Deciding when to take profits (I let most of my winners turn into losers)

[IronFist]

Quote from lindq:

Nice clock! And I've noticed how much IronFist appreciates the help. Typical.

Whoa :eek:

Anyway, like Big AAPL said, I've been away from my computer for most of the day.

I do appreciate the help a lot!

But of course I have questions based on the backtest that you posted.

The following are the results of a 6 month backtest on ES, specifically using your entry specs. Nothing has been added to the entry. I assumed 3 contracts short and long.

I have simply entered at a specific time of day, exited at the day close, and used a stop of .0065%. (I won't reveal the time of entry, because I use it in my own trading, as I do with a few other specific times for entry.)

1. What software are you using?

2. So you held the position until either a) the end of the day or b) your .0065% stop was hit? Was that a trailing stop?

The way I was working was to go long or short every time the line passed. It sounds like your backtest different in that you entered once per day and then either closed out and the end or stop lossed. So you had many fewer trades than I do.

3. Was your stop loss triggered if one tick reached the stop loss price, or only if the bar closed at or below that price?

4. Where did you come up with a stop loss of .0065%? Is that .0065% of price? (So if I enter YM long @ 12842, my stop loss would be .0065% away from that? I'm confused here because .0065% is really .000065, which is .83473 in this case... so round that to 1, and I'd have a stop loss of 1 tick on the YM? I think I have something wrong here).

Thanks.

 

[nkhoi]

Quote from lindq:

Nice clock! And I've noticed how much IronFist appreciates the help. Typical.

I kknow what he's thinking, 'darn, is looks like works'.

 

[lindq]

Quote from IronFist:

Whoa :eek:

Anyway, like Big AAPL said, I've been away from my computer for most of the day.

I do appreciate the help a lot!

But of course I have questions based on the backtest that you posted.



1. What software are you using?

2. So you held the position until either a) the end of the day or b) your .0065% stop was hit? Was that a trailing stop?

The way I was working was to go long or short every time the line passed. It sounds like your backtest different in that you entered once per day and then either closed out and the end or stop lossed. So you had many fewer trades than I do.

3. Was your stop loss triggered if one tick reached the stop loss price, or only if the bar closed at or below that price?

4. Where did you come up with a stop loss of .0065%? Is that .0065% of price? (So if I enter YM long @ 12842, my stop loss would be .0065% away from that? I'm confused here because .0065% is really .000065, which is .83473 in this case... so round that to 1, and I'd have a stop loss of 1 tick on the YM? I think I have something wrong here).

Thanks.

1. I backtest/trade with Investor RT

2. Stop was ENTRY*.9935. Each index may need a different amount of slack, depending on system, time of day, etc. Trailing stops suck. Set hard stops and profit targets (can be time, percentage or points), and let them ride.

I do one trade per day, per instrument, per system. There are plenty of profits in that without trying to squeeze pennies out of every move. Forget every MA cross. You'll get chopped to death. The backtest I showed you on your own entry specs was for one trade at a particular time of day that I like to enter. There may well be other times when it works as well. Up to you to find out. (THINK: What does it MEAN when price is above or below the MA? What is happening? Why might it be happening at a particular time of day? Everything has a reason. You don't need Jack Hersey or some stupid indicators feeding you a load of crap to figure it out.)

3. Do you own work to find out. You want me to come turn your computer on and push the buttons too? Between my post and the clock that nkhoi posted, you've just been saved about 3 years and 50 grand in tuition already.

4. Okay, so now I've got to make your coffee too? Do some work, and calculate what works for you. You've got the basics already down. Remember, it was YOUR entry specs that I used in the backtest. So continue working on that. Keep it as simple as you possibly can. (I use an entry that is somewhat similar to yours for a particular time of day. But mine is even simpler. And works very well. Can it get even simpler than price above an MA? Well, yes, it can.)

Good luck.

 

[IronFist]

Quote from lindq:

1. I backtest/trade with Investor RT

I'll have to look into that.

2. Stop was ENTRY*.9935. Each index may need a different amount of slack, depending on system, time of day, etc. Trailing stops suck. Set hard stops and profit targets (can be time, percentage or points), and let them ride.

Oh, that's different than .0065%

I will look into "trailing stops sucking" more. I'd be worried about being like one tick away from my profit and then the price going back down and hitting my stop.

I do one trade per day, per instrument, per system. There are plenty of profits in that without trying to squeeze pennies out of every move.

I came up with a similar system that was one trade per day for stocks. I backtested it using www.stockfetcher.com and it was profitable (even tho stockfetcher only lets you backtest for up to two years at a time and only using EOD data). It involved buying certain stocks when a certain price was reached and holding until the end of the day. However this system only works for stocks and I can't really apply it to futures.

3. Do you own work to find out. You want me to come turn your computer on and push the buttons too? Between my post and the clock that nkhoi posted, you've just been saved about 3 years and 50 grand in tuition already.

I appreciate all the replies so far in this thread

(I use an entry that is somewhat similar to yours for a particular time of day. But mine is even simpler. And works very well. Can it get even simpler than price above an MA? Well, yes, it can.)

Simpler than price above an MA? Price above/below yesterday's open/close? That's the simplest thing I can think of.

Good luck.

Thanks!

 

[Landis82]

Quote from IronFist:

What am I doing wrong?

I'm gonna feel like a huge idiot if I'm overlooking something obvious here. Oh wait, that list you posted is for IVR (Phone). Are these symbols available over the web?

I do not believe that Quotetracker receives quotes for Tick or Trin as of yet. They are awaiting a server update that will occur in the near future.

Contact Jerry Medved at QT:

support@quotetracker.com

 

[chewbacca]

ironfist

you are getting 30 signals a day - are u insane?

to filter out more chop use another filter (like a 15 ma in addition to the 60) - the go long above the 15+60 and short below both.

you will still get lots of small losses if you take every single trade and you will still see large profits shrink if you hold too long.......you will never be a good trend trader trading in a strictly mechanical way..........u have to use your experience and intuition to filter out more trades, and to get out before you get an exit/reverse signal.

 

[Goalgetter]

Quote from magicz:

I think you're using lagging indicators for your signals. this is not a good way to go when there is a lot of volatility. better when the underlying is trending.

Would be interesting to know what your indicators "on time" are?

Thanks magicz

GG

 

[blah12345678]

Maybe you need to take the derivative of the 60-bar EMA. This value will tell you if the MA is accelerating or decelerating.

Determine some value of X where trends start, then enter trades when the value exceeds X on the high side and -X on the low side.

That way, you jump on board when a trend starts moving instead of being chopped to death between X and -X.

If it works, you should be able to ride your winning trades much longer this way...

You'll need a new exit signal, however. Waiting to exit on the 60-bar EMA will still kill you.

Just an idea. You'll need to test it...

 

[savagemp5]

Quote from IronFist:

Ok this is driving me nuts.

I have a methodology that I've been working with on the YM and NQ. It produces large winners, especially in the first and last hours of trading each day, but then in between, or even sometimes during those "good" hours," I get chopped to hell and I end up negative for the day (OEC demo account).

The problem is I don't know when one of my signals is going to pan out and be a big winner, or when it's just BS.

Say in a given day I get 30 signals. Three might be winners (+$300 each) and 28 might be losers (-$30 each). So that's $600 - $840 = fail. I try to cut my losers early but even with my winners there's always some chop before they take off.

So my big winners are big (for me, trading 1 lot at a time), but sometimes they'll get to +$80 or +$150 or so and then reverse. I don't sell until I get my sell signal. Sometimes they pick back up and end up +$200 or +$300, but sometimes they go back down and my sell signal triggers around +$5 or $10. Then I get pissed at myself when at one point I was up $100 and I sold for $10 profit.

So does anyone have any cool algorithms for solving this problem?

...or for reducing the frequency of my losers? I've tried stop and reverse orders (so buy 1 contract, and then sell 2 (which puts me short 1), and then buy 2 (which puts me long 1), etc)., but then I end up getting a bunch of $+20 trades that turn into losers. If I had scalped all those $20 trades I'd be positive at the end of the day, but I'm always waiting for them to turn into that one huge trade so I hold it and it turns into a loss, I reverse it, +10 or 20, then it turns into a loser where I reverse again, +10 or so, then it turns into a loser, etc.

My first day on this demo I was +$800 on 3 trades at 1 contract each (two on YM and one on NQ) after the first two hours of trading. I thought "awesome, this is easy". And almost every day since then, employing the same methodology, I've ended up negative.

Here hang on, I will attach some charts of what I'm talking about.

I've been in ur shoes, few yrs back, i know this feeling. You basically hv an atuomated trading and its fun to watch the no. of trades + the open and close prices....

Heres 1 way, though i wont tell u how. Sit in front of your computer and watch ur trades, watch it for 3, 6 months. Everytime its in the green, think abt what u could do. When the PnL starts dropping what can u do. I hope i triggered some thoughts from u..

Eventually in my case i figured out 2-3 algos to "trap" and locked-in the profits, or to, lke u said, open new position. Same trade or a reverse, i leave it up to u. Think abt what u would do as a human, then think how it could be implemented.

Hint: Trial Stops. But there are at least 5-10 methods of trial stopping...

 

[jnbadger]

Quote from Goalgetter:

Would be interesting to know what your indicators "on time" are?

Thanks magicz

GG

Would be interesting to know what made you respond to a 5 year old thread. Conditions change. Rapidly.