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tjnoon

Re: Best Times of Day to Trade the Futures?

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Interesting posts about time of day results. One of the reasons we began this particular forum was to share results from a variety of markets, and to share research discoveries using our trade tool, the UTA. There are so many markets, timeframes, trade approaches etc., and it seemed that we'd be able to cover a lot more ground collectively, and thus benefit from everyone's findings collectively, as well. This forum is supposed to be educational and a place for us all to learn from one another. The UTA is such a new tool that we felt a forum like this would be very useful for those learning how to use it. It is not a trade strategy (to reiterate) but a tool to use for analyzing one's strategy and trade results.

 

I have posted many crude oil trades into a UTA spreadsheet and have found a similar dynamic as Steve's findings. For example, from 9 am to 9:15, my win rate was a strong 68.25%. But check out the following 15 minutes, 9:15 am to 9:30. All set-ups that occurred during that time with my particular strategy had a 95% win rate, whereas the following 30 minutes the win rate dropped down to about 60%. I've posted some of my UTA time of day results below. I think that Steve brings up an interesting question regarding time of day results AND knowing when to stop.

 

I'm on the West Coast so I'm not interested in pre-NYmarket trades. I gotta sleep a little bit, no? I like a tight tradeplan that enables me to quit as early as possible too, though. For my emini trading, I begin at the NY open and take the trades that my system spits out. If I hit two winners AND a positive result, that is my dynamic stop goal (but I do need at least one of my winners to be a full target, not a parital). It allows me to take what the market wants to give me while quitting positive on most sessions. I couple that with a hard stopping time where if I am not yet positive, I'm not taking new set-ups. So for the Russell emini for example, that hard stop time would be 12 noon, exchange time.

 

Other dynamic quitting goals could be even more effective, depending on your system and available time to trade. I have found for example, with the same Russell strategy I use, that quitting after 3 winners and a positive result (also requiring that one of those winners is a full target and not just a managed partial target) has been far more profitable over time BUT, you may need to trade into the pm session and it does require a longer daily time commitment. Today, for example, I had two winners (one small partial and one full winner) and could have been done within the first 17 minutes and a very nice result. Forcing the 3rd winner would have resulted in a losing trade but then would have caught a very nice 8 point winner on trade #4. On other sessions trade number 4 may have been another loss, giving back the first two gains, and forcing another trade. There's always a trade-off with every trade decision.

 

The important thing is to establish a tradeplan that gives you an edge in the market over time, and then trade that plan. The UTA is a tool designed to help you find that edge by extracting the details out of your raw trade data, like the time of day study on the set of crude trades, shown below.

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Edited by tjnoon
Typos

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I just did a back test of Gold on a 500 tick. Wow, a lot of trades. I really need to put something like this into a spreadsheet that I can get some good data out of. Since January, I had 78 wins and 26 losses. The most losses in a row was 3 and for a while I went 9 winners and only 1 loss.

I think this is a fantastic market. Do you think your spreadsheet would be able to help me filter out some of those losses?

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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.

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Am,

Yes and it is fantastic. I will give everyone the spreadsheet. It has had5 more winners since the last update on 6/21! I want a robot for this one...and I hate robots. The file is too big I will have to split it up or just give you all the latest trades. I think there is a GC thread.

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That's great. Are you using the UTA to post all your trades? I still haven't subscribed to the comex data feed. I assume that is the exchange your trading, right?

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For me trading Gold futures is like playing craps or chess.

 

What the heck does that mean? For some reason when I go to the casino I have this mental block about learning craps -- I'll play blackjack, sportsbook, roulette, etc... but I glaze over when someone starts talking craps.

 

Chess? Same things -- everytime someone tries to show me my mind goes far away.

 

Gold trading is like that -- it's a market I KNOW I need to learn and be more involved in. So, I'll be reading this thread since I'd like to see if it's something to add to my personal trading, and will fight and resist the urge to glaze over and go to my happy place - which for some reason hasn't included Gold futures!

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Lol.. That's funny MMScientist! Like you said, it's just a market. Bars on a chart. I guess it doesn't matter what the instrument is if you can find success trading it. No point trying to shove a square peg into a round hole though. I love chess but if someone were to start talking about Bridge, my eyes would glaze over too. In fact, anytime I talk about trading and what I actually do with any of my friends and family, their eyes glaze over too. I think the eyes glazing over is a good 'stay clear indicator.'

 

Anyway, so what are the best times to trade gold? How about silver? Since I haven't yet subscribed to the data feed, I feel a bit in the dark on the metals.

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