Quote from olero:
40yotrader,
Great work.
From what I gather your system is a breakout system:
1. Trades the ES
2. Yesterdays range is below the previous days range.
3. If #2 is true, take the lowest of the previous five days range divide by two. This is the trigger point to go long above the open (reverse for a short).
3. If triggered into the trade the opposite trigger becomes the stop.
4. If the trade reaches 80% trail with a parabolic.
5. If the trade is a winner the position size remains unchanged
6. If the trade is a loser increase the position size by a percentage until the previous equity is reached.
You have added two more nuances having to do with volatility.
1). I added volatility sizing along with mmgt so that as the market volatility dropped I increased size.
2). I put in a volatility cutoff so that when the average daily range dropped below 7 pts. I skipped taking trades for that day.
I assume you are using the ATR to measure volatility. If you are using the 5 day ATR, it hasnât drop below 7 pts in along time. Or you may mean the daily range dropped below 7 pts not the ATR. Or it could mean drop 7 pts below the previous ATR high. Could you clarify this?
Is the above correct or have I left something out?
This looks similar to Toby Crabels breakout method. Also Mark Fishers ACD method except without the adjusted position sizing.
Sorry I didn't respond to your pm. Tampa PM'd me into the original thread and warned me most people were following to try and copy my system. I'm still paranoid about giving away too much info on it. You've culled out some of the criteria that I use. Here's the selection criteria for taking trades the next day using daily data:
If rg = 1 then trade tomorrow.
if doji(25) and range < range[1] then rg = 1;
if doji(20) and range = lowest(range,7) then rg = 1;
if doji(20) and (high < high[1] and low > low[1]) then rg = 1;
if range = lowest(range,4) and (high < high[1] and low > low[1]) then rg=1;
if (avgTruerange(2) = lowest(avgtruerange(2),20)) then rg = 1;
Also, if oday is not = 1 and a doji[15] exists, then trade tomorrow.
if high > high[1] and low < low[1] then ODAY = 1;
There's some additional next day criteria for only taking one way trades but I don't plan on giving it away. Also, there is plenty of other "stuff" on the moving envelope that I didn't post and don't plan on doing so that is mainly aimed at avoiding rangebound trading days.
I don't use ATR for volatility. I use the average range (high - low), since it's a daytrading system. ATR would add in the range outside the day session.
I hope you find some of this useful, but don't plan on me giving the system away in it's complete form while I'm trading it.
43yotrader
