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iwshares
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Everything posted by iwshares
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My Did you test your version of the system and refine the rules accordingly? If so did you move your stop according to your plan? If so then don't be annoyed about a) moving your stop or b) the market moving against your position. Even if it's only 10% accurate but has a profit factor of 9.1:1 then you're laughing all the way to the bank. What I found was it took quite a bit of back and forward testing (with small amounts of real capital) to discover a set of exit rules I was happy to trade. I also find it useful to keep a log of perfect trades e.g. if I take a trade when the setup wasn't complete or I typoed the order it doesn't go in the perfect ledger. This allows me to gauge how my execution is performing compared to testing, or discover if there is an unexpected problem with the system when used in live trading. I found with my first version of the rules that while in testing it was profitable, poor execution or more accurately a system that allowed for too much indecision, reduced the profitability to negative. I also couldn't take the barrage of loss after loss of real money (which wasn't a problem for me with paper $$) so looked for a system beter suited to my loss tolerance. Despite a strong start to the year so far this month (due to lack of strong trends as I'd interpret them) I've had 6 losses, 3 break-evens and one profitable trade, but I'm still carrying on with my small grubstake, taking each trade as it comes.
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Well I've been told I'm putting two bets on the UK Grand National 2012 this Saturday, so as it's a mathematical exercise anyone here got any tips? Racing anecdotes? Like to win but trying not to completely kill the fun of the day - I'll be having more beers than my work limit of 0!
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That's exactly what drew me into this thread: the "simplicity" of a trading where you jump on board a trend and get out when the market's given all it can (be that positive or negative). The expectancy for me has been fantastic. One trend in January allowed entries returning 7 +5+4 = 16R; another 9+8+5 = 22R. Consequently I can take a lot of setups that stop for 1R loss and still make a profit. After some time with contrarian setups, I've really taken to trend trading. I like how the market has to add proof that the pullback is not a retracement - the StochRSI filter seems to indicate this quite well. Thanks again OT!
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Hi Neotrader, I've not posted in a while as I've been evaluating my ideas. One problem I've found with my trailing stop approach is it does need a certain amount of babysitting as I'm using it on range charts on spot EUR/USD which never closes... I have just started testing my approach (described below) using some daily charts of stocks but haven't got enough results to report back. Not using profit targets has led to committing the "sin" of letting a winner into a loser on occasion, even as much as 2:1 RR to stop out but overall it is profitable so I'll carry on using it. What I've found during testing and live trading is that you can never tell which trades will almost stop then go on to 3, 4, 5 or 6 R returns and which will stop at a loss so I just have to trail the stops as I'm told by the system. Hope that is of some use - if it's any use I'm finding exits the most difficult aspect too!
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I initially planned on trading 1% because "that's what you do". However once I started risking real capital I found I only wanted to only risk 0.66% at most, and would often risk less, especially after a loss. It wasn't until noticing I was plus pips but not £ that I went back and throughly started playing around with position sizes on my test data to work out what I was most happy risking, assuming the worst possible outcomes over a large number of trades for drawdowns and finding a happy medium between possible drawdown and possible account growth. While my strategy call for a constant position size, I can also see that, as with scaling, position size is system dependent
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Hey Cory just checking in to see how your doing? Are you still trading, if so are you still following the 123 Thales method?
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Introduce Yourself Here - Don't Be Shy!!
iwshares replied to trading4life's topic in Beginners Forum
I absolutely agree, I lurked for ages before posting and find when I post something I think about it in a different way, both in writing the post, and in the responses of those who reply. -
How true! As a trend trader (spot forex but considering futures so following this thread intently, especially the MP/VP stuff which I have found very fascinating - I find different types of support and resistance compelling) the 100+ point trades often come from 5/6 point risk positions. Perhaps it's a case that the market volatility contracts until the point where it has to break somewhere, and our systems point the right way to be when that happens. Very interesting to see someone else have that experience
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BSD All In-All Out and Scaling Trades Discussion
iwshares replied to TheNegotiator's topic in Risk & Money Management
While developing a system I'm happy to trade I've spent a lot of time trying to get my head round different approaches to entering and leaving trades. Before designing my current system I decided "I don't like scaling at all - all in, all out's the way for me". With my current system I enter intraday trends on pullbacks. In testing I found that if I took new entries based on setup signals when I had an existing position it was more profitable, even though some will come at the end of the trend and stop out. I also discovered that most profit was made when closing all positions towards what I believe is the end of the trend, rather than hold a position and wait for the resumption which may never happen. If the trend continues I'll take any more entry signals that appear. Without realising I'd developed a scaling in, all out system, despite the fact that I originally "didn't like scaling". This suggested to me thinking in absolutes is not a good way to proceed. Great to see this thought vindicated by others. Hope this experience is of use to this discussion. -
Hi Neotrader, I'd be interested to know how many setups form during your trading day, how long a period do you trade for, do you focus on one pair or several like I do with the daily chart watching (though I'm not actively trading the longterm setups)? I find with the standard settings on average 2-5 setups form each day. If a strong intraday trend develops I generally have two opportunities to enter depending on when it starts. By taking all the entry signals I'm given this sometimes means I can gain more from a trend without risking too much equity on the first entry, though I always think of each trade in terms of its individual risk/return. If a price is trading in a range, perhaps after a strong move the previous day I'm often stopped out on all those setups. Something to consider trying, which I looked at but decided not to use, is if you find yourself stopped out frequently you could add another longer term moving average e.g. 63 MA and not take any setups unless the long EMA is below the medium and short (for longs) or above the medium and short (for shorts). Another thing to consider is filtering intraday entries based on either greater risk/return of exclusively short or long trades (need quite a lot of testing to determine this). You could alternatively take entries in line with the daily (or any longer timeframe) trend, again you'll need to do quite a bit of testing. N.b. I know this sounds like the classic "I'm improving a working system syndrome" trader line! In back testing I found I was happy with the number of setups versus the return so stuck to the simplicity of the two EMA with StochRSI confirmation and focussed on working on my own exit strategy. I'd be interested to hear how things go for you, I appreciate how long it can take to back and forward test a strategy.
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Hi Neotrader, For simplicity I've attached a chart of the daily EUR/USD as it's quite clear to show my trailing stop system. A short entry is marked along with the initial stop and two possible exits. As price makes each lower high marked with H move your stop down to 1 pip above the high. With this system entry was at 1.3591, stop 1.3816 - profit 712 pips or 2.8 R. Trailing the EMA would have taken you out at pips for 475 pips or 2.1 R. As can be seen there is an element of discretion with the highs and lows. My biggest problem using the discretionary trailing stop method on shorter charts is letting swing highs and lows fully develop. However doing so is worth it as there have been quite a few 60+ point moves in the last few weeks anyway (not all of which I have been able to take advantage of). This has made my live performance worse than backtesting but I will carry on practising in the live markets with the small risk capital I am using. Please note that so far my forward testing of the OT system based on range bars is proving more profitable but only time will tell. P.p.s I've also attached a picture of what the range bar system looks a bit like for contrast. N.b. 7 days overbought on StochRSI and price above 65 EMA so I'm looking out for a short on the daily (could happen Monday if ECB announce QE and it's not been priced in so it drops heavily - I'll be trading intraday so will take the trades I'm presented with). P.s. I would have taken the short at 1.4 too and then added to my position by also taking the short as shown in the diagram. If I was using the 65 EMA exit system I would have adjusted my stop to the 65 EMA once price dropped below the 21 EMA so would have been stopped out sooner than with the swing high trailing system which would have had two positions open for most of the down move. However it seems a case of swings and roundabouts as sometime the EMA will stop you out sooner (intraday often before price then catapulted up, but before the StochRSI indicated a trade) and sometimes the swing highs will stop you so make sure you test which is best for your time frame both in terms of expectancy, profit, drawdown and how much open profit is left on the table.
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In testing my current daytrading system I was always intrigued with the profitable setups in the last hour of my set trading hours (5pm UK). Just wondering how you manage the trade for exit e.g. profit targets, scaling out, trailing stops, DOM action? Apologies if you've already posted this. Thanks
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Could only trade 2 days this week so don't have enough trades for a proper analysis of OT (b). Hypothetically could be up 28 pips, though no way to know how the markets, or I for that matter, would have behaved. While discretionary stop is a better fit, I have slipped into taking profit early this week, something I will have to keep an eye on. In daily chart world (still have the time to keep an eye on it even though not daytrading) EUR/GBP spot and GBP/CHF spot look like they'll have a short and long setup respectively - I'll check later when the spot markets have closed for the week. I'll place entry orders on Sunday night if so - OT (b) exit rules. Lots of other spot currency pairs are also overbought/oversold and between the EMA e.g. EUR/USD, GBP/USD, GBP/JPY, EUR/JPY, USD/CHF. Interesting how so many currency pairs have suddenly had setups or possible setups in the last couple of days. Any thoughts on the correlation OT? How is it comparing to the futures charts? Have you come across similar patterns between 6E, 6B, 6Z etc? I've also done some testing of a slight variant on OT daytrade (finished work early this evening....). The imaginatively titled OT © uses 20 pip range bars on the EUR/USD spot forex chart, traded between 9am-5pm UK time. Stop loss is 22 pips, swing highs/lows for trailing stop like OT (b). Due to a lack of data I could only test late April 2011-May 2011, and Dec 2011 to present. Results of 25 trades (1 trade open at the moment) was +915 pips, mean expectancy 1.5R. Risking 1% per trade this gave equity increase of 41%. I completely accept that 25 trades, randomly distributed, is not suitable for analysis, however as range bars seem popular at the moment I thought someone might find my results interesting, good luck if you profit from using (once you've throughly tested it yourself etc). Hope my ramblings are useful for other traders out there, have a great weekend all.
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Introduce Yourself Here - Don't Be Shy!!
iwshares replied to trading4life's topic in Beginners Forum
Hi Tom, welcome to the forums. Check out http://www.traderslaboratory.com/forums/e-mini-futures-trading-laboratory/9773-day-trading-e-mini-futures-109.html#post136175 if you've not already come across it, I think it could be a great place for you to learn from and contribute to. -
Hi guys, I've been following this thread since it's inception, but haven't until recently designed a system I was comfortable with. I have used OT's entry system as part of the day trading plan I'm getting going at the moment. I trade the 5m spot EUR/USD charts from 9am-5pm UK time Monday-Friday. After that time I will manage open trades but will not open new positions. Entry is as per the rules. If another setup signal is given while a position is open then it is taken. Initial stop is placed above the high/below the low of the signal bar (shorts/longs). Initial stop position size is no greater than 2% of account equity. For exit in OT (a) I trailed the 65 EMA. Any open positions on Friday were closed prior to market close for the week. In back testing of 50 trades over a month period OT (a) worked out at 1.03 expectancy. The last week I've been trading with a small amount of real capital to test myself and my broker. Possibly due to greater volatility, combined with an element of poor execution - a major move was missed, which skewed things a little - in a week it worked out at -0.12 expectancy, which was a little disappointing. However at the same time I papertraded with a different set of profit taking rules and the expectancy of that worked out at 0.72. Again it would have been higher with the missed move, but these things can always happen so I'm not going to fiddle the data to make it seem better. I used the fills I got with OT (a) but recorded the outcome with different stop movements. OT (b) is the same as OT (a) except I move stop loss 1 pip above the swing highs (for shorts) or below the swing lows (for longs). Look at Thales thread for a definition of swing highs and lows. In raw pip terms (a) was -7, (b) was 214. Next week I'm going to trade the new profit rules live. Now I know I'm not comparing like for like exactly with 1 month of backtest versus 1 week of live, but the main reason for changing is I wasn't very comfortable leaving so much open profit with the trailing EMA, especially given the significantly longer periods the trades were open. In order to keep a semblance of scientific accuracy I will papertrade (a) while live trading (b). I'll keep you posted with my results and conclusions. If anyone has any questions let me know, I would really appreciate any input. Once again thanks OT for this great idea, and after a week of live trading a trailing stop exit, moving average crossover intraday I totally understand the placement in the Trading Psychology of TL...
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EUA: Price moved down on open and found support at 9.32. With the new H and HL, possible long. I've drawn TP2 the lower side of the gap down that happened before the short term downtrend. However as this makes the RR on leg 2 almost 1:1 I would probably pass on this trade. Of course I'm not saying price will hit resistance at 10.05, just that it might...
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EUA: As stated yesterday price broke out of congestion zone marked in blue, by gapping to the downside. It printed a L, LH then continued moving down, today breaking below the 9.78 support. It will be interesting to watch how far this continues down; price has been in a downtrend since breaking out of the congestion shown by the blue band in the second picture.
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GBP/CHF: As said previously TP1 hit, so SL to BE, price then retraced to entry EUA: Long never triggered, price broke out of sideways congestion to the downside. Will be interesting to see if it bounces off the 9.78 support or breaks through to new lows.
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EUA: TP1 hit on short then price pulled back up, entered a sideways range. Have drawn a potential long, with TP2 in the 10.65 resistance band. Have also posted a zoomed out view of the market. Interesting how's it's spent most of the last 2 months in a range between 9.78 and 10.90. I wonder if this is an accumulation period (and if so which way will it break out of congestion) or if this represents a new narrower trading range? Trading the long pullback of a bounce off support still makes sense, though I wouldn't normally trade a security that is range bound (e.g. avoiding USD/JPY at the moment). Will mull this over the weekend... GBP/CHF: Price has dropped through the 1.3963 SL of the bold line trade (banking 437 points, though concerned about the RR on the trade), through the 1.39 support towards the 1.376 support before pulling back up and closing below the 1.39 resistance. For the dashed short trade this means I've hit TP1 and stop is now at BE. Will price drop again following the pullback today possibly moving through the 1.37 support at the bottom of the previous sideways range, or will it pull up through the 1.39 resistance back towards the 1.412 top of the previous sideways range?
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EUA update: Potential short (shown) or if price breaks above 10.53 could be a setup for a long GBPCHF: Price hitting resistance at 1.4122, will it carry on down maybe towards 1.3903 or even 1.3703. Either way stop remains 1.3963 (below the 28/09/11) swing low. Potential short marked in dashed lines
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EUA: Previous trade stopped out for full loss. Here's a missed entry that would have hit TP1 then stopped out. Having tested the 10.52 resistance area will be interesting to see if price breaks through or pulls back to the 10.26 support.
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GBPCHF long update: After htting resistance at 1.44 price dropped down into the blue congestion zone. Broke out, hit resistance at 1.427 and dropped down through 1.412 band to 1.3997. Will price find support there - HL yesterday - or will it continue down; we're now in what was a sideways channel between 1.37 and 1.412 so will price carry on down to that old support? Stop on the long @ 1.35 remains at 1.396 EUA: Drawn some TP etc for a long setup following the pulback around the 10.36 resistance. Last time it hit it price dropped back down to 9.81, just higher than the 9.78 support it found at the bottom of the last down move. Is this higher high an indication of an uptrend, if so I would look for price to break through 10.9 and carry on up.
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Introduce Yourself Here - Don't Be Shy!!
iwshares replied to trading4life's topic in Beginners Forum
Hi C4Warrior, welcome to the forum. I'm still very new to trading too, but have found this site a treasure trove of ideas and information. Don't worry about asking questions, all the guys here are very helpful - I've asked plenty of dumb questions in the last few months. One thread in particular I've found useful is http://www.traderslaboratory.com/forums/trading-markets/6151-reading-charts-real-time.html It's quite massive but I recommend reading it from start to finish - the thread creator has posted an amazing amount of really useful reading and chart analysis. -
Eua update: Price moved up through TP1 pulled back to the 10.71 support then pushed up again to the TP2 resistance of 10.89. It then pulled back through the 10.71 support. Will it keep dropping to find new support in the 10.49 band, or even continue down to the 10.32 support band or lower? If it does break through the 10.71 resistance will it go up to the 11.22,11.53 resistance GBPCHF: Dashed short triggered but almost straightaway reversed, I would probably have closed that trade had I been actively managing it. Bold long trade would still be open as price hasn't dropped into the trading range again, taking out the stop situated there
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Eua: Price broke above the entry threshold then dropped back down to form a new support at 10.32. It then moved back to within a tick of TP1 then pulled back to make another HH . The big question is will price test, and breakout above 10.70, or will it pullback from the resistance again and head back down to the 10.32 support area again? Price is generally making HH but of course this is not proof that the downtrend is now reversing or just retracing. GBPCHF: Price broke out of the trading range between 1.3703 and 1.4122 and moved up but has kept testing the top of the range. Having hit resistance around 1.4432 it has pulled back to the top of the range again. Will price carry on back down towards 1.3963 support area, or even 1.37034 support area. This potential reversal of the recent upmove also suggests a 123 short setup, marked in dashed lines. TP1 is a little lower than the 161.8 fib but still above the 1.3963 potential support. TP2 is in a prior resistance zone so could become a support zone. Even if you were in the bold lined long trade you could take this short trade, assuming your trading rules allow for this sort of thing - some people would stop and reverse, others would let the short mitigate the loss of open trade equity on the long.