Baruch's Forex System Journal

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Quote from FX_Cowboy:

I place my support and resistance lines/trendlines the same way everyone else does, I suppose, by observing how price behaves at certain levels. In addition, in forex futures you have the advantage of having volume on the screen, which can be quite a good indication of significant price points/areas.

While I am in no way a computer genius, I am a programmer, and I have built systems in the past using IB's programming interface, and also eSignal's interface. So far, I haven't built one that is consistently profitable -- or to put it bluntly, they've all lost money in the long run. I haven't given up looking, but I do find that I trade better using some discretion.



It certainly can -- and is -- done. The key elements are having a profitable system in the first place, and being able to break the system down into rules that a computer can execute. I'm thinking about putting together a "Baruch MA Breakout System", but I need to define the entry and exit criteria a little better. Maybe we can collaborate, and then I'll give you the program once we've defined the rules. :)
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FX Cowboy,

Yes, of course we can collaborate, but maybe it's better to start with Buk's 00 system? 500 pips in one week in one pair are not bad. In fact I don't think Soros could do it better...Maybe we should start a hedge fund together? LOL.
 
Quote from Baruch:

TRADERguy,

Thank you. Do you trade the number (sell the good number and buy the bad number) or just follow the flow? How do you know when to take your loss - and your profit?
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When trading 10 yr notes on a number I send off an order as soon as my brain has processed it while I'm still looking at Bloomberg. The exception is the Michigan number because we get the conference call, but the goal is still to send off the order immediately. When trading the currency futures (except on huge events like if the FED raises 50 instead of 25 at next meeting) I wait until the spread closes and something resembling normal trade starts before sending of an order. Because of this the price movement has usually already started; but that's all you can do. Even though I'm forced to wait a few seconds or more when I'm trading the Euro, I know which direction I'm trading in as soon as the number(s) come out. I don't have any firm rules on when to take profits-it depends on how far off the #'s were from expectations, how important the number(s) are, and how it trades. There is lots volatility right after a number in the euro futures so I will usually allow for 10 tics of heat against me and at least 10 tics of a pullback once I am well in the profits. However, if the initial move appears to be rejected it's time to exit, look for further confirmation of the rejection, and think about going the other way.

All of the above concerning entries after a number assumes that the numbers dictate a price movement. If the numbers are in line then I hold off. If the numbers are contradictory and I don't know what the market will make of them, I wait to follow the price movement and I take my profits sooner because there is more risk of a quick reversal.
 
Quote from TRADERguy:

When trading 10 yr notes on a number I send off an order as soon as my brain has processed it while I'm still looking at Bloomberg. The exception is the Michigan number because we get the conference call, but the goal is still to send off the order immediately. When trading the currency futures (except on huge events like if the FED raises 50 instead of 25 at next meeting) I wait until the spread closes and something resembling normal trade starts before sending of an order. Because of this the price movement has usually already started; but that's all you can do. Even though I'm forced to wait a few seconds or more when I'm trading the Euro, I know which direction I'm trading in as soon as the number(s) come out. I don't have any firm rules on when to take profits-it depends on how far off the #'s were from expectations, how important the number(s) are, and how it trades. There is lots volatility right after a number in the euro futures so I will usually allow for 10 tics of heat against me and at least 10 tics of a pullback once I am well in the profits. However, if the initial move appears to be rejected it's time to exit, look for further confirmation of the rejection, and think about going the other way.

All of the above concerning entries after a number assumes that the numbers dictate a price movement. If the numbers are in line then I hold off. If the numbers are contradictory and I don't know what the market will make of them, I wait to follow the price movement and I take my profits sooner because there is more risk of a quick reversal.
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TRADERguy,

Thank you. Yes, I know the big spreads in forex futures just before and after important numbers. But are their no so such big spreads in T-notes?
 
Quote from Baruch:

TRADERguy,

Thank you. Yes, I know the big spreads in forex futures just before and after important numbers. But are their no so such big spreads in T-notes?
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There are usually only big spreads in the T-notes before big numbers like the non-farms and FOMC decisions. But if the number is out of line you can still get a good fill and be in the profits right away. Keep in mind that I get the numbers as they come out, but even with a slight delay you should be OK trading out of range important numbers because of the 2 waves of price movement that I referred to earlier: first you get movement from the futures speculators and then the paper moves and carries it farther.
 
Quote from TRADERguy:

There are usually only big spreads in the T-notes before big numbers like the non-farms and FOMC decisions. But if the number is out of line you can still get a good fill and be in the profits right away. Keep in mind that I get the numbers as they come out, but even with a slight delay you should be OK trading out of range important numbers because of the 2 waves of price movement that I referred to earlier: first you get movement from the futures speculators and then the paper moves and carries it farther.
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TRADERguy,

Nice to know. Thank you.
 
"As a boy I was shy and fearful, with a dread of speaking in public. I had an ungovernable temper. As I grew older I liked to gamble - a horse race, ball game, or prize fight still thills me and makes me feel young again.
Whatever I saw others accomplish, I was driven to try to do myself. Only after much effort did I learn how to control my feelings, and do what I could do best, leaving what I could not do well to others".
 
Quote from TRADERguy:

Yes, I'm a couple time zones east of you but the hours still suck. I think that eventually I will trade from Europe.
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If I can trade FX succesfully for a while, I'll trade from Europe too at least part of the year.

Chinook
 
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