ES Journal Archive (2006 - 2008)

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Quote from mechtrader41:



...By checking what`s happening after a widerangebar i found something easy...As i mentioned, a break of openrange/HOD/LOD can be a directional or an antidirectional signal. After a widerangebar it is a good idea to fade a Breakout of the first hour`s range/high/low....with this simple rule regardless of other information a crude system in the YM did ~80% win with ~ 75$/avgtrade. Here an example with 2 lots exiting 1 lot ~ mid of openrange, remaining lot with trailingstop/breakevenstop/MOC.
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Buying pullbacks/breakouts is a pretty well known practise, is it not? Though you are referring to fading action after the wide range bar. I have seen a lot of ES charts and IMO fading action after a WRB is not a good idea. Also, I have to add that my research is based on specific criteria for a WRB.

Mind you, maybe I did not understand you the right way, it's not 100% clear from your post.

Here are some questions -

1. how would you determine an entry point when fading the WRB?

2. What minimum range WRB has to cover to work in your suggestion?

3. Where would be your stops?

4. Could you show us an example using ES perhaps?

Thanks,

Romik
 
A widerangebar is defined beeing larger as 1.3 the average daily range of the last 5 days. The Entrypoint in this crude system is simply at limit at the new low/high if lower/higher than 5 (YM) points of the firsthour high/low. Only taking entries before lunchhour, means only the next 90 min. after firsthour. Stop is a 4 ATR trailingstop, breakeven + after 3 ATR profit. so no fixed points, i never use fixed points stop, makes no sense in changing volatilityenvironment. The only added rule is the firsthourrange must have a minumum size, means there is movement, otherwise you can get caught in a flat market. The larger the firsthourrange the better the risk/reward(and rare trades). I don`t mind about ES, but of the more reversal and less trend character of the ES it should work even better in the ES. I don`t try nomore to make me a picture anymore with looking on charts, there are some issues with figuring out what`s working, the human see what he wants to see, and some stuff can be different/not working for weeks, but in the long run it`s right, so i always try to test the idea.
The point is, there is often an immediate reversal, if waiting for any indicator you get no good enough fill, on other occassions you go under water to some degree, so a very tight stop should not work, better idea would be to add another lot not far from your stop.

On the chart 3 examples where it does not work too good, but profitable in all 3 cases.....
 

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Quote from mechtrader41:

A widerangebar is defined beeing larger as 1.3 the average daily range of the last 5 days. The Entrypoint in this crude system is simply at limit at the new low/high if lower/higher than 5 (YM) points of the firsthour high/low. Only taking entries before lunchhour, means only the next 90 min. after firsthour. Stop is a 4 ATR trailingstop, breakeven + after 3 ATR profit. so no fixed points, i never use fixed points stop, makes no sense in changing volatilityenvironment. The only added rule is the firsthourrange must have a minumum size, means there is movement, otherwise you can get caught in a flat market. The larger the firsthourrange the better the risk/reward(and rare trades). I don`t mind about ES, but of the more reversal and less trend character of the ES it should work even better in the ES. I don`t try nomore to make me a picture anymore with looking on charts, there are some issues with figuring out what`s working, the human see what he wants to see, and some stuff can be different/not working for weeks, but in the long run it`s right, so i always try to test the idea.
The point is, there is often an immediate reversal, if waiting for any indicator you get no good enough fill, on other occassions you go under water to some degree, so a very tight stop should not work, better idea would be to add another lot not far from your stop.

On the chart 3 examples where it does not work too good, but profitable in all 3 cases.....
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I still do not concur my friend, observing your chart, it is obvious, to me, that continuing in the set direction by the WRB offers more potential than fading it. Price action will oscillate and perhaps on ES you can squeeze a point or so by fading WRBs (if you get in at the right time). But in my experience doing so would put you in front of the train more often than not.

1.3 the range of the average daily for last 5 days? That would be one huge WRB, very rare on 3,5,10,12,15,20 min charts.

Are you referring to fading WRB on a 60 min chart? In that case...I don't know.

Just for the record - I only use Market Orders.
 
Widerangebar is of course meant on daily...yesterdays daily bar has to be greater than the average daily range(5), this is a bad condition to play openrange Breakoutsystems, trading OR BO after a daily widerange bar is resulting in a steady declining equitycurve, so vice versa it`s just logical that fading a firsthour BO should be profitabel. And again, don`t look on 1 or 2 or 3 Chartexamples, this does not mean to much, may be just random behavior what you observe, you have to go through 1-2 years to get a clear picture....

everybody can give you chartexamples where any given method is working excellent or not working at all, that`s the way all this blaffers on websites are working....

here an example, where it works fine...
 

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Quote from mechtrader41:

Widerangebar is of course meant on daily...yesterdays daily bar has to be greater than the average daily range(5), this is a bad condition to play openrange Breakoutsystems, trading OR BO after a daily widerange bar is resulting in a steady declining equitycurve, so vice versa it`s just logical that fading a firsthour BO should be profitabel. And again, don`t look on 1 or 2 or 3 Chartexamples, this does not mean to much, may be just random behavior what you observe, you have to go through 1-2 years to get a clear picture....

everybody can give you chartexamples where any given method is working excellent or not working at all, that`s the way all this blaffers on websites are working....

here an example, where it works fine...
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Now I understand. An assumption of you using shorter time frames resulted in the uncertainty in your suggestion. I will definitely look into that, thank you.
 
and this is just a crude system, it simply takes any break of the firsthour`s range to fade, regardless of the overall direction/trend or the direction of yesterdays daily bar, so may be there is more to develop by looking on more conditions....
 
i am inclined to believe the wrb system is no more than counter trend trading..except when u happen to trade off the apex unawares....the stops will disappoint u enough to cause fear of pulling the trigger eventually........the more you "know" about the market, the deeper the hole becomes.........about the 10 pt stops on YM.......excuse YM it is weekend please mr. b1b2.......but here we encounter the same problem as ES NQ, etc...........IMHO..........about the RSi realtive strength index.........oscillator no better than bollinger, macd, stoch, %r ......they all lock up/down on strong run and strong trend day.......but they are nice on normal days......nice ranging up an ddown........they simple go from top to bottom vice versa.....

10 pt ym stops are bigger than necessary.......indicators are not always lagging..........buying dips and selling rallies is what almost all the pro's do.......why wouldn't they...........lowest risk highest reward position you can find..........if you have proven by backtesting a few hundred times the same simple picture..........when the price pulls back, or rallies, or retraces, and comes up/down to your little scorned indicator line...........and even touches it...........at that moment, is it lagging, is your line lagging? please don't answer no..........

and as far as market orders, daytrading market orders emini markets, is a mystery to me, but my system runs about 90% plus each day.........so why do i want to miss an entry signal waiting for that perfect entry when it is there 2 pts below xyz, etc when 90% chance it is profitable entry........? when price is reached.........i dont'care about price, i care about signal.........i don't play off bars, candles and th os e type patterns...........

when the fear is addressed, you will improve your trading......it is all about fear of losing, fear of being wrong, avoiding pain felt when losses occurred or when you were demo trading something that you dreame d was so great and it blew up in your face........well, guess what? they all can blow up in your face....when we all get to the point that we feel the same emotions when winning AND losing......with a system that has the edge............risk reward is 1 to 3 my opinion........we will do okay enough to grow into a lot better than just okay..........buy mark douglas book and he will stand you on your head .........he did me..........in the zone or the disciplined trader.......i am only telling you this for you not for me...........
 
Come on, you are facing a lot of probs looking for a pullback, pullbacks are made in one ore in 2 cycles, sometimes even 3, so if you take your first signal you often out with a small stop, next any indicator definitely lags and MUST lag, otherwise you have no confirmation....if you enable intrabar or update every Tick you are 10 seconds seeing a hook in your indi, the other 20 seconds no hook and again a hook, so you have to wait till end of bar to get a signal and that means especially using longer timeframes 5-10 min. you are far to late with your entry.....if you want faster signals you have to use faster indis(or shorter timeframes) with more false signals, also not working...The 1 to 3 risk/reward is a myth, a theoreticum taken out of books, you know your risk/reward after the fact not before...

Let`s take a nice chart here, looks like an uptrend, higher low, over MA, you look for a pullback, the CCI ist just example, doesn`t matter too much if using Stoch or others...

you got a hook at end of bar at 11138, already up 11 points from low of pullback, but looks good for further uptrend or?
 
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