 years (with gaps between 1 and 11 points). Please see below snapshot. 10 trades is very little to base a trade on, especially when the . Also, a new ATH has been made, which my file does not have information about.
I’m eager to get started, but again, knowing when not to trade is important, and this might be one of those moments. So, I will not take a trade today.
The following 3 users say Thank You to Deetee for this post:
It has been a lot of work, but I'm happy to share it. I think it can only do good to me and to other traders.
That's great info. The idea of breaking down by weekday (Mon-Tue...) I got from GFIs1's journal. He also has special rules for last day of the month, and days before/after holidays. And your post confirms that I should dig into that too. One thing at the time, but thanks, very helpful
The following 2 users say Thank You to Deetee for this post:
Just like last Friday, we started the day with a 3 points up gap, which closed in the first minute.
Combined with a short IB, there have been 30 occasions in the past 11 years. The max. total result is 352 pts but has a win % of 30%, while the max. total win % is 60%, but has a total result of 110 pts. That doesn’t sound good for a trade.
I tried other filters, like Prior Day HL (as this was pretty high, 217pts), but still it doesn’t show good results with a good number of trades.
Same like Friday, I’m eager to get started, but today seems not a good day for a trade following this system. So, I will not take a trade today .
Today I will spend time trying to define hard rules. For instance, what is the minimum number of historical trades, and how many points per trade (on average) do we need to base a trade on.
The following 3 users say Thank You to Deetee for this post:
The data has 2850 trades/trading days (2010 till 2021 Q1).
Filters I always want to use are:
• Event: No (event days I will treat separately)
• Day of the week: Mon-Tue-Wed-Thu-Fri
• IB direction: 9:00-9:30 green bar (IBL) or red bar (IBS). 47 occasions have a flat IB (open/close), which I exclude.
• Gap at opening: Up-No-Down (prior day high/low vs. today’s opening)
• Gap closed during IB: Yes-No (not applicable if there is no gap)
The first thing I would like to define, is the minimum number of trades I need to see, to be able to count on the statistics. After using the above filters, 2440 trades/trading days remain. These are the details:
The days without a gap need extra filters, but most up/down gap days have just a small sample set (so there is often no space to add filters). However, these gap days can have good results (pts per trade) with win percentages over 70%. For example, on Thursdays with filters IBS, down gap & closed, the 9:30 – 10:00 long trade scores 100% with 185 pts profit, but the sample size is only 6 trades. With the same filters, but then trading till 11:30 would give 83% (5 win/1 loss) with 347 pts. I would probably take this trade, especially because the short trades have a bad outcome.
It is going to take more time than I first thought, but this is the way I am going to look at the data. To create hard rules for me to follow, so there is nothing to think about anymore. ‘Just’ following the rules. I hope this makes sense
The following 3 users say Thank You to Deetee for this post:
Just like last Friday and yesterday, we started the day with a very small gap (today a down gap of 2 points), which closed in the first minute.
Combined with a long IB, there have been 19 occasions in the past 11 years. The max. total result is 184 pts with a win % of 68% (long trade 10:30-12:00 SL25).
The win % is good, but the points per trade is a bit low.
I would be looking for an extra confirmation to take the trade, but filtering down on a sample size of 19 trades doesn’t seem like a good idea.
DAX Long trade
Entry 10:30 @ 15352
Exit 12:00 @ 15327
SL 25 pts
Result -25 pts
Historical results with this setup:
184 pts (19 trades/win% 68%)
Let's see
PS. I have been working on writing down hard rules, and I have seen some really nice setups
edit 10:46: ... and this wasn't one of them
The following 3 users say Thank You to Deetee for this post:
Yesterday we had a high/low of 289 pts in de FDAX, which I want to use in the filters as this is significant.
Today we opened in yesterday’s HL range (no gap). Combined with a short IB, there have been 3 occasions in the past 11 years. Not a good base for a trade.
Tomorrow another day
The following 2 users say Thank You to Deetee for this post:
Today we opened with a up gap which hasn’t closed yet. Combined with a long IB, there have been 37 occasions in the past 11 years, with a win % of 62%.
DAX Long trade
Entry 10:30 @ 15274
Exit 12:00 @ 15306
SL 29 pts
Result 32 pts
Historical results with this setup:
347 pts (34 trades/win% 68%)
Let's see
The following 2 users say Thank You to Deetee for this post:
This week I had 3 trades in this (restarted) journal, 40 points profit.
I have been working on setups (hard rules). For up – and down gaps the rules are set. For the days without a gap, there are much more occasions. I have to filter these down to find setups, in a way, that I’m not cherry picking. Work in progress.
I’m happy to start the first week with a profit, although it means nothing much
Total results for this (restarted) journal:
Thanks for following and have a good weekend
The following 4 users say Thank You to Deetee for this post:
Today IFO numbers were released and missed the forecast. I’m using a separate file for IFO days, mainly looking at the 10:00-10:30 bar. For the Monday, there are only 14x red bars and 23 green bars, and I don’t see good results.
So no trade today.
The following 3 users say Thank You to Deetee for this post:
Today we opened on the high of yesterday and during IB price moved above prior day HL range, and moved back into the PrD HL range.
The IB is short.
DAX Short trade
Entry 9:30 @ 15304
Exit 10:00 @ 15334 (SL)
SL 30 pts
Result -30 pts
Historical results with this setup:
432 pts (42 trades/win% 76%)
Let's see
edit 10:01: SL 1 point too tight (otherwise 4pts profit). I will think of a rule, that when the high of the day is so near the system's SL, that I will extend the SL a few points above the high
Today it’s the last day of the month. The IB is long. Combined with ‘no gap’ and ‘IB inside prior day HL range’, the file only gives 7 results. All pointing out a long trade, but very thin to take a trade on.
So, no trade today.
The following user says Thank You to Deetee for this post:
Hi @Deetee, I removed the .zip file as you requested.
"If you don't design your own life plan, chances are you'll fall into someone else's plan. And guess what they have planned for you? Not much." - Jim Rohn
The following 3 users say Thank You to Daytrader999 for this post:
Back in Amsterdam in a more relaxed time zone and I am going to continue this journal.
I have been working on defining hard rules for this system. I have now many setups, depending on which day of the week it is, IB direction and on gaps. And on other variables. There is not a setup for all occasions, also some rules are conflicting, which would lead to not taking a trade.
There are some points that I’m not sure how to handle. For instance, if there is a gap of just a few points, or if the IB OC is just a few points and doesn’t give a clear direction. I didn’t exclude these from my files/historical results, so I guess I should also just consider these as a gap or IB direction even if it’s just a few points. I’m considering redoing a part of the work, excluding these kinds of situations.
I checked manually these setups (slippage not taken into consideration), which are giving good results for Jan-Apr 2021 (55 trades):
And for May:
Sounds hopeful to me
The following 2 users say Thank You to Deetee for this post:
First - congrats on your good ranking in the fio journal contest!
Then just to mention that today Frankfurt is open for trading. There is a higher risk as the volumes are not there - but the vola might be high today!
So - just for stronger nerves
As you do have days that are excluded by your hard rules you will be relaxed.
Happy holidays
GFIs1
The following user says Thank You to GFIs1 for this post:
Thanks for your message. Your trade is going strong!!
With only 11 occasions in 11 years (of which 8x IBS), and with below outcomes, I decided not to trade today. The short 9:30-10:00 would be good, the long from 10:30-11:30 with a small SL would have been a loss, together a profit.
Indeed, no stress
Happy holidays too
The following user says Thank You to Deetee for this post:
). In case (for example) a long trade is triggered for the morning and a short trade for the afternoon, I might take 2 trades, but I expect that to be exceptional. All trades start between 9:30 and 12:00 and exit between 10:00 and 15:30 (on the open and close of a 30 minute bar on the FDAX), with a SL 5 to 60 
) 
