CL151

[dom993]

I have made a few changes in the systems offering on the website:

a) I have “retired” CL Always-In … I think CL 151 has now reached a far better performance level

b) I introduced a few weeks ago CL 302, a system derived from CL 151, and designed for small accounts … I am releasing CL302 v03, which officially introduces pattern 301, an anticipated entry-signal for pattern 302, similar in nature to what pattern 150 is to 151.

c) I am introducing today CL 15x-TR, another system derived from CL 151. This addition to the family offers only “TR” patterns (150, 301, 152, 154, 155), which make it possible to use much smaller stops (from 30 to 60 ticks) than CL 151. On the other hand, the win% is also much lower than that of CL151, but the overall Profit Factor is just as good.

I consider CL 15x-TR an interesting add-on to CL 151, offering across the combo (1 contract of each) a similar P&L level for “CT” trades & “TR” trades, while keeping the maximum loss to $1200 per setup (CL 151 v06 will add not only pattern 301, but also separate settings for the entry-stop of TR & CT trades, ensuring that across the combo, the maximum loss can be kept at $1200, corresponding to 1 contract max-loss on “CT” setups, or 2 contracts max-loss on “TR” setups).

 

[dom993]

Results for the week ending August 22nd, 2014:
- Basic TM (v05, all patterns): 1 win ; 3 losses ; net -2030
- Alternate TM (v05, all patterns except 150): 1 win ; 2 losses ; net -1205
(I switched to v06 Wednesday evening on my AlternateTM account, which saved 1 loss)

It has been a rough week on the trading front ... Early in the week, I started analyzing pattern 151 counter-performance for this year (the other patterns have been working very well), it took me quite some time to realize that the primary strength filter I use for pattern 302 does a good job at splitting pattern 151 in 2 half ... the "upper-half" has a much less variable performance than the "lower-half" over time (even though they both have about the same win% & avg/trade - actually the lower-half is a bit better on both metrics). The next step in the analysis was to remove the CL151 specific filters for pattern 151, and compare the resulting P&L curves for both half - I was really shocked by the difference:

No wonder this lower-half has a more variable performance even using filters ... with that said, I am impressed by the job done by these filters on the lower-half, as you can see here:

That being said, I decided to remove this pattern 151 "lower-half" from the recommended configuration for the system in v06, as I think its unfiltered basis is too unstable. I will try to partition that space in the coming weeks, and see if I can isolate a more stable subset of it.


I finally released v06 today, which uses pattern 1515 (aka 151 "upper-half") as core pattern, instead of the full 151. It also adds pattern 301 = anticipation signal for 302 (like 150 for 1515) , and the entry-stop is now configurable separately for CT & TR patterns, allowing to use CL151 in combination with CL15xTR and keep the risk amount constant on each setup.

The website has the complete performance data for v06, I will only show here the BasicTM performance for the (new) default set of patterns (up to Friday last week ... for v06 BasicTM, this week has only 2 trades, net -250):

Have a great-week-end,
Dominique

 

[dom993]

Baron, I like this editor much better than the old one ... thanks!

 

[dom993]

Results for the week ending August 29th, 2014:
- Basic TM (v06, default patterns): 1 win ; 1 loss ; net -100
- Alternate TM (v06, default patterns): 1 win ; 1 loss ; net +420

I spent a good part of the week analyzing further the 151 "lower-half", and managed to isolate two sub-patterns which are both (before any filtering) consistent over time, and statistically significant (despite their relatively low trade count). But I decided to defer adding them back into the system, essentially because 2014 being unfriendly to pattern 151 at large, I don't see any urgency in adding them back.

Have a great long week-end,
Dominique

 

[AdrianHagh81]

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Results for the week ending August 29th, 2014:
- Basic TM (v06, default patterns): 1 win ; 1 loss ; net -100
- Alternate TM (v06, default patterns): 1 win ; 1 loss ; net +420

I spent a good part of the week analyzing further the 151 "lower-half", and managed to isolate two sub-patterns which are both (before any filtering) consistent over time, and statistically significant (despite their relatively low trade count). But I decided to defer adding them back into the system, essentially because 2014 being unfriendly to pattern 151 at large, I don't see any urgency in adding them back.

Have a great long week-end,
Dominique

just a quick question dom, are you only using price patterns for your system or a variety of indicators ?

 

[dom993]

CL151/302/15xTR patterns are based on trends relationships & geometry, the underlying market-model foundation uses price+volume+time to identify the pivots used in the trend identification mechanism.

In addition, I use filters based on further trends characteristics, relationships & geometry, and ToD / DoW (Time-of-Day / Day-of-Week).

No "classic" indicator involved.

 

[dom993]

Forgot to mention, I have a webinar recording on the website / Systems page & a couple more on the NinjaTrader add-on partners YouTube channel where I get into a fair amount of details re. the market model & statistical analysis.

 

[dom993]

Results for the week ending September 5th, 2014:
- Basic TM (v06, default patterns): 2 (small) wins ; net +210
- Alternate TM (v06, default patterns): 1 win ; 1 loss ; net -200

 

[Brahmastra]

Hi Dom,

i didn`t read the whole thread,so sorry,if it`s been asked or said before.The question is about stops/targets.How far they are and what`s the reason if they are far?

 

[dom993]

There is quite a bit of info. on the website (dom993trading.com) ... CL151 v06 default settings use a 120-t stop for CT patterns, and 60-t stop for TR patterns. Those stop are "catastrophic" stops, as the system mostly uses dynamic exit-signals.

The Basic TradeManagement uses a 60-t target for CT patterns (again, rarely hit as the dynamic exit-signal usually triggers before that target).

I don't use targets for TR patterns & AlternateTM CT patterns (mostly dynamic exit-signals, plus a rarely used trailing stop).

The stops are far to let the dynamic exit-signals play-out as often as possible. But the system is profitable even with much smaller stops (I recommend 50-ticks as minimum), but lower performance metrics.