ES Journal Archive (2006 - 2008)

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Macd signal prior open on 15 Min worked relativly good in March06 contract and not at all in Dec05 contract and weak-medium in Sept05 contract, stop has to be ~ 7 points for best profit, found on the fly no better exit than profittarget ~ same as stop and exit via MACD-signal after 1500 or MOC.
Any earlier exittime was not good...
Dec05 was not better with any stop and targetsize. By changing stops and targets the overall picture stays the same for the 3 months.

Nonetheless here are the 3 contracts with 3 point stop, 6 point target and MACD exit after 1500 or MOC, entry at 0945 when MACD signal prior open.
from top to bottom
march06
Dec05
Sept05
 

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Quote from mechtrader41:

Macd signal prior open on 15 Min worked relativly good in March06 contract and not at all in Dec05 contract and weak-medium in Sept05 contract, stop has to be ~ 7 points for best profit, found on the fly no better exit than profittarget ~ same as stop and exit via MACD-signal after 1500 or MOC.
Any earlier exittime was not good...
Dec05 was not better with any stop and targetsize. By changing stops and targets the overall picture stays the same for the 3 months.

Nonetheless here are the 3 contracts with 3 point stop, 6 point target and MACD exit after 1500 or MOC, entry at 0945 when MACD signal prior open.
from top to bottom
march06
Dec05
Sept05
More...

Michael, you are a star! Unfortunately, it doesn't look great and we need great. Thanks again my friend.
 
If you have TradeStation try this which has worked very well for me in the ES. Select the OHLC of the previous day as a chart indicator.

I often find that when one line is broken in one direction strongly, it will run to the next line. Let's you establish price targets for exit. Also when the ES moves strongly towards a line and touches it for the first time it bounces back at least 75% of the time- used that for quick scalps many times. Honestly it seems to do it almost every time but once in a while it runs past it. This is a good confirmation of a continuation of the trend as well.

Put the OHLC lines on in Tradestation and look back using 1-minute charts.
 
Quote from optioncoach:

If you have TradeStation try this which has worked very well for me in the ES. Select the OHLC of the previous day as a chart indicator.

I often find that when one line is broken in one direction strongly, it will run to the next line. Let's you establish price targets for exit. Also when the ES moves strongly towards a line and touches it for the first time it bounces back at least 75% of the time- used that for quick scalps many times. Honestly it seems to do it almost every time but once in a while it runs past it. This is a good confirmation of a continuation of the trend as well.

Put the OHLC lines on in Tradestation and look back using 1-minute charts or 5 or 10.
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I agree, they have been good to me as another reference point in regards to potential profit targets.
 
Just to add to my above, they are not indicators to use by themselves. I have a few indicators and MAs but the OHLC lines help me in confirmations or profit targets and playing quick pullbacks. Add a little depth to entry and exists :)
 
Centerline @0.1, very tricky to code, just a crossover ~ centerline is more often than you would thought a matter of whipsawing, a simple crossover is always a whipsaw thing, to reduce this there are some rules necessary like consecutive bars on the other side or minimum distance, means later (too late...) fills, exits are also very tricky...this is a peace of work for weeks...
a very raw test with only crossovers @ centerline did also best in March06 and worse in Dec05 and before...

Some whipsaw charts....just crossovers lower +- 0.1 around centerline
 

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...but interesting again, by scrolling through the charts the last weeks, the MACD Signals look often quite good to the eye...Mr Market was very friendly to the users of indicators the last months, completely different the months at end of 2005. To be honest, I would be quite surprised seeing this not happen. In earlier years I did countless Daytrading-Systems with indicators and was temporarily amazed from the equity of the tested 2-3 months, this nice steady climbing equity was nearly always a steady falling one by testing over larger sample. This systems did not work at all before or at very different parameters. This seems to be some kind of law in daytrading, on daily, weekly it`s more stable. The experienced eye may see the subtil differences in the curves or know what kind of markets to avoid using it, but the concrete rules of a written system does not work out. On the other hand it shows the weakness of simple ideas and the need of a bunch of complex subrules around the main one. If a trader says he is trading this or that indicator with success, he is a liar or he has some dozen of subrules how and when to use it, and he may not able to describe all to anybody else, or even know that he use it by himself.....
 
Quote from mechtrader41:

...but interesting again, by scrolling through the charts the last weeks, the MACD Signals look often quite good to the eye...Mr Market was very friendly to the users of indicators the last months, completely different the months at end of 2005. To be honest, I would be quite surprised seeing this not happen. In earlier years I did countless Daytrading-Systems with indicators and was temporarily amazed from the equity of the tested 2-3 months, this nice steady climbing equity was nearly always a steady falling one by testing over larger sample. This systems did not work at all before or at very different parameters. This seems to be some kind of law in daytrading, on daily, weekly it`s more stable. The experienced eye may see the subtil differences in the curves or know what kind of markets to avoid using it, but the concrete rules of a written system does not work out. On the other hand it shows the weakness of simple ideas and the need of a bunch of complex subrules around the main one. If a trader says he is trading this or that indicator with success, he is a liar or he has some dozen of subrules how and when to use it, and he may not able to describe all to anybody else, or even know that he use it by himself.....
More...

Yes Michael, you are right there on all counts IMO. Adaptation is the key factor in daytrading and it's source is in price action, which indeed is random over a longer period of time, that's why mechanical based trading and especially automated is at disadvantage, again IMO. I can not see automation applied successfully to daytrading strategies, perhaps it does average out well when applied to various instruments and a very well capitalised entity. Very basic thoughts there, but I am a strong believer in manual approach, sticking to 1 or 2 instruments and main accent in decision making is still price action for me (supply/demand). Like George has said prior, on the way to finding the ultimate system one is obstructed by our intellect, which is not open to finding solutions that originate from very simple formulas, look at the widely used products in our households, most are very simple in principle, though how many years it took a human mind to invent them? I also believe that the same principle can and IS applied in the markets by certain individuals, that after years of researching complex strategies found the answer in much simpler analyses, but how not obvious are they to most of us?
 
Spike and George, could you maybe comment on what are the main time frames that your systems analyse or do they track multiple? Thank you.
 
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