swansjr

Let me correct that: If ( condition1 ) Then Buy ( "Go Long" ) 3 contracts next bar at market; If ( CurrentContracts = 3) Then Sell ("Target 1") next bar at EntryPrice+Target_1 limit Else If ( CurrentContracts = 2 ) Then Sell ("Target 2") next bar at EntryPrice+Target_2 limit Else Sell ( "Target 3") next bar at EntryPrice+Target_3 limit; SetStopLoss( StopLoss );

If I understand you correctly I think this is what you are looking for: if condition1 then Buy ( "Go Long" ) 3 contracts next bar at market; If ( CurrentContracts = 3) Then SetProfitTarget( Target_1 ) Else If ( CurrentContracts = 2 ) Then SetProfitTarget( Target_2 ) Else SetProfitTarget( Target_3 ); SetStopLoss( StopLoss ); Jeff

I don't think it's an issue for backtesting when using daily or minute bars. I understand there is an issue if using tick charts. However, your comment about placing an order over the previous bar high may be an interesting idea to test. I don't trade this system. It's simply an interesting idea I found and thought others would be interested in seeing it. Jeff

I did try it intra day with YM without much success. I did not try it with other markets. Jeff

Oops... I guess I'm late in my recommendations. Glad you enjoyed Chicago.

Drive or walk out to the Adler Planetarium (which is on a peninsula out on the water) and behind you will be a great view of the skyline. Don’t forget to try it a night. http://www.protype.net/id12.html Visit The Signature Lounge on the 96th floor of John Hancock building for drinks/appetisers and a great view of the city. Try to catch the sunset from there. http://www.signatureroom.com/lounge/ More Photos

My real demon with trading real money was I would not pull the trigger because I hesitated or doubted what I was seeing. This is classic problem. In short, I had no confidence in my setups or myself. As a result profits would run away and then I would chase. Bad move. I can't over emphasize the need to get a grip on your emotions. For me, trading mechanically was the ticket. Get a copy of Trading in the Zone. Read it and perform the exercise. Like you, I have a day job. I only can trade a few times per week but this can be a blessing. You are forced to pick the best setups. If you lose you don't sit all day in front of the screen fighting the markets to get your money back. In fact, make a rule. One loss and I'm done. I did that for months and that probably saved my account more than I know. Again, you are up to bat a few times a week, you swing, and you either hit a single or get struck out. You then have plenty of time to contemplate and review. If your system has an edge it will appear over time. As you are well aware, it is the trader who is often the weakest link in the trading game chain. Oh, you don't have to go full time, yet. Hell, you made 10%. Good job!

I agree with what has been said. The exit is so very important to the trade. To be successfully you must define your entry and exits. I say "exits" because it may be possible, probably very likely, you will have several conditions that will take you out of a trade. One entry, several exits. I probably spend more time developing exits than entries.

What type of internals all depends on upon what style of trading ultimately appeals to you. Like you, Carter's TTM book really got me into futures trading. I started trading YM exclusively January 1, 2008. It's been a great ride. The setups in Carter's book are just starting points - they don't simply just work out-of-the box. I did manage to make the opening gap fade into a mildly profitable system but that was after much testing and refining of the parameters. Check out the TTM web site for free daily videos. You can get a lot of hints from that. TTM Free Daily Videos These are some steps that I started last fall before jumping into trading YM: 1. Do not trade live yet until you have developed a trading plan. Pick one or two setups, define your risk and define all possible entry and exit scenarios. 2. Trade your plan on a simulator until you are consistent where you do not deviate from your plan. 3. Get copy of Trading in the Zone and do the exercise in the book. In the end, I became successful at trading only after discovering consistency, sticking to a plan and removing emotion from trading. You don't need a fancy computer to start trading. I use TradeStation 8.4 on a Mac mini with one 20-inch screen. My fees are $4.26 per contract for a round trip and a $10 monthly data feed fee for CBOT E-mini feed. Oh, TS also has a simulator.

I was thinking the same thing. Maybe a 200 SMA could act as a filter. Only take trades when price is above. Or if slope of 200 SMA is positive. I would like to spend some time exploring this but I've been too busy. Jeff

Nope. I've not looked at shorter or longer time frames. I should make a point to test it out sometime in the future. Jeff

I use tradestations simulator to test out new concepts in real-time. I'm very happy with it. It deducts the commissions per trade and summarizes my daily trades as if a real account. I trade exactly according to my trading plan as if I was using real money. In other words, once I hit my daily loss, I stop. If I reach a daily goal I stop. If the market is not to my liking, I don't trade. At times I almost forget I'm trading fake money. The only complaint is the simulator is not accurate with slippage. So, you will be generating system results slightly better than reality. So, deduct a point or two on each trade for slippage. For a scalper this becomes a big deal while a swing traders this is less of an issue. I'm testing a new concept as well. This is the second week of testing and I'm probably going to trade it for at least 4 weeks total before dedicating real money to it. Even then I may ease into it. During testing is the time to find the kinks and implement improvements. Maybe your stops are too tight or too lose? Maybe your trades work out better the last two hours of the day? Maybe it's best to skip Mondays. Look at all the possibilities. If you can't consistently make money on a simulator there is no hope in the real market. Don't be in a hurry to trade with real money until you feel confident with your system and you can demonstrate an edge over the market. Jeff

Here are my daily must-reads: Alpha Trends Quantifiable Edges Jeff

I to ran across this new indicator on Richard's site and it seems like a good idea. I follow his posts every now and then and he's really geeked about his new baby: the "Volume Splatter" indicator. Yes, it may now work well because it is so new and thus does not have a lot of back testing behind it. Yet, I'm interested in how he does it. Two basic things are going on here: 1) Richard is splitting the different traders into three camps (small traders, medium traders and big traders). Each camp has it's own indicator window. It appears Richard is, for example, defining "big" traders as those who initiate a position with 51 or more contracts. Does anyone have an idea how this information is obtained in TradeStation with EasyLanguage? How does he split the “big” traders from the “small” or “medium” sized traders? 2) It then appears he takes the amount of volume to build the size of the dot or "splatter" mark for each of the appropriate camps. Once we have the different traders split apart what would be a good way to compute the size of the dot? I think it’s an interesting concept but I’m not clear on how this can be done with EL. Hopefully someone with more experience in EL can help me get this started. Any ideas? Thanks, Jeff

In an attempt to get more activity on this “Automated Trading” forum I’m posting a little strategy that I found in a PDF on strategy design. Unfortunately, I don’t have the original PDF or the author’s name at this time. Anyway, the set-up is centered on up-key-reversals (UKR). A UKR is where the most recent daily price bar is 1) making new low over the past X days and 2) the close is greater than the previous day. A buy limit order is then placed just above the daily high of the trigger bar. The position is exited either when a profit target is hit or X days after the initial purchase. I coded this concept in EasyLanguage under TradeStation up and you’ll find it below. I only tested it for YM since that's all I trade at this time. I only tested it for the past 3.5 years. It shows a positive results with a Profit Factor of 3.3. I hope others will find this interesting and perhaps propose improvements. I'm eager to see what others may modify. You’ll notice one of the inputs is to activate a fix ratio position-sizing algorithm. I put this into the code so you can easily see what a position-sizing algorithm can do to a trading system. Oh, do I personally trade this system? Not at this time. Jeff

I'm no expert, but your exit strategy in EasyLanguage for TS might go somethting like this: Input: InitalStopValue(20); Variables: MyStop(0), Target1(false), Target2(false), Target3(false); // Place Your Buy Condition Here { Entry Code } // Exit strategy for long trades If (MarketPosition = 1 ) Then Begin If ( OpenpositionProfit < 25 ) Then MyStop = InitalStopValue; If ( OpenPositionProfit >= 25 ) And ( Target1 = false ) Then Begin MyStop = EntryPrice; Target1 = true; End; If ( OpenPositionProfit >= 40 ) And ( Target2 = false ) Then Begin MyStop = EntryPrice + 5; Target2 = true; End; If ( OpenPositionProfit >= 50 ) And ( Target3 = false ) Then Begin MyStop = EntryPrice + 8; Target3 = true; End; If ( OpenPositionProfit >= 75 ) Then Begin Sell("20pt Target") next bar at EntryPrice+20 limit; MyStop = EntryPrice + 10; End; // Sell on MyStop Sell("Stop") next bar at MyStop stop; End; // Reset target flags once position is closed If ( MarketPosition = 0 ) Then Begin Target1 = false; Target2 = false; Target3 = false; End;

I coded up the basics (I did not include every rule discussed in the manual since my purpose was more a prototype or proof-of-concept. Maybe this is not entirely fair to the setup. Anyway...) of the 5-tick system in tradestation and back tested it and was not happy with the results. With the "small" profit target it appeared to be difficult to overcome slippage and commissions not to mention overcoming losing trades. I'll dig up the results and post them soon. In short, if the basic concept does not test well as an automated system, I don't trade it. However, maybe I should post the code so much brighter programmers can fill in the blanks and/or improve upon the code. Perhaps another filter added to the system will help turn this counter trend strategy into something a little more appealing. Jeff

Walter, Could you elaborate on your statement, below? In short, what is an M type false break setup? Jeff

That's "XP" not EP! :crap:

I’ve not noticed a performance drop. Everything seems to work just fine. I’m often running ADE with 699-tick and 233-tick charts. I’ll have other work spaces open as well and all running smooth. I picked up an Apple Mac Mini last year to exclusively run TradeStation. If you’ve not seem them they are small little boxes about 6” wide and 2” tall. This fits nicely on a desk or hidden under a desk. I’m running on an Apple Mac Mini, Intel Core 2 Duo 1.83 GHz processor, 80-gig drive and 1 gig of ram. The OS is Windows EP Home Edition. In short, it does not seem to be an issue with todays modern desktop computer.

Nice find. Thanks for posting the manual. For $297 it works out to about $17.47 per page.

Well, the global variables just did not cut it. I needed something that would work with back testing. I next tried ADE and WOW! In my opinion, ADE is the way to go. I've installed it, created my own Classes and have been converting my favorite indicators to pass data to other tick-based charts. It works great. Highly recommended if you trade with multiple time frames. Search for it on the TS forums.

I stumbled upon the following site Five Tick Trading. This guy is pushing a trading system that takes tiny profits with a high win/loss ratio. Here are two videos from his site: Video 1 Video 2 It looks like bollinger bands are being used and he initiates a trade to fade the move after a trigger bar has fired off. I'm not sure what the indicator is at the lower portion of his screen (value chart?), but I think this is used to set off the trigger bar. Once we have a trigger bar the entry price, initial stop loss and target are mechanical. Kind of interesting. Does anyone have any insight into method? Has someone coded this up as an indicator or even a complete system? I know there are some smart programmers here that may have reversed engineered this method and created EasyLanguage code for it. Thanks.

Thanks for all your hard work. Where should I send my money?

I just installed the Global Variable DLLs and got it to work. I have a 699-tick chart (my higher timeframe) that passes trend data (crossover events) to my 233-tick chart (my lower timeframe), which paints a dot on the bar of the trend change. Sweet! However… …this appears to work only with real-time data. In other words, it's useless for back testing. Is this true, or am I missing something? Thanks, Jeff