Plaste

But despite the big gap down and move away from the open this morning the system hasn't given a signal. An interesting day ahead.

On the question of opening gaps here are some stats you might find useful. From S&P futures. If the open - close yesterday is greater than 0.1 x 10 day ATR then buy open: Trades 1326 Win 176 points Win % 54.3 If the close yesterday - open is greater than .2 * 10 day ATR then sell open: Trades 781 Win 292 points Win % 49.17 Stats from 19970101. No slippage or commission. Not much information on their own but definitely useful when combined with some kind of 'move off the open' strategy as advocated by Thales. Eg yesterday it helped to make 7 points at a time of the month when I would normally only be going long.

Stopped out at 1.3565 (should have been 1.3580 but I entered the wrong price). For the sake of completeness I am now long at 1.3583, original stop @ 1.3540, now 1.3567.

Short euro cash 1.3540, stop 1.3565, PT 1.3455

It was a bit of a shock to me to find so much interest in TTT. When I first read the book it made no sense at all but you guys have persuaded me to dig it out and have another look...

Thanks for the input. Your first example is the one I took. From my paper trading I know that I can reasonably guess where the market is going next but that this is usually not far enough to generate enough profit. That is why I move the stop to b/e and look for the next leg of the move - in this case up to the 1.3683 level. The second trade I didn't see as I was using range bars but I know from some backtesting I've done that those small inside bars have value. However the message I'm getting loud and clear is that I'm trading up against some serious resistance that needs to be paid a bit more respect. Tom.

Thanks for the comments folks. I took the trade for the following reasons: 1. On my 15 tick range chart we had a breakout to the downside of a bull flag that was rejected at nearby resistance (yesterday's 1.3549). 2. I'm currently looking just at the pound, yen and euro for daytrading and the euro looked stronger than the pound and the yen was just choppy. 3. Trade was early in the (european) morning when any decent move might be expected to develop. 4. It felt right! My paper trading of this style of trading suggests that using a little intuition can be useful, not so much for initiating trades but for avoiding them. Target was the resistance Thales refers to. And the fact that this trade didn't go anywhere suggests we may be near a top or chop zone. I'm on the sidelines for the time being. Thanks for the comments about NFP, Thales, you pre-empted my question. Tom.

Thanks for the comments folks. I took the trade for the following reasons: 1. On my 15 tick range chart we had a breakout to the downside of a bull flag that was rejected at nearby resistance (yesterday's 1.3549). 2. I'm currently looking just at the pound, yen and euro for daytrading and the euro looked stronger than the pound and the yen was just choppy. 3. Trade was early in the (european) morning when any decent move might be expected to develop. 4. It felt right! My paper trading of this style of trading suggests that using a little intuition can be useful, not so much for initiating trades but for avoiding them. Target was the resistance Thales refers to. And the fact that this trade didn't go anywhere suggests we may be near a top or chop zone. I'm on the sidelines for the time being. Thanks for the comments about NFP, Thales, you pre-empted my question. Tom.

Out for + 1 tick. Maybe should have taken profits when price quickly rejected 1.3655. Any comments or suggetions welcome.

Sorry to post after the fact but always forget when I'm in the middle of setting limits and so on and just wanted to get the ball moving. Here's a trade I'm currently in. Long Euro $ cash at 1.3624, stop 1.3591, limit 1.3681. Stop to b/e at first green line. Well that all took so long stop is now 1.3625.

Thanks DugDug, I'd been there in the past but not for a long time. If they've got some useful stuff about combining strategies I'll go and have a root around. In my experience it takes a lot of work to come up with two trend following systems that, when traded together, actually improve risk adjusted performance rather than just returning an average of both.

Here are the edited highlights of backtest results from my current systems: Long term trend following only: Compound annual return: 22.91% Max Drawdown: 37.1% Longest Drawdown: 1.65 years Sharpe Ratio: 0.99 Add the medium term trend following system to the above: Compound annual return: 32.57% Max Drawdown: 32.57% Longest Drawdown: 1.07 years Sharpe Ratio: 1.17 Add the divergence stock index system to the above two: Compound annual return: 41.48% Max Drawdown: 31.17% Longest Drawdown: 1.34 years Sharpe Ratio: 1.48 Obviously we're not going to see figures as good as this in practise, but the principle certainly held up last year in practise when a lot of trend followers had a hard time but the above mix of systems still came out ahead.

Sounds like we're both in the same boat at the moment. I'm currently reworking an ORB index system to help smooth returns and trading S & R a la ThalesTrader in very small size for the same reasons. The divergence trades are only on the indexes, the rest is on everything (but not individual stocks). Here's my current portfolio: Shorts: Gilts, Euros, Spanish SM (SM = stokc market index), Italy SM, EuroStoxx 50 SM, France SM, Corn, Brent Crude, Swiss Francs, Gas Oil, Silver. Longs: Dax, Nasdaq, Australia SM, Yen, Canadian Dollar, Euros Schatz, Eurodollar. I've been through 50% drawdowns (though I didn't know as much then) and it is a problem with the method to some extent. 2008 returned 12.4%, 2009 9.3%. If I get a chance I'll run some simulations on Mechanica to show how adding systems improves things. Tom.

Well, that's exactly what I do. I trade a long term trend following system, basically a stop and reverse system. I then trade a medium term trend following system that exits on a time stop and then in addition to that I trade a short term divergence system on a basket of stock market indexes. All end of day. All with a spread betting company. The graph shows the results of every trade I'd made up to the end of last year. (Only the last couple of years were traded as outlined above. I started out trading Aberration but as its results degraded over time I've added my own systems). One losing calendar year, compound annual growth of about 21% per year. Hope that's interesting to you. Tom.

Morning Gents, nice thread you have here. Whilst I've certainly been able to make opening range breakouts work on the SP (based on the first 15 mins action and trading entirely systematically) I've had no success with the DAX. Seems to me that European stockmarkets are afraid to do anything until they know what's happening in the US. On the other hand it seems that currencies slow down a lot after lunch in the States. I'd be interested to hear what others think are the best times to trade different markets. Tom.