Hello folks,
I will post my live "once a day trade" and methodology for all to watch. Being a statistical type of system, that trades from the open, you will be able to see my trade in advance.
I trade the ES from the open of the US RTH session (8:30 cst) and attempt to enter on the first tick of the open (timing a "market order" entry to hit on the 8:30:00 cst print). Sometimes I am off by as much as 4 seconds, but usually it still works.
I do not trade this system, when the day before is an abbreviated session or Holiday. I never trade this system on Mondays.
Hard stop is 5.50 pts or a time stop of 15 min from the open, which ever happens first.
Target is 1 point/per contract
or if this below is greater
Open(day before)+High(day before)+Low(day before)/3-todays Open/7.7....use absolute values and always round down. I use a spreadsheet to calculate this after the open, but it must be quickly done. The initial entry will always use the 1 point and if you have time, you can adjust it higher according to your results from this calculation.
(hint: the night before I just enter in values in tomorrows open to see what it would need to be to cause a change in the hard target of 1 point, to alert me to a gap in the morning that will require attention and a change in target after entry)
Now, you say Electric where the H*** did you come up with this...LOL, I can say nothing, except it was an accident during a late night.....it just works. But it can stop working too.
Now you might say....Electric, you are risking 5.50 points to make 1 point or maybe at the most 2 points.....YES, I say and watch me destroy my account here live in ET. I will not tell you the backtested results instead I will just post in advance ok? (hint:high winrate due to small target, also self calibrating due to range and gap.
Backtesters I can also tell you this did not work with data more than 12 months old. Also to backtest this, you will need to use tick data requiring a huge history file. The only one that I know who has this sort of computing power might be Nitro, or there is a mac program named "Behold" that might be useful.
Ok onward with the methodology.....
We use the RTH session only(8:30cst- 15:15cst)so if you can set the candlestick bars in your charting program to reflect this it will help you understand. We do not use the standard session candlestick bars officially reported and recorded(13:30cst-13:15 cst following day)
So, after a full day of RTH trading, we will trade the next open of the following RTH day in the opposite direction. Let me explain...If you have a red candle today...go long at tomorrows open....a green candle go short. Here is another explanation....C1>O1(RTH) = short entry on Open today and vice versa. I heard a trader call this the Contra-Open. I call it overlap.
Thats it.....This is an execution intensive methodology entering with a market order and quickly entering in the 1 point target limit order and adjusting it using the advanced calculations above ...and one might benefit to use a front-end or a platform that utilizes bracket trading entries with one click. I use a waterfall/ladder type of trading platform and find it possible to execute this strategy manually.
Some say that 1 point a day per contract is enough....just use more contracts. At the open you can even use more than 25 contracts and get filled. Being that the winrate is very high a bet-sizing money management system such as Kelly or FRM can be utilized. I use both but I modify them only to play with my winnings and not include my bankroll.
I trade several markets, and this is just one of the systems I wrote for the ES. I work full-time and will try to answer your questions during the trade day when possible, but mostly will attend to this journal after hours. The 2 formats I will use for reporting will be as follows(one for night before and one for after the trade:
Pre trade report:
line 1= direction
Post Trade report:
line 1= direction
line 2= target amt
line 3= this trade win points or loss points
line 4= cumulative points
line 5= winrate
For you higher probability traders who do not want to trade daily you can fade this system in the rare event of the 5.50 stop and enter a reversal trade with a 1.75 hard stop and a 1 point target. I will not report this.
I will start the formal reporting on Tuesday 12/30/03
Any questions?
Michael B.
I will post my live "once a day trade" and methodology for all to watch. Being a statistical type of system, that trades from the open, you will be able to see my trade in advance.
I trade the ES from the open of the US RTH session (8:30 cst) and attempt to enter on the first tick of the open (timing a "market order" entry to hit on the 8:30:00 cst print). Sometimes I am off by as much as 4 seconds, but usually it still works.
I do not trade this system, when the day before is an abbreviated session or Holiday. I never trade this system on Mondays.
Hard stop is 5.50 pts or a time stop of 15 min from the open, which ever happens first.
Target is 1 point/per contract
or if this below is greater
Open(day before)+High(day before)+Low(day before)/3-todays Open/7.7....use absolute values and always round down. I use a spreadsheet to calculate this after the open, but it must be quickly done. The initial entry will always use the 1 point and if you have time, you can adjust it higher according to your results from this calculation.
(hint: the night before I just enter in values in tomorrows open to see what it would need to be to cause a change in the hard target of 1 point, to alert me to a gap in the morning that will require attention and a change in target after entry)
Now, you say Electric where the H*** did you come up with this...LOL, I can say nothing, except it was an accident during a late night.....it just works. But it can stop working too.
Now you might say....Electric, you are risking 5.50 points to make 1 point or maybe at the most 2 points.....YES, I say and watch me destroy my account here live in ET. I will not tell you the backtested results instead I will just post in advance ok? (hint:high winrate due to small target, also self calibrating due to range and gap.
Backtesters I can also tell you this did not work with data more than 12 months old. Also to backtest this, you will need to use tick data requiring a huge history file. The only one that I know who has this sort of computing power might be Nitro, or there is a mac program named "Behold" that might be useful.
Ok onward with the methodology.....
We use the RTH session only(8:30cst- 15:15cst)so if you can set the candlestick bars in your charting program to reflect this it will help you understand. We do not use the standard session candlestick bars officially reported and recorded(13:30cst-13:15 cst following day)
So, after a full day of RTH trading, we will trade the next open of the following RTH day in the opposite direction. Let me explain...If you have a red candle today...go long at tomorrows open....a green candle go short. Here is another explanation....C1>O1(RTH) = short entry on Open today and vice versa. I heard a trader call this the Contra-Open. I call it overlap.
Thats it.....This is an execution intensive methodology entering with a market order and quickly entering in the 1 point target limit order and adjusting it using the advanced calculations above ...and one might benefit to use a front-end or a platform that utilizes bracket trading entries with one click. I use a waterfall/ladder type of trading platform and find it possible to execute this strategy manually.
Some say that 1 point a day per contract is enough....just use more contracts. At the open you can even use more than 25 contracts and get filled. Being that the winrate is very high a bet-sizing money management system such as Kelly or FRM can be utilized. I use both but I modify them only to play with my winnings and not include my bankroll.
I trade several markets, and this is just one of the systems I wrote for the ES. I work full-time and will try to answer your questions during the trade day when possible, but mostly will attend to this journal after hours. The 2 formats I will use for reporting will be as follows(one for night before and one for after the trade:
Pre trade report:
line 1= direction
Post Trade report:
line 1= direction
line 2= target amt
line 3= this trade win points or loss points
line 4= cumulative points
line 5= winrate
For you higher probability traders who do not want to trade daily you can fade this system in the rare event of the 5.50 stop and enter a reversal trade with a 1.75 hard stop and a 1 point target. I will not report this.
I will start the formal reporting on Tuesday 12/30/03
Any questions?
Michael B.
