BlueHorseshoe

It's probably more important in lower timeframes. Say that your strategy has a profit of factor of 1.8 in both daily and 1 minute timeframes. What does that mean in real dollar terms? In the daily timeframe it means that you can afford a point or two (or a few dollars) of error in your calculations (although I would still recommend that you try and avoid this). In the 1 minute timeframe the profit factor of 1.8 might translate to an average trade profit of just a few dollars - if you have miscalculated in this scenario by not using look-inside-bar resolutions (or any of a host of other potential pitfalls) then that few dollars lost will equal your entire profit margin and then some. If you're unclear on what I mean by this then let me know and I will provide code for an EL strategy that works great without look-inside-bar . . . And then falls apart as soon as you test at a higher resolution. Finally, if you are looking at one minute bars then your resolution definitely needs to be single-tick, and you'd better make damned sure that there are no bad ticks in that data - a fund trading intraday will employ staff whose sole responsibility is the development and implementation of algorithms to control the quality of the tick data that their systems are exposed to. Hope that helps Bluehorseshoe

Do you find that this holds true? My assumption would be that the vast majority of trading volume (and certainly the vast majority of traders who were smart enough to be on the right side of a decent move) would come from institutions who will most likely exit using an automated process within seconds of the close. So to me the idea of a 'liquidation move' into the close of any tradeable duration doesn't make sense . . . I would be interested to hear more about your experiences trading this. Bluehorseshoe

I used to place great faith in your comments, but now I realise you are nothing other than an outright liar who makes implausible statements and contradicts himself completely

I'm starting to get annoyed by the term 'HFT'. It gets bandied around a lot, but barely anyone knows quite what HFT firms do (other than trade with very high frequency, and have super-speed execution facilities, obviously). It's another one of those vague umbrella terms that people use. I did read an excellent book on this topic (written by someone who had worked within the industry for companies like Citadel), which led me to believe that HFT firms mostly dabbled in options, liked to use dark pools for slippery stock manouvres, and would also arbitrage pretty much any one instrument against another. Yesterday I finished reading 'The Quants'. At the end, the author discusses the mutation of several quant firms into HFT outfits, and suggests that their primary vehicle of interest is ETFs (!!!) . . . Clearly nobody really knows what these firms are doing, so the term is pretty frustrating whenever I encounter it.

Okay, so the first thing you need to do is get to grips with the basics . . . Head on over to my website and sign up for the course (only $2000 for a limited time only!): http://www.fishactionmasterclass.com You'll learn all of the following: - Why rods, line, float, and all that other tackle is just a fancy distraction from the only thing that really matters: fish. - How to identify high probability fish using our unique proprietary methods that we use as fish action fisherman in our own fishing everyday. - A unique net-up that has generated over 300,000 fish in the last twelve months. - The importance of fins. Many fishermen are trying to catch fish without even understanding the first thing about fins. Learn how to spot a declining fin and take advantage of other fishermen (weak hands) who can't so that you can BOOST YOUR FISH. . . . If I try and continue this joke any further, I'm going to be reduced to quips about 'scaling in' . . . Bluehorseshoe

Are you managing a desk at Goldman or something? If not, then the above phrase sounds just a tad pretentious . . .

What if the high probability pattern was one for an event involving an abnormal distribution?

No, no, no, no, no! You've got it all wrong, Roztom! You obviously need lessons: http://www.priceactionmasterclass.com That'll be $2000 please . . . (ps can't quite believe that the URL above hasn't actually been registered!)

The phrase "expert advisor" for the forex strategies is a seriously annoying one. Remember kids: an 'ex' is a has-been, and a 'spurt' is a drip under pressure

I'm a big fan of ProRealTime, which offers free end of day data for a very good range of markets - possibly a more broadly international feed than you could find anywhere else. If you're UK based and have a spread-betting account then you probably already know the platform - it's the stuff that most of the spread-betting firms have white-labelled. Bluehorseshoe

This is also how I learnt/am learning. Hands on is much easier than trying to learn things from a manual (exactly like a spoken language in fact). If you discover something in EasyLanguage whilst trying to overcome a trading problem that matters to you, then you are much more likely to remember it. The other thing that I have relied on heavily is the dictionary in the EL development environment. Oh, and if all else fails, ask Tams or Onesmith who always seem to have the answers!

It's all very complicated - Thomas Stridman's 'Trading Systems That Work' is probably the best book for reading up on this topic. Especially important are his thoughts one percentage-change scaled backtesting rather than dollar-based tests. I use data prior to the in-sample as my out of sample (there's absolutely know reason why the market one year prior to the in-sample is any more likely to resemble it than the year after the in-sample does). If you're testing a fixed percent stop-loss, say, then you're going to want to test this over a long period to get a result that reflects changes in market volatility. If, however, your stop was a dynamic, volatility-based stop, then there would be less of an argument for this. Also, it depends on how frequently your system trades. If you were testing a long term trend-following system then you'd want at least 10 years in sample, I would say. Whereas an HFT firm may use just the last year or two. Significant sample size is the important factor. I would definitely think about how you can remove variables from your system so that there is very little optimisation to be done. Hope that helps.

This might sound like a slightly perverse answer, but it depends on whether you want to make use of noise in your trading or not. If you're a trend/momentum trader then you probably don't - you want to see clean trends that you can follow. If you're a reversion to the mean type of trader then you probably want to see the noise and trade back and forth within it. Breakouts are a bit more complicated to pigeon-hole, in that you want to trade the ensuing breakout trend without the noise, but the market condition that price breaks out from is probably a noisy one. One example of how you can use noise to your advantage is when developing stop-loss strategies. Typically, given a random exit, you can increase the probability of a profitable trade by placing your target within the noise, and your stop outside of it. When the market is then left to do its thing there is a higher probability of your target being hit than your stop. Introduce an entry strategy with an edge, and the probability increases further. Given that you're day-trading crude, however, my guess is that you're probably working with breakouts, in which case range bars could be a useful addition to your strategy. I don't daytrade oil (or any other market), but one thing I have noticed is that the CL contract shows less of a tendency for intra-day reversals than many other markets - once it gets going in a trend, it normally sustains it for a full session. One thing I would therefore begin by testing is the effectiveness of holding positions in CL into the close. Hope some of that is helpful to you. Bluehorseshoe

This sounds very nice and simple, doesn't it. But can you provide any evidence whatsoever that this works? Or should I just take your word for it? Bluehorseshoe

No worries. Instruments such as the YM, ES, NQ, DIA, SPY, QQQQ, do generally keep approximate pace with one another, partly because they share components, partly because they reflect long term macro-economics, and partly because there will be pairs trading and arbitraging between them. But there is no way that you can expect one to move by a certain precise amount whenever another does. Bluehorseshoe

Is that 'it doesn't matter because it won't work', or 'it doesn't matter because it will work either way'?

Hi, The relationship you're describing is fairly approximate. 1 ES point equals 10 YM points in the sense that those movements in each contract are both worth $50. But this doesn't mean that when the ES moves 1 point the YM will make an identical movement of 10 points - they're based on diferent underlying indices, remember. I've never traded the @NQ, and I can't remember what a tick is worth, but basically if you find out how many NQ ticks produce a price per contract change of $50 then this number of ticks is equivalent to one ES point. I hope that makes sense and is helpful, and good look in your trading. Bluehorseshoe

And also try http://www.shamelessselfpromotion.com.

Sorry - didn't mean to derail the thread - was just in a silly mood!

If you're trading Orange Juice and Apple splits 2 for 1 . . . then you got yourself a nice fruit smoothie there, Onesmith!

Do you wanna buy some pivots, Dave?

Thanks for an introduction to a handful of indicators I've never looked at before. With regard to the point above, my expectation would be that the ETF would be more mean-reverting than the future (although I agree that the trending quality of both is poor). When you were testing, did you test against the @ES.D cash session data, as this would really be the true equivalent for the SPY, which only trades exchange hours? Bluehorseshoe

No worries - glad someone finds my posts beneficial - I'm sure I'll be coming to you for help again next time I get stuck with coding! Bluehorseshoe

[quote name=$5DAW;143323 As a final suggestion' date=' you might consider putting the bands on the chart and study/see/visualize how the "indicator" indicates [/quote] I think this is good advice.

Hi Onesmith, I didn't say that it is a waste of time - please see the first line of my comment. I am working on the (perhaps unfair) assumption that the thread starter is fairly new to trading, and may not have the opportunity or skills to test something as rigourously as you or I would. As I'm sure you're aware, squeezes are a form of volatility breakout. The volatility measure in the instance of Bollinger Bands is derived from Standard Deviation, the application of which to market price ('exotic') data is rather dubious. The typical (ie Carter-esque) Squeeze setup assumes that prices do not follow a normal gaussian distribution and that kurtosis ('fat tails') will occur, from which the trader can derive an advantage. Is this true? Sometimes, in some markets. At a guess, the Squeeze indicator might be useful in markets such as the Euro or Crude Oil, both of which are prone to breakout trending moves. However a market such as the ES, which typically does follow a normal distribution pattern of mean reversion, does not tend to produce reliable breakout moves. In fact, if you forced me to trade the ES with a squeeze indicator, I would fade any breakout following a squeeze. As for why the indicator is so popular, I would suggest this is because it 'makes sense' rationally when authors explain it, because it signals sufficient adequate moves on most charts to look appealing to newer trader who doesn't know how to test things well, and because it has been heavily promoted by numerous educators. I am not saying that the indicator is a waste of time, but I don't think it's the easiest thing to use well. Bluehorseshoe