Futures market opening bracket trades

I have a pre-set package of orders stack that is always the same distance from the open, that is entries and covers. The only change I make is to grow the stack position size at the end of each week, based on that weeks profits for the next trade come Monday morning.

I keep everything as simple as possible and my stack and spacing is set from extensive backtesting - todays trade was done by 09:33 est. :)
 
Almost a year now - the most solid and simple trading I have found in years.


I am now backtesting a new triggering signal, not from charts as I do not use charts, that will give me the ability to hit 1 to 4 additional trade set-ups per day for just the ES. I have also completed backtesting for other markets/products that I will start trading with the same exact style of trade - just different spacing and orders stacks.
 
You've got a no-frills momentum approach. Glad it's working.
If you fill in both directions on a choppy open, you've locked in a loss. The fills are in separate accts, but result is the same. You attempt to trade out of that situation? Just curious. Thanks.
 
Would you mind explaining what you mean by "stacks"?

Also, do you use TS for backtesting or something else?

Sorry for peppering you with all these questions.

:)
 
Quote from groundhog:

You've got a no-frills momentum approach. Glad it's working.
If you fill in both directions on a choppy open, you've locked in a loss. The fills are in separate accts, but result is the same. You attempt to trade out of that situation? Just curious. Thanks.
More...


I have a whole separate set of entry additions and cover modifications once both accounts have had entries initiated. I also have a systematic scaling in and out of small positions as the market chops around waiting to finally trend one way or the other. Once the market trends, one side of the trade will get stopped out and the other will have a modified stack to get the entire trade to at least breakeven or better - this part of my system took a long time to develop and true out in backtesting.

The trade works extremely well with my very mechanical procedures that are built into my entry and exit order stacks. The order stacks are just my term for the entry & cover contract quantities, spacing, and ratio's. I have pre-set order stacks that are placed automatically by my user defined strategy for my trade platform, and these activate when I click on either the Bid or Ask just seconds prior to the market open. This makes everything so much easier so I do not have to scramble to set up all the bracket stacks as I am moments away from the open - just one click and everything self loads per my user defined strategy.
 
Quote from sandygray66:

Would you mind explaining what you mean by "stacks"?

Also, do you use TS for backtesting or something else?

Sorry for peppering you with all these questions.

:)
More...


No, I do not use TS for backtesting - I only use my trade platform and historical tick data for replaying any day at the open.

No peppering taken! :)
 
Todays trade was done by 09:49 est with just over 1% profit for the overall trade. I had part of the short account bracket fill first, but then we had price reversal and this account stopped out. My then modified bracket stack in the long account made my hit to cover the loss of the short account, and then an additional plus 1% profits. The design and method of my bracket order stacks work perfectly for an open with an initial weak move that is then reversed.
 
Ok, let's take a simple move off the open (no chop). ES starts moving and you're taking fills in one direction only.
When do you start cancelling the unfilled opposite side? Thanks.
 
I do not cancel any standing orders from the other side until the trade in the activated account has completed its final cover - this way I already have the hedge to the activated account standing by at all times if price has a drastic reversal.

Once the trade is completed and I have my 1% profits, I then go through and cancel all remaining standing orders and then verify they are cancelled.
 
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