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Order Flow Analytics (www.orderflowanalytics.com)
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Order Flow Analytics (www.orderflowanalytics.com)

  #121 (permalink)
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paganini View Post

I actually get that trade report (this is why i know the numbers) to get it retuned for a new tracker setting in early January - the new tracker setting with the same set of trades yielded:

49% winning trades, 41% losing, 10% break even, average win 7 ticks, average loss -2 ticks (yep, it's more but bigger gains), largest win is 17 ticks (versus 9), largest loss -4 ticks. Largest drawdown is -5 ticks, average drawdown -2 ticks. Gains went from 28 to 94 ticks with the new setting. I haven't tested it much since the market has just been a big churn.

Just to be clear, these statistics are based on re-processing a set of historical trades with the settings which were tuned on that sample?

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  #122 (permalink)
Market Wizard
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futuretrader View Post
Is it the automation that bothers you, or the fact that you don't know the algorithm? I.e., would it bother you if it were your own algo?

I don't think I'd ever use someone else's black box, but I've used my own (on equities) and been very happy. I'm beginning to think it might be interesting to start playing around with timmyb's Prometheus.

Personally, I think I have developed a good feel for when a trade isn't going my way.

As such, I don't think even an algo developed by myself would do a better job.

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  #123 (permalink)
Market Wizard
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futuretrader View Post
Just to be clear, these statistics are based on re-processing a set of historical trades with the settings which were tuned on that sample?

Aaaah - I thought we were talking actual results...

Makes sense now.

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  #124 (permalink)
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futuretrader View Post
Just to be clear, these statistics are based on re-processing a set of historical trades with the settings which were tuned on that sample?


The 0.30 drawdown is real trades - the new tracker setting (for bigger targets) are using that set of trades.

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  #125 (permalink)
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If you don't like it, don't use it, but don't accuse someone of making up results when you haven't even used the product.

The tracker doesn't care about price - it cares about volume and market depth. When we trade, we trade into area of potential market depth. Hence, using the conditional order, market depth alert, etc. most of the trades don't even downtick. In fact, if it downticks 1-2 ticks, i'd be concerned. Generally speaking, after the area of market depth, there exist a vaccum (i.e. where there is no market depth and prices go against you very quickly).

The tracker doesn't know what price you entered, it doesn't care. It only monitors volume and takes you out when it goes against you based on settings. And the tracker is ADPATIVE, meaning, the same settings would work in slightly different volume conditions, it doesn't have to be exact.

And no, the results I posted are real trades. And it actually matches the optimization/settings during the previous submission. The new tracker settings i haven't been using, yet (kind of hard to trade orderflow in the ES when the ES just sits there and churns all day long).

It's not to say tracker doesn't have weaknesses - it certainly can't handle churn (i.e. just sitting there with volume shifting on both sides). And, the tighter the setting, the more likely you'll be taken out before the trade actually moves anywhere.

Again, it depends on what your objective is - the more tolerance you have toward drawdowns, the bigger the performance it will deliver (i.e. if you can tolerate say 4-6 ticks average drawdowns, the target is higher. The new tracker settings that was tuned yieled on the same trades, a slightly worse result (-2 ticks average and -2 tick average drawdown versus -0.30 tick average loss and the same for average dradown) but a better result in the profitable trades.

Put it this way - if your trades requires a 7-8 tick working range/stop for it to work, then your entries suck (i.e. your entry price is not precise). Precision is key when you're going for scalps. Otherwise, if you require a 7-8 tick stop in order for the trade to have room to grow, you'll invariably be losing in the long term if you're going for a quick 4-6 tick scalp.

This is why trade entries are critical - there are lots of places where market depth exists, I don't trade all of them, I only trade certain set ups. You'll note in the example of the trade I took last Friday, there was just ONE downtick (actually, i am not quite sure if it even downticked, since it was executed with a conditional order, but the entry price is one tick above the low).

Again, don't knock something you don't undersatnd. I can tell by the way you're trying to explain things, you still don't get the tracker. The tracker is one of the best part of OFA, actually. And, while I agree with that it's good to look at big boys and institutional volume, but when you get say, 5000 1 lot traders going against you, versus 2 2500 lot traders, the net result in volume and price action will be very similar. The tracker is designed, when set up properly, to prevent the trade from running over.

Put it this way - if i were to take a trade at the edge of a range and I expect market depth for a various reasons - how far down am I going to tolerate? Think about where the typical stops are, 1-3 ticks below the range, right? So if I expect it to hold say 1-2 tick out of the range or 1-2 ticks inside the range, i am certainly NOT going to hold the trade past that, because you'll just hit a big stop run that will end up in a vaccum where your stop loss, let's say you set it 3 ticks beyond the range, will most likely get executed 6 ticks out due to lack of any depth. The tracker will take you out of the trade when it sees volume goes against you, so a -1 tick is hell lot better than -6.






DionysusToast View Post
Look - I really do get it.

The Trade Tracker was the only part of OFA I didn't like. You have a suite of very good products that give you the ability to enter a discretionary trade.

Then you have what is effectively a black box to exit your trade. That's something I'd hate to have.

I understand how a trade can go your way and get you out -1.

Here's the thing.

1 - A trade on which you make money - that's a winner.
2 - A trade on which you get out at your entry price - well, that's a scratch trade, a break-even. It's a semantical argument whether you call that a loss or a break-even. I prefer to keep it in it's own class. The reasons are many and I wont could the discussion with that.
3 - A trade where you get out at a worse price than your entry - that's a loss.

Now - ES is a 1 tick spread. I do of course understand that a trade might go +4 ticks and then your tracker software may clip you out at -1.

Still - to keep your average at -1, then even if they go +ve right away, it still effectively means you don't have trades that immediately go against you.

Every decision you make in trading is based on who has shown there hand thus far. What you can never account for is the big whale that puts in an opposing trade right after your entry OR the annoying politician commenting on the Greek bailout that throws you offside straight away.

These events will throw you off 3-4 ticks before you even know what has happened. It's inevitable. I just find it very hard to believe that anyone has an AVERAGE loss = the spread on the ES.

Fact is - trades will go against you right from the off on all instruments & it really doesn't matter what the technique you use for entry is. This will prevent any ES trader from averaging a 1 tick stop.


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  #126 (permalink)
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DionysusToast View Post
Aaaah - I thought we were talking actual results...

Makes sense now.

This is why it's POINTLESS to talk about this on this forum because you're assuming stuff that you don't know anything about.

Assumptions = making an ass out of u and mption.

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  #127 (permalink)
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OFA Pro

Hi. I bought OFA Pro about 5 months ago - which is the complete software offered now except it does not include the Trade Tracker and Conditional Orders (you can add these features from OFA if you like). For various reasons, I am no longer using the software. If you are interested in the OFA Pro software, please PM me privately. Thanks.

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  #128 (permalink)
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Hi. I transferred the software to someone else today. Thanks for the inquires.

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  #129 (permalink)
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eminitrader View Post
The website is OrderFlowAnalytics.com I seen a little webinar for them selling there system. It seems pretty cool, they say volume leads price. They have this certain volume indicator that they made. I was wondering if there was anyone here who actual has experience with their product, or knows of an indicator here that is like it.

Can't really put up pictures, cuz they don't have any I can put on here.

i have the software and have used it over a year. it is the only trading software i have bought that is worth a damn.it is not cheep and it does take months to learn how to use it but it will get the job done. #1 if your are going to trade on a high level order flow,market and volume profile is what will get you there. do you think pro traders are looking at laging indicators. you can use investor rt not market delta you do not need footprint charts you have ofa. that is 2000.00 yearly you can place a conditional order to ninga trader .it will only entry you into the trade on a volume reversal at the top or bottom of the ration you are expecting. no reversal no entry. that makes your entry a higher % entry you have a better chance of get a few tick away from entry so you can lay of some risk .it can do much more than that.it put value zone and 13 volume zones,daily range projections.that cost 100.00 monthly from most vendors. good training and support. you will use the software as long as you are trading.order flow, market and volume profiling is the top of the hill. it is not easy few traders will make that far.

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  #130 (permalink)
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