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Using the last bids, the trade is breakeven for the week. I had an order in to dump the whole thing for about a 3% profit from mid-morning, but didn't get filled (it ended up being around high offer of the day). On Tuesday bought the 31 strikes for the low premium, and reviewing the trade...

Implied volatility (as computed by IB) is now below historical for SLV options. This morning I picked out the 31 Strikes, July, which had the least volatility compared to surrounding strikes at the time. I like to give the trade some time (months) without having to worry about losing a lot of...

Today: buying breakouts of the premarket high (PMH) and buying support around yesterday's close. Back to real $ (no sim was needed); see below for the details. First, I realized that I could fix the repeated bad entry problem (when support becomes resistance and vice versa) by first...

Yes, but only for a relatively small sample (compared to the years you mentioned) for the YM in 2005. I was trading a breakout strategy (purely discretionary) and entering with a stop order. No doubt what you found is correct. But there are two details about what I am doing that you must...

Well, by my reading of your procedure, you could (in principle, your software permitting) accomplish the same thing by: (1) Using data from up 3 months ago for modeling/fitting/calibrating your methodology (2) Simulating from 3 months ago to the present. You end up in the same place as if 3...

After thinking about Friday's losses over the weekend, I conclude the problem is general to trading a support and resistance model. After a breakout, let's say an upwards breakout, resistance can become support. So if you are selling that resistance, you're going to have to deal with the...

Thanks for posting that Hurricane. I'm always comparing various distributions from my methodologies to that from random trades. I do a lot of Monte-carlo with the distributions I get to figure where my P/L should be and what the drawdowns should look like. However I have found it very useful...

I just downloaded this and had a quick look. It's a great effort; thanks for open sourcing it. Do you have a discussion group somewhere (or is this it)?

Yes. For starters, you mentioned you test all of your ideas on a simulator before trading real money. So what are your criteria for switching over to real money? Personally, I don't test for P/L on a simulator. I only use the simulator for one day, each time there is a significant change...

(1) So, what are your criteria for trading with the smallest amount of real money? (2) Then, what are your criteria for increasing the size? Those two questions are about the trading methodology, not the software. On to the software, including writing code for a commercial platform...

If you mean the trading methodology, absolutely true. Conditionally false. IB does have a simulator, and I use it all the time. But at some point, I feel I need to trade the smallest amount of real money to continue to learn and develop the system. I believe as long as a trader is trading...

... and today I saw the ugly side of this decision, where I had three -5.00 losses for a total of -15.00 shorting 2768.50. Previous to 'previously', it would have been just one loss of -5.00. Again, the issue is: once a S/R level is violated, do you trade it again (in the same direction)...

Selling/buying the pre-market high/low, plus buy/selling breakouts above/below. I'm glad the computer is doing it and not me. Now that I'm confident the program is well-behaved, a cash infusion is on the way-- enough to trade 3 different futures contracts. I can start that next week. I'm...

Selling above yesterday's high? I don't normally do such things. :confused: A break in the routine is not a good thing (see: "late to party" comment). Anyway, I'm a buyer around 2750 now.

A little late to the party this morning, but same plan as yesterday. Selling around the highs thus far and selling a breakout of the premarket lows. As I was writing this, the program when short at 2746.25 and got stopped out at 2751.00 about 13 minutes later. So the bug I mentioned yesterday...

A very interesting issue. I'm still using price polling for the StopMover code, as opposed to the new asynchronous price feed I recently introduced for entry searches. It works, but it takes a few seconds for the first few ticks to come in. In the meantime, the price is zero and the StopMover...

Trouble: the program moved the stops up right away after the short entry. This doesn't happen in the automated tests, so it should be interesting to find the problem. (And learn something new about testing :D) I've added some logging to the StopMover class so we can see what it's thinking...

I'm selling NQ today... any resistance at yesterday's close (= pre-market high) and breakout of the pre-market lows.

Mini-update: Last week net was about +10 NQ points ($200), 1 contract This week so far (Mon + Tues) is about even I really need to whip something up to process all those lovely xml output files! Annotated chart + results. On the systems side, everything is running smoothly...

Hi Seb, it's a collection of very simple price action and time constraints. Many I learned from years of screen watching and discretionary trading. Others come from remarks my elementary-school aged kid made after looking at a chart. What I didn't realize is once they're all rolled together...