Medium Frequency Trading (MFT)

Quote from GordonTheGekko:

Note: if your system is based solely on indexes, trade the leveraged ETFs instead, or VIX futures if it's very short term (intra day) - it will turn a 4:1 margin into 18 or more. For example, VIX on an intra day basis moves tick for tick with the S&P (see attached). So trade VIX instead of SPY
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That depends on what kind of liquidity he needs. The VIX follows the SPY closely but the lower the SPY gets the bigger the moves the VIX makes. When SPY recovers (bull market), the VIX gets pretty much the same, and then you're only loosing out on liquidity. For now though, most home-based traders are ok trading the VIX, so that's decent advice. I mean if volatility is required and liquidity is not a problem he may as well trade SPY options hehe (good luck with that).

Also the ES (S&P 500 futures at GLOBEX) can be traded 24/7 with an automated trading system if you leave it on, and it too follows the SPY tick for tick, and has volume which is often even better (in $ terms, not contract terms).

Another bit of advice:
The forex also runs 24/7 (well almost) and you can auto-trade it at the same time while trading equities. That's as long as you don't use margin. This is because most brokers see your buying power as unchanged during the day while you are converting back/forth between currencies. So you can make a system that trades forex with the same cash being used for trading equities/futures/index whatever. Just that forex should be traded about 2-5 times per 24 hours since it moves slower, but that's just imho, so you would need to adjust your system for those periods.
 
Thanks for all the replies.

The concept is a hybrid: I select the stocks manually, using a screener, and intend to let this robot enter and exit the positions while I work / play during the day. I was using stop - stop OTO with a discretionary profit taking exit, but it was not precise.

The concept has been working over the past year but the edge got dull during this sideways market, so it was time to move up to automation and hourly charts.

Here's one from earlier this week. I screen for a setup that has correlated with a move from an intermediate low to the opposite bollinger band. As you can see, this one acted as planned:
 

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Interesting approach. I am playing around with trend approaches in a similar timeframe. Can you elaborate on the charts? It is not as obvious to me as it was to the earlier poster. It appears the blue dots are sell signals, yellow are buy. When you have multiple open positions and then a reverse signal, it looks like you are then closing all opposing positions rather then reducing the number of positions? The strategy seems to be high risk if you have an extended move - that is exactly the type of risk mean reversion has that I am looking to avoid and offset with trend following.
 
The various double dots are just tradestation showme's (a visual on when a buy or sell signal would be generated). The strategy takes the first buy signal if it has no position, then sells on the first blue dot. It's nowhere near as sophisticated as it looks.

Since I haven't coded in my daily screen criteria or the various elliot wave and momentum characteristics I also check, it's not really a system, just a robot that fires the trades after the setup is there. But it's been beating the pants off the old way I did it, using daily bars and stop orders.

Trends within trends within trends....... ripples within waves within tides, just like how Charles Dow and RN Elliot postulated, generations ago.
 
I have a system that I trade that SEEMS similar to this. I have been trading it and had great success with it. I will give you one piece of advice that has worked for me and that is to match this system up with the weekly chart. Only trade those where the 60 min and weekly agree. This has helped me tremendously. See if it makes any difference for you.

Good Luck.
 
Quote from Wide Tailz:

We're thinking along the same lines.

;)
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Good,..even my stats with real trades are similar to yours.

Win Rate = 70%
Expectancy = 0.36R
Profit Factor = 3.12
Payoff Ratio = 1.34
Standard Deviation = 0.795
SQN = 2.90

Good Luck
 
Here it is with the buy / sell points based on one entry criteria and three exit criteria. You can see the wide tail case needs optimization (taking profits in the bollinger band is the right thing to do 90% of the time):
 

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