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

  #111 (permalink)
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paganini View Post
You're exactly right. My hard stop is actually bigger. But, he's also wrong in assuming that just becauase you buy at 1234.00 with 100 contracts there, that as soon as you get 101 contracts, it'll down tick. He's assuming no one will will put in new orders. Orderflow is about trading where potential market depth occurs. In means, ADDITIONAL volume should come in and for the most part, I can actuall live with a 3 tick stop loss without using the tracker. The tracker is simply icing on the cake.
.

Cool - we've gone from 1 to 2 to 3. Good stuff.

Re-read my post.

You put in a limit order for 1 contract with 2000 people ahead of you.

Then you get hit because the 2000 got traded or pulled.

Then you need people behind to stop price going past your entry because your stops is 1 tick away.

Well - that's a degree of accuracy no-one trades off.

I know your stop is bigger than 1 tick. I explained above.

Average 3 tick loss - a much more reasonable claim. I wont push you for any increase above.

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  #112 (permalink)
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Again, you're not reading my thread.

I said the AVERAGE LOSS is 1 tick (it's actually 0.30 if you read my previous post). That's not where i place my stop. My stop is typically 3 ticks away. The tracker is aggressive enough to take it out.

Now you'll probably argue it's not possible to have a 3 tick or 2 tick stop, lol. It all depends on where you place your entry is. At what point does it invalidate your trade, etc.

When I place an order, i expect two things:

1. market depth to hold
2. market action to the direction i want, almost right off the bat.

And yes, 5000 1 lot traders can decide to sell the bid and causing it to downtick. The tracker may as well take it out. That's just part of trading. It might reverse, but in your example, there is no guarantee that if you're looking at big lot traders, that they'll continue to come in. Right? Am I going to wait until it blows over and take a 2 point stop loss? No. That's what the tracker is designed to do.

And a lot of times i can see it in the tracker that it takes me out at break even or -1 tick and only to see the prices go up a tick or so (uptick) and then fall like a ton of bricks. If i stayed in there, my losses would be 5-7 ticks at least with the regular stops that people are using. I am not planning on being everyone else.

The trade results with that particular tracker setting was about just under 60%, 40% losers/breakevens, etc. The average loss is 0.30 (so just beyond one tick), the average gain is 3 ticks.

As far as trading with 2-3 tick HARD stops? That's all I do. I am not interested in looking at 50 trades a day, i am intersted in taking 3-4 trades in particular areas (think edges in particular). I am also looking at strategies that would require a 5 tick stop but with bigger gains but on the ES as of late, the market is in some 5 point range in the morning and just churns - not interested.

Perfect example - look at FRIDAY's ES, low range in the morning was what, 1362.50. I actually traded this one, on the next retracement at 1363.25 (low was 1363.00, twice again) Are you saying you can't get away with a 3 tick stop? (You can see this on a 3 minute, 5 minute chart, etc.) It was based on potential for previous volume being unwound there, plus the previous reversal low. This is where some Elliot wave guy will say it's a 90% retracement of the previous run, it's just a dang stop run

Price hits 1366.25. The volume cluster near the top was at 1365.25 (on the low edge of that cluster). Typical ES stop is what, 8-10 ticks? 1365.25 means in a stop run it'll likely to hit 1363.25 to 1362.75. Gee, where did the retracement went to?

So what stop level at 1363.25 would you choose? 2 point range make sense? Not to me. I might be able to tolerate 2 ticks out of the ranges say 1362.00, but nothing more. And the volume on the previous reversal can tell you when it no longer makes sense, and it won't be a 8 tick stop. Anything more than 8-10 tick from the 1366.25 cluster means a potential for a break down - since we're the near the edge and we're expecting market depth to hold. Why would I risk that? You can be the guy who get flushed, if you want.

Oh another perfect example - i didn't trade this one since i don't trade past 11 am usually central time - low at 1363.75. Why did it stop there? Look at the previous lows (1363.00) where i traded - market depth, big volume support, it paused there, jumped a flush (2 point up again) before continuing lower.

So a 2-3 tick stop depending on where you place the order is perfectly reasonable. If you are going with the momentum/market order, etc. then it's probably not feasible for you. Put simply: i am expecting market depth, if it's not even there, i am getting out of it, and fast.

And yes, sometimes, i don't get filled at the price I want, but that's trading.



DionysusToast View Post
Paganini...

I use order flow. I trade. I make a profit. I don't use OFA. I have seen what they have, I have spoken to George. I think it looks OK. As a vendor in a related field, it doesn't actually clash with what I have. I think they are cool guys.

On the other hand, I think your claims of having an average loss of 1 point is an insult to the readership of futures.io (formerly BMT). Just my opinion.

My example was simplistic. Still - the fact is, you can't trade with a stop equal to the spread. It has nothing to do with depth, it just requires you to be right to a degree that is impossible. Once you get that, then of course averaging a 1 tick stop is also a ludicrous proposition.

I can tell you at times when price will move up. I sure CANNOT tell you that it will move up before Joe retail puts in a market sell order. Hence you can't have a 1 point stop.

It's best to ignore this. I sometimes see silly comments on trading sites and I can't help to point out the silliness. Now you are saying sometimes it's 2 ticks. Well - you trade the ES like that day in day out, your hit rate will be in the low 30%s...

Treasuries - sure, the ES - it's not feasible with the way it moves. Not with all the magic bullets in the world.

This whole 1 point stop thing is ludicrous, OK? It's not worth telling people they can have a 1 point stop. It certainly does nothing for OFA to have people saying it's a magic bullet.


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  #113 (permalink)
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You're pretty dense, aren't you?

LET ME REPEAT IT - the tracker results yielded 1 tick average loss (the tracker does not use STOP LOSS orders for closing trades, duh!!!) or rather, 0.30 in the value. and 3 tick average gain.

The physical hard stop is at 3 ticks usually - and that's rarely ever hit with the tracker on. So your claim that it's average 3 tick loss is WRONG. In other words, the tracker is TAKING OUT THE TRADE before it hits the hard stop. Heck, I can trade without the hard stop and just let the tracker manage it but the hard stop is there in case electricity goes down at the house, internet disruptions, etc. So you're assuming i put in a stop loss at 1 tick?? No, i never said that, i said the AVERAGE LOSS was just a bit more than one tick (0.30). In other words, the tracker is providing stop losses equivalent to 1 tick.

You get that now? THe tracker doesn't uses stop loss orders to manage trades, it takes you out when it sees volume against you. The hard stop is there for a different reason.

However, I have done trades with 2 ticks or 3 tick HARD STOPs, with or without the tracker and it's perfectly reasonable depending on where you trade. That's right, 2 ticks hard stop, and it works depending on the trade setups.

Read the last post about the trade that was taken. That was with a 3 tick hard stop (no tracker for that one since it's a big churn day) - and yeah, i can get away with 2 tick stops but i don't use 2 ticks stop for that type of setup, plus there were volme information that makes sense for a 3 tick stop there.

As far as the tracker results were, they are at an average of 0.30 loss, profit at about 3 ticks on average. You were asking about stop loss, well to me, a 0.30 loss on average is the average stop loss. PHysically you can't place an order at 1 tick below, but that doesn't mean the tracker can't manage it that way.

I find it ludicrous that you simply question motives from people on the forum - this is the reason why they don't do free trials, now you know.

btw, i also have YOUR product and uses it differently.




DionysusToast View Post
Cool - we've gone from 1 to 2 to 3. Good stuff.

Re-read my post.

You put in a limit order for 1 contract with 2000 people ahead of you.

Then you get hit because the 2000 got traded or pulled.

Then you need people behind to stop price going past your entry because your stops is 1 tick away.

Well - that's a degree of accuracy no-one trades off.

I know your stop is bigger than 1 tick. I explained above.

Average 3 tick loss - a much more reasonable claim. I wont push you for any increase above.



Last edited by paganini; February 25th, 2012 at 02:33 PM.
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  #114 (permalink)
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Dionysus, let me explain how the tracker works:

Say you place an order at 1234.00, stop loss is your average retail trader stop, 1232.00. When I say stop loss, i meant the ORDER not the actual loss.

Tracker is on, it manages. Let's say it down tick to 1233.75 bid, 1234.00 ask with tremendous volume. Tracker sees that and takes you out, -1 tick.

The actual loss is -1 tick, NOT -8 ticks.

Get it now? The stop loss order is there for a different reason. The tracker takes you out when volume condition changes.

On the flip side to that, it can go to 1233.50 and leave you in the trade if the volume condition isn't bad.

It can also, for example, let's say you get in 1234, market moves to 1235.50. Volume shifts down and it downticks to 1235.00 bid/1235.25 ask. It'll then close the trade immediately and you get filled at 1235.00

That's how tracker works - it VOIDS your original stoploss order and closes the trade MUCH FASTER than your hard stop. So while my hard stop may be 3 ticks or 5 ticks or 8 ticks or 100 ticks away, the tracker will close based on its settings and the volume condition.

Do you understand how that works now? This is why it can do a average loss of 0.30 (just beyond 1 tick), because the majority of trades are closed at -1 tick or break even, the hard stop of 3 ticks, etc. is RARELY ever hit.

Why else would I use the tracker if all it does is give the same result as my hard stop? THe point for the tracker is to improve the results, minimize losses and more importantly drawdowns. Again it is set to be very tight.

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.

I just don't understand why you'd question someone's motives, Dionysus, without even understanding how the tools work. Heck, i have your tools, and I certainly won't rave for or against it one way or the other until i have use it for a while in action.

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  #115 (permalink)
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paganini View Post
You're pretty dense, aren't you?

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  #116 (permalink)
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Sorry Mike, will try my best to ignore Dionysus



Big Mike View Post
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  #117 (permalink)
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@paganini

1..n Tick... i think its better you say:

The OFA TradeTracker use a combination of PriceMovement, OrderBookTiming and a propitary "Vola" as stopmanagement and a "delta since entry" calculation for the target management.
Bad entrys will have smaller loss, good entry will have a better winn... this is the message in all OFA promotion videos... only never will show the exact parameter values for the current symbol & market conditions... only on the expansive boot camp course give more and deeper infos for the config and using the trade tracker (!only AFTER PAY!)

If you mine, the non public parameter settings give the warranty for different user settings and this is good for the small limit entrys&stops... please say it clearly and give a ~ count of OFA users with the same settings.
Yes, you can track this and i hope you do this without using this for your own trading with very small stop/targets (1..3ticks on "your own" significant volume price markers).
The bad word for this is "frontrunning"... i hope and think you not do this and/or you have only small size users without a significant volume.

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  #118 (permalink)
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I don't understand what you just wrote.

The tracker settings are tuned to your actual CONSISTENT trading entries (the key word is consistency). You have to submit an actual report over a period of time. The tracker is then tuned to that specific set of trades.

And it's set broadly enough so that it will work in different volume conditions.

However, if you take settings that was made in August and apply to January when it just churns, it won't work. In fact, orderflow requires market movement - can't work well when the market just sits in a 3 point range in an hour.

I don't see why giving out settings would matter to you - it's my trades, dude. It's not yours. Unless you trade exactly the same way I do, it won't help you one bit. And the settings are proprietary, meaning it's basically a set of three values, but the actual kill/lines, etc. algorithms are proprietary, so giving it out would totally meaningless.

Good luck in your endevers. If you think paying $10,000 for software plus one of the best training i have ever done, EVER, then don't pay. Trading is a business - and in businesses, how many small business do you think get started with a $5000 investment? VERY VERY VERY FEW. Try owning a retail shop in the US anywhere, it'll cost at least $50-100k. Trading is no different. That cost in capital comes in - software/platforms/ofa/marketdelta/whatever you use, and of course, your losses in trying to undertsand the market.

The results i posted is actual trades using actual trade trackers in ES market between the hours of 7:30 am to 10:30 am central time (some are premarket). I don't really trade after 11 am. NT reports average loss is 0.30, what am i going to argue with NT's trade results? YMMV.

"FRONT RUNNING?" What the hell. Listen, i don't own OFA, i am a user. LOL, front running, lol. maybe it's the bad English but i have a hard time understanding what you wrote.




TimeTrade View Post
1..n Tick... i think its better you say:

The OFA TradeTracker use a combination of PriceMovement, OrderBookTiming and a propitary "Vola" as stopmanagement and a "delta since entry" calculation for the target management.
Bad entrys will have smaller loss, good entry will have a better winn... this is the message in all OFA promotion videos... only never will show the exact parameter values for the current symbol & market conditions... only on the expansive boot camp course give more and deeper infos for the config and using the trade tracker (!only AFTER PAY!)

If you mine, the non public parameter settings give the warranty for different user settings and this is good for the small limit entrys&stops... please say it clearly and give a ~ count of OFA users with the same settings.
Yes, you can track this and i hope you do this without using this for your own trading with very small stop/targets (1..3ticks on "your own" significant volume price markers).
The bad word for this is "frontrunning"... i hope and think you not do this and/or you have only small size users without a significant volume.


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  #119 (permalink)
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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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  #120 (permalink)
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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.

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.

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