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Tundi's ATS
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Tundi's ATS

  #21 (permalink)
Elite Member
Honolulu, Hawaii
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: ATC/TT, AMP/Zen-Fire, AMP/CQG
Favorite Futures: TF
 
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Tundi View Post
How do you know when volume is up?

Any volume indicator. Trade 9:30EST - 11:00 EST is best.

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  #22 (permalink)
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Tundi View Post
6E is in a drawdown that seems to be within the backtest norms. However, if it breaks that threshold I'll seriously consider sending it to the recycle bin.

I continue to be impressed with the action of ZW.

SI and GC are not in the official test just yet. I'll continue to observe the price action and decide whether to add any of them in a few days.

I'm going to continue to trade the indexes from 8:45-12:00 ET. CL, ZW, and ZS will trade from the start of Pit session to 15 minutes before session ending to avoid the utter helter skelter motion that reflects repositioning and winding down of positions. Super jerky action causes the system to get caught in the switch. Also, I will watch whether it makes sense from a risk reward perspective to also stop trading in these instruments at 12:00, too.

Yes, Wheat looks great!

 
  #23 (permalink)
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bluemele View Post
Any volume indicator. Trade 9:30EST - 11:00 EST is best.

What is your favorite for NT7?

 
  #24 (permalink)
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I just trade TF. I have played with ES & CL, and have traded a ton of CURRENCIES.

I would say EURJPY & GBPJPY are my favorites! haha...

TF is pretty nice.

 
  #25 (permalink)
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Long John Silver

Around 11:15, just for yucks, I changed the SI data series to one tick. Talk about a fast chart. The results were pretty good, but I couldn't help notice how many trades did not trigger--49 to be exact. Catching a close of bar limit isn't easy with a one tick brick. A proforma review of those missed trades shows more winners than losers, but I didn't spend the time to compute the effect on PnL.

I mention this because even though NT has one of the best Sim analyzers in the business, it isn't perfect. A limit trader on Sim has two options: to take a trade at the limit if price is touched or rely on the esoterica of NT's algorithm. Some traders say the second choice triggers a trade if price trades through the limit, but NT did not confirm this.

Attached Thumbnails
Tundi's ATS-si-03-11-1-rangenogap-1_13_2011.jpg   Tundi's ATS-13111si1rng.jpg  
 
  #26 (permalink)
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bluemele View Post
I just trade TF. I have played with ES & CL, and have traded a ton of CURRENCIES.

I would say EURJPY & GBPJPY are my favorites! haha...

TF is pretty nice.

Okay. I was referring to your favorite Volume indicator. I don't use volume in the system so maybe it's worth a look.

 
  #27 (permalink)
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Tundi View Post
Around 11:15, just for yucks, I changed the SI data series to one tick. Talk about a fast chart. The results were pretty good, but I couldn't help notice how many trades did not trigger--49 to be exact. Catching a close of bar limit isn't easy with a one tick brick. A proforma review of those missed trades shows more winners than losers, but I didn't spend the time to compute the effect on PnL.

I mention this because even though NT has one of the best Sim analyzers in the business, it isn't perfect. A limit trader on Sim has two options: to take a trade at the limit if price is touched or rely on the esoterica of NT's algorithm. Some traders say the second choice triggers a trade if price trades through the limit, but NT did not confirm this.

Try buying at Ask, selling @ bid or doing them @ +1/-1 for each and you will get filled!

My favorite volume indicator is my eyeballs. I don't use volume. But, I know when it is light because I trade tick charts.

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  #28 (permalink)
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bluemele View Post
Try buying at Ask, selling @ bid or doing them @ +1/-1 for each and you will get filled!

Yes, that is an option, but it negatively impacts performance since this is primarily a scalping system. I want to buy/sell to open at the close of the trigger bar. If I can't get fill on that bar, the trade is canceled.

Exit is currently at market and there is a 2 tick slip from the trigger which I can live with because when it says get out, I want out. I'll see about changing the code for exits to trigger +/-1. If that can fill most of the time, the benefit is big.

 
  #29 (permalink)
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Posts: 201 since Dec 2010
Thanks: 33 given, 98 received

1-14-11

CL is going through a drawdown that is well within it's historical range. I expect it ot rebound next week.

Wheat continues to amaze. I have decided to drop beans since it is correlated but performs weaker on this particular system.

I took a hard look at SI and am passing on it for now because of exit slippage. I witnessed 4 ticks on a few occasions today. Thanks, but no thanks.

So that leaves CL, EMD, 6E, ZW, TF, and FDAX going into next week.

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  #30 (permalink)
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Tundi View Post
CL is going through a drawdown that is well within it's historical range. I expect it ot rebound next week.

Wheat continues to amaze. I have decided to drop beans since it is correlated but performs weaker on this particular system.

I took a hard look at SI and am passing on it for now because of exit slippage. I witnessed 4 ticks on a few occasions today. Thanks, but no thanks.

So that leaves CL, EMD, 6E, ZW, TF, and FDAX going into next week.

I am surprised wheat doesn't have slippage? That is strange... I would double check that.


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