tjnoon

As far as data goes, I suppose all you can do is back test the limit that TS or NT gives you and then continue to forward test. You can build up a good record of trades fairly quickly. Within a few months, you can have hundreds of trades and a hands-on recollection of the actual experience of living those trades. That kind of thing is invaluable. That's one of the things that makes the UTA priceless, by the way.

Hey guys, Thanks for starting this thread. Hopefully it will evolve into a great resource for everyone. Range bars are not that well understood by most traders. Jim, I don't think that one could really compare a 233 tick chart with a range bar chart. They are just too different. First of all, each market is different. A 233 EURUSD would not be the same as a 233 Dow eMini for example. But besides that, range bars are based on a range breaking out, right? Tick bars are based on the actual ticks flowing through the market; bids being hit and offers getting lifted. (Do a quick google search for a thorough explanation of each.) You'll notice with range bars that they can move sideways for a long time, and then break out and really trend for a long time, or so it seems. Check the time stamps on those bars though. You'll see how some take a long time to print while others print very quickly. I think if you're going to trade range bars, you have to forget about tick and timeframe. Does anyone else agree or disagree? This in interesting. Personally, I don't have a ton of experience with range bars. I actually prefer tick charts. I like the tick counter that lets me know when a bar will be finished and a new one will start. You can never really have that sort of thing with a range bar. Moreover, I haven't reallly seen a compelling difference, where range is superior to tick. Maybe it is, but I'm waiting for someone to demonstrate that to me. I'm not down on range. I just prefer tick charts. But that's what makes a market, right?

Thanks for starting us out guys. One of the reasons for the reordering of the input names for the Tradestation calc is so that the MT4 and Ninja Trader calcs will also be in the same order. So it should be very easy to set the calcs to the settings shown in the screen shots. As far as the extra decimal, if the stop is supposed to be entered at 4 pips below the channel for a long example, then for Tradestation we would need to enter that input as 40, to make up for the 5th digit. I'm not sure where the confusion is. Everyone should know how their broker is quoting their forex markets. I guess I'm not sure how to present the tradeplans in a more uniform way either. I think the new calc will help with that, but each tradeplan might require its own approach. For example a TF 377 tick is going to be different from a EURJPY 5 minute chart. Perhaps if you can be more specific I can try to accommodate your ideas.

I think Siuya offers some good advice. You are wise to take your time. Much can be learned for no cost, for sure. I would say that you should treat this like a business and be very business minded with every trade decision you make, beginning with your equipment and tools. Apart from the basic mechanics of trading you should try to focus on three specific areas; trade methods, money management and trade psychology. The 3rd is the hardest to master because it requires mastering oneself which is often much harder than one would think. I believe it is also the most important because without solving that, the rest won't matter. Create a good foundation for yourself and make sure you have given proper attention to each of those three things. In the end. we all live at the right edge of the chart and you have to have confidence in your trade decisions and that is no easy endeavor, trade after trade after trade. Realize that you need an edge in the market to succeed. Trades will win and trades will fail, all at a random distribution so the important thing is to do the necessary ground work (foundational work) to make sure that you have established an edge in the market and that you know with confidence that you put the odds in your favor on every single trade you take. That's what you should focus on learning about. You can do it yourself as Siuya suggests but I would offer that you could shorten your learning curve considerably with a good mentor, if you could find one. It may cost money but like every trade decision you make, including one like this, there will always be a double edged sword; pros and cons. There is no one right way but there sure are a lot of wrong ways. That's what makes a market though, right?

Just thought I'd stop in and see who was posting what and to answer any questions that someone might have and noticed that my partner Barry has been taking care of it. Thank you Barry! I apologize for being out of the loop a little bit these past several weeks but I've been traveling and working hard on a new trade system. Soon I will be posting some new results from my own backtesting. I was hoping more UTA users would be interchanging ideas by now on this forum but I guess some things just take time to build. I know that many are finding success with their newly found information as they continue to plot their trades into the UTA. I know of one trader who has taken an already proven system and has been manually backtesting a series of data with a filtering idea he has, and so far, his results seem to be bearing out his theory and he has been able to significantly improve his results. The important thing is the use UTA for what it is good or, and not try to make it something that it is not. It is a powerful tool but a tool is only as good as the person using it. Give me a hydraulic hammer and I'd probably shoot myself in the thumb whereas a talented builder would do something a bit more productive with it. The UTA can help you stretch your creativity and imagination as a trader. What you can learn by testing new ideas with UTA can only help you become better as a trader. That is its intention. A broader vision and insight into your trade data can only be a good thing. Most people don't bother of course, but then again, most people fail as traders. LT, thank you for the suggestion. Barry and I have discussed this idea and it might actually find its way into a future version. I'm happy though that you are in contact with Barry directly on this.

Mark, I just replied to your other post in the TF section and I think you offer great advice. I too try to find what looks to me to be a rough period to trade. I want to see how my system will bounce back. I started a week on the Euro futures for example where I think it lost 80% of its trades before ultimately climbing and stabilizing at around trade number 100 ish, with a nice winning percentage in the mid to high 60's. It was a bumpy road getting there and only with a clear picture of my backtest data was I able to see that this system fought hard to come up to a reasonable level of performance. That's why we started this forum. To share and talk about backtest or real trade data. As to your point, I use tick data and I had to dump my data folder when it somehow got corrupted. I had neglected to back it up at the time, :crap:.. Now I can't go back and get Feb and March from Tradestation. But your point is well taken and I fully agree that you want to take the closest look as possible at the toughest trade periods. Still though, I have nearly 1000 trades on the TF, with 2009 and the most current last few months so I feel pretty good about the way its going so far.

Mark, I completely agree with you. The Russell was lousy for a while. The vix was a tip off I think though. We had a lot of very low range sessions. I began developing my system around the end of 2009. I backtested about 4 & 1/2 months leading up to the middle of January. The results were excellent so at that point, I decided to begin testing on other markets; Crude, GBPUSD, and a bit of some other random charts just to see if my system was hitting the mark which it was, thankfully. Unfortunately, there are not enough hours in the day and I do this type of thing meticulously by hand, click by click because I believe it is the only way to really get the feel I need. As a result, sadly, I do not have Feb and March. You can see from the equity curve that April was pretty tough too, although it did manage to end on a positive not, up 27 or so points I think. Then it really took off. I'm happy to say that the type of results I am getting is right in line with what I saw with my late 2009 backtest results. Rather than look back and worry too much about Feb and March, I decided to just keep moving forward AND, to keep my eye on volatility and range. If the vix drops way down and range starts to shrink, I'll remain vigilant and watch for dramatic changes in my results. Otherwise, I'll just keep it going the way it is.

Little by little I want to populate this forum with real useful trade data. Results, in other words. I have been developing a new trade system now and have since been trading the Russell emini for about 12 weeks with it, although I backtested several months leading up to the end of 2009. I'm happy to say that it has been going extremely well. I have spent many hours diligently updating my UTA log with these trades and it has helped me fine tune it. I'm about to go back over the same trades and try a different targeting and stop calculation to see if it would have made a difference. I'm not a computer programmer, but I am a trader. For me, I want to click through the charts bar by bar and really get a feel for what my trade method experiences. And what a difference that has made for me. I'm happy to say that I have had a positive result 10 out of the last 11 weeks so far (week 12 is still in progress and I'm a few points down). Here's the equity curve. I'll post up some more graphics and performance details as soon as I get some time. As you can see, the method really struggled the first few weeks. But then it exploded to the upside. Currently, like the BP and EC, we're sitting right at the all time equity highs. Check it out.

By the way AmCan1, what are you trading? I see you agree with the importance of manually backtesting. What has been working for you lately?

Like the BP, the EC has also been holding steady with a 66.25% win rate. It's also sitting just below its equity highs and should breakout to new profit levels any time. Here's the recent equity curve, a la UTA.

AmCan1, yes it is. I've got about 265 trades now and the win rate has held up great, 67.55%. I've attached a pic of the current equity curve. It just came off a big winning streak and has just won 4 of the last 5 trades. Currently, we're a hair below are profit high water mark and shoud be breaking out to new highs any day. Maybe tomorrow.

Here's a picture of what I am interpretting as a squeeze trade. If I understood your explanation correctly, The trigger happened right at news in this case, on a TF 233 tick chart. I found the BBSqueeze indicator and added it. You can see the bolinger bands had squeezed into the keltner and then back out. The price broke down with a read bar and the bbsqueeze histogram broke lower with the dot changing color. Also, a momentum indicator that I have used broke lower as well for extra confirmation. I think I got it right??

My Russell trading today ended flat. I've seen some fomc days where the Russell was on fire, with many consecutive winners. Today, I would have ended positive but I don't trade 10 minutes around big news events and, needless to say, the winner that would have made the difference happened during the New Home Sales report. I ended up with - .1 today and was content to quit with that. Two of my trades ticked me out at breakeven, one was a partial loss and the other a full winner. Trailing stops had no potential this morning, that's for sure.

Yes wrbtrader. I follow the vix every day and noticed a huge surge right around the time that the Russell began to open up. I use it to help me determine the time frame that I will apply my strategy to. Like Tiobingo, I like tick charts, range bars and volume bars more than time bars. I do watch time bars and sometimes they even perform better than the tick charts I use, but I prefer a dynamic chart that also adjusts to market conditions.

Systo, I can't say I know much about the system you are referring to but in general, I remain very skeptical of autotrade systems in general. Call me old school, but I believe a trader needs to be a trader and that the small percentage of art that goes into trading will always haunt autotrade systems.

Hey AmCan1. Thanks for starting this thread. You read my mind. Your YM results look good to me too. To answer your question, the UTA would be perfect for exactly what you are talking about. You would do the same work you are doing anyway, and get a wealth of valuable information back. Not only would you get the standard stats that are important like profit factor and expecancy, but you would also get very useful graphics that tell the story in a whole different way. An equity curve or trade distribution histogram can tell you a lot, just at a glance. Also, being able to take your trade data and apply a money management plan can be very eye opening. If you saw my BP and EC posts you would see how the exact same trades would have performed if applying a fixed fractional money mgt idea to them. Hard to do that manually. The UTA has it built in as one of its features. I've been looking at the YM too, only on a slightly faster time frame. I'm currently backtesting a few different markets though so I don't yet have anything useful to contribute. As you know, it is a time consuming process and like you, I have to do it incrementally. Baby steps add up to a lot of progress if you just stay with it. You don't have to build the city in one day.. lol

I agree AmCan1. I like your analogy. I play music (drums, actually) and I have noticed very similar things about learning a new drum pattern and learning the mechanics of trading. If I have a new pattern I am trying to learn, at first it is tricky getting the independence between my 4 limbs to work together in sychronization. I feel like I am learning to walk all over again, even though I have been playing for many years. Little by little I learn the feel of how my arms and legs are supposed to work together to play that pattern. After finally working it out though, I can only play it slowly. I have to really work hard at it and not until I can play it about 20 or so times in a row, in tempo, without making a single mistake, can I then play it without having to think about it. When I am trying to practice my maneuvers with a trade plan or method, I find it invaluable to go through a similar exersice. It is easy to lose confidence and 2nd guess your rules, for example. Or to hit the buy button when you meant to hit the sell button. Or any other number of mistakes that we make when trading. Being distracted is a big one, too. So I set out to try to make 20 to 30 mistake free trades, consecutively before I will trade one penny of real money with that particular idea. Replaying the market at a faster speed is ideal for that type of exercise, just like trying to play a drum pattern perfectly. If I make a mistake before I finish my 20 in a row, I have to start over from zero again. It is incredible how the human mind works. This exercise works great and can only improve a trader's performance, I think. It's one thing to know what you want to trade and how. It is a different thing to physically be able to do it without mistakes, over and over again. Great stuff!

Teamtrader, that is very interesting. Do you have back test results with rules to show the 95% winning percentage?

That's a very cool photo. I can see myself making use of that kind of screen real estate. All you need now is a view of the sea, or some other spectacular site out your window, and you're set. lol..

Thanks for your email WorldTrader. Gold could be an excellent market to trade. The UTA will help you identify what is working and what is not working. Once you get your trades entered into the datalog, the stats, equity curves, histograms and more indepth studies that you can perform would reveal a lot. For example, after doing a fairly exhaustive backtest of Crude Oil Futures with a 610 tick chart, I learned certain times of day the win rate was significantly higher on a consistent basis while other times was quite a bit lower. By adjusting the trade times, one could avoid the times with the lower odds. That's just one example of course. The UTA is as good as the info you put into it. It will help you see your trades from all sides and that alwasys ends up putting the light on important details that you might not have been aware of without this type of ability to analyze your trade data in such a way.

The EC has been struggling a bit with my strategy these past couple weeks. Most of the action has been occurring in the premarket and overseas session, so by the time I wake up and begin trading the US session, the EC has begun to chop around. Still though, I had a photo finish today and actually won 3 of my last 4 trades this week, with the 4th breaking even with a 1 tick gain. Those last few trades had me finishing mildly positive on the week with +12 points. Not great but it could have been worse. I was down -49 points last week but up +184 for May. The UTA keeps me steady with the EC though. Currently, after 448 trades, I am sitting with a 66% win rate, which to me, is the sweet spot anyway. Two steps forward, one step back works for me. My equity curve also keeps me very encouraged as it shows that I am sitting just below my equity highs. When I scroll down my win/loss column in my UTA spreadsheet, I can see a few occassions like these past two weeks, where the EC struggled. I also can see how hot it would get in contrast. The hot times way outperform the oppositve affect from the struggling times. The EC is streaky and you just have to be able to deal with the ups and downs of this market. The system I am using is holding solid in the 2/3 win vs 1/3 loss range and I'm comfortable with that. As a result, since Feb 1st (remember the 1st 6 weeks were backtest trades) this methodology has gained +958 points on very limited trading. I am excited about this coming week and know, based on history and experience that the best trades come after the worst. Sitting just below my equity highs, it is plain to me that I will be breaking out to new profit levels very, very soon. Perhaps this coming week.

Not sure if anyone is really interested in the BP futures but it sure has been working out great for me and my trading. This week, trading it a bit more cautiously with lower expectations (regarding my own trade goals) due to contract rollover, I took 7 trades and won all 7. Granted, 2 of them were only 1 tick gainers and qualify really as break even trades, but that's how my trade mgt works. On the other hand, those 1 tick gains are indeed winners because they saved me two losing trades. In the end, trading just one position, the BP was able to pick up +79 points with no losses this week. My UTA spreadsheet continues to show me that my strategy and approach just keep on, keeping on. The win rate is holding at a steady 68.7% and has actually ticked up a bit. In fact, over the past 26 trades, there have only been 6 losses. There were five 1 tick gainers so I'll count those as break even trades even though they saved me from losing trades. That means 15 winners, for a total point gain over those 26 trades of +220 points. Today's winner was another new equity high, ticking up my win rate as I mentioned, my profit factor, currently at 1.81, and an uptick in other significant stats as well. I'm looking forward to Monday's session.

Thanks for the thorough reply Barry. UrmaBlume, I hope that answers your questions. You did ask how much the UTA sells for. Typically, it has sold for about $300. Please feel free to follow up with more questions and either Barry or myself would be happy to respond in kind. A few ways that I have personally found great value in using the UTA is when I sit down to workout a tradeplan or to design a trade system. For me, I have to manually enter the trades, one by one to really get a feel for what I'm trying to achieve. I can't possibly explore or manually backtest all the possible opportunites, markets, timeframes, etc. So I settle on a few good ones and go from there. The UTA gives me a way to quickly witness the wins and losses, trade by trade. I can scan down my win/loss column and quickly get feel for the relationship between the wins and losses. I can see the losing streaks, subsequent winning streaks, and this might sound strange, but I can feel that level of discomfort when I post the 5th losing trade out of the last 7, for example. Then, when I see the next 16 out of 18 trades win, and a new equity high, I begin to get a deeper understanding of what trading this system will be like. When I notice that despite the losses that are randomly scattered throughout, I can quickly see that my system is growing its equity, the overall session stats are solid and the weekly results are solid. My confidence finally achieves a level that is necessary for my ability to trade the system in a disciplined, business-like way. You can't possibly get that kind of 'thing' from an automated backtest, in my humble opinion. Logically you might be able to, but psychologically, I don't think so. And trade psychology is the make or break (usually break) for most traders. For me, it is exactly that kind of thing that has made all the difference for me as a trader. My trade style seems a lot different though than what you described in your question. I used to try to trade with the high level of frequency you described but not anymore. My approach is to try to get a steady and consistent winning record, day after day and then get out of the market. So I only need to see my system working during my designated trade time and that helps mitigate the amount of work required to track trades in UTA, manually. Consequently, I find keep my trade costs way down and find myself trading smarter, not harder. Then I could go play with my kids..

When we began this thread, the BP (not to be confused with the company that is wrecking the Gulf of Mexico) had made about 500 net points or so. Since then, about a month ago, the HVMM strategy we use and track with the UTA, has continued to post steady winners. As of the end of today, we are getting close to doubling the earlier point total, with +967 points and a 68.31% win rate. Also, we have a session win rate of 78.82 % and a weekly win rate of 83.33%. As I stated earlier, the first 6 weeks of these stats were from backtest results. Since then, beginning the 3rd week in March, the trades have been real trades, called live in our trade room (Live Traderoom Blog). In fact, we gained +197 points in May. This week we haven't lost a BP trade and have made new equity highs again. I have attached the current equity curve below. Also, you will find another diagram that shows a single contract equity curve as well as an equity curve with a fixed fractional money mgt strategy applied, based on the risk parameters listed below: 3% risk based on the avg losing trade over the past 243 trades ($101.46). A starting trade account of $15,000 $5.50 commission and $5 per trade slippage, which might be low but I'm assuming that we're using stop limit orders to enter our trade and I haven't experienced many missed trades; one maybe two in over 200 trades take. The chart with the two curves is net of expenses Fixed Fractional Money Management is only one technique of course, and arguably there are better approaches. But this simple example illustrates how powerful a well thought out money management plan is and how it can dramatically effect your bottom line. Moreover it is only one of the many powerful UTA tools that can help a trader make better overall trade decisions. When you look at the graph, keep in mind that the green line is the managed equity curve and is read on the right axis. The single contract is blue and read on the left axis. You could see how much more volatile the managed equity curve was, but also, how much more profitable it was. The histogram below the curves shows the number of contracts being traded, as the UTA calculated the positon size, trade after trade. It had traded up to 11 contracts but has since backed off a bit and currently is at a 9 contract position size. It will be interesting to see how this looks a bit down the road. Stay tuned.

http://ultimatetradeanalyzer.com/blog/