You will of course have to organize the data. How you have organized it so far will either accelerate the process or slow it down. But if your organization is somewhat loose, thinking about the questions you want to answer -- which is after all the reason for the data-gathering in the first place -- may help you with that organization. And if and when you move on to REVs and BOs, that structure will already be in place.
Price Action - NQ II
- Thread starter lajax
- Start date
Ok Db thanks, here is some info, look the excel file this is how the data is organized
Results
All the backtesting was done with one contract
Days: 28
Trades: 99
The starting balance was 5k, however this is of no importance because what I wanted to point out is the P/L in ticks.
P/L Daily
February
March
Here is the link for download the excel file
http://cdn3.traderslaboratory.com/f...-off-topic-posts-bitacora-ob-6-bktst-eng.xlsx
This report is organized in two parts, the first one is generated with objective data, which are the numbers that are gathered in the excel file; in the second part, there are observations that were not quantified in numbers but are important to highlight given its occurrence during the backtesting process.
PART ONE
1. Which should be the distance in Pts from the entry point until the Stop Loss?
Regarding to the data collected, the 80% of the trades had a distance from the entry until the Stop Loss of 3 points OR less. In the same way, great part of the trades, exactly the 60%, had a distance of 2, 5 points OR less.
I think this information is relevant because it gives a sense of how should be the size of the RET (1m bar interval) in terms of distance (pts) from the triggered until the location of the Stop Loss; therefore, it is useful to reinforce the idea of “what to look for”.
Anyway here is the table that shows the percentage of trades in relation with the location of the SL (I hope is self-explanatory)
2. Which is the relation between the distance of the SL and the profits?
The 89% of the profits were done in trades with a SL of 3,25 OR less.
Below are the table and a chart that indicates relation between the SL and the profits.
3. Which are the trades that have more profit, in relation with the entry time after the open?
The trades that have more profits were those in which the entry time was during the first 10 minutes after the open. This reinforces the importance to see the price action during the first minutes because probably the tone of the day could be defined in this period of time.
4. Which is the average time after the price touches the SL or a possible discard is defined?
Taking into account the Losers trades and low profits such as 1 and 2 ticks, the trades were stopped out or discarded, the 92% of the times at the first 6m OR less after the entry was triggered.
I think this information is valuable because it helps to be aware that during the first minutes, after the trade is triggered, the attention must be on the PA in order to define if the price is doing what is expected to do in certain context.
Also helps to acknowledge that sometimes, specifically the 30% of all the backtesting process, the trades were closed at the first 3 minutes, hence this is the kind of information that helps to characterize the trading plan.
The table below, shows the relation between the trades and the time when they were closed.
PART TWO
1. Is relevant to highlight the importance of the levels of the PDH, PDL, ONH, ONL and the most immediate range limits, because USUALLY good trades are found around this zones, however the “tell” must be given by the PA.
2. Sometimes after the BO of a TR the price tend to create a preliminary support in which one get caught in a bad trade; however, the price still remains in the condition that was forecast previous to the trade, therefore a reentry strategy should be design. Here are some examples of this.
Here is a scribble that explains this situation and could serve as a basis in order to plan the reentry strategy
These are the preliminary results ---- waiting for the green light in order to move forward
PART ONE
1. Which should be the distance in Pts from the entry point until the Stop Loss?
Regarding to the data collected, the 80% of the trades had a distance from the entry until the Stop Loss of 3 points OR less. In the same way, great part of the trades, exactly the 60%, had a distance of 2, 5 points OR less.
I think this information is relevant because it gives a sense of how should be the size of the RET (1m bar interval) in terms of distance (pts) from the triggered until the location of the Stop Loss; therefore, it is useful to reinforce the idea of “what to look for”.
Anyway here is the table that shows the percentage of trades in relation with the location of the SL (I hope is self-explanatory)
2. Which is the relation between the distance of the SL and the profits?
The 89% of the profits were done in trades with a SL of 3,25 OR less.
Below are the table and a chart that indicates relation between the SL and the profits.
3. Which are the trades that have more profit, in relation with the entry time after the open?
The trades that have more profits were those in which the entry time was during the first 10 minutes after the open. This reinforces the importance to see the price action during the first minutes because probably the tone of the day could be defined in this period of time.
4. Which is the average time after the price touches the SL or a possible discard is defined?
Taking into account the Losers trades and low profits such as 1 and 2 ticks, the trades were stopped out or discarded, the 92% of the times at the first 6m OR less after the entry was triggered.
I think this information is valuable because it helps to be aware that during the first minutes, after the trade is triggered, the attention must be on the PA in order to define if the price is doing what is expected to do in certain context.
Also helps to acknowledge that sometimes, specifically the 30% of all the backtesting process, the trades were closed at the first 3 minutes, hence this is the kind of information that helps to characterize the trading plan.
The table below, shows the relation between the trades and the time when they were closed.
PART TWO
1. Is relevant to highlight the importance of the levels of the PDH, PDL, ONH, ONL and the most immediate range limits, because USUALLY good trades are found around this zones, however the “tell” must be given by the PA.
2. Sometimes after the BO of a TR the price tend to create a preliminary support in which one get caught in a bad trade; however, the price still remains in the condition that was forecast previous to the trade, therefore a reentry strategy should be design. Here are some examples of this.
Here is a scribble that explains this situation and could serve as a basis in order to plan the reentry strategy
These are the preliminary results ---- waiting for the green light in order to move forward
First, very impressed. If only all beginning traders or struggling traders trying something new would travel this road. Your findings, for the most part, are consistent with my experience, but it was important that you do this yourself, for yourself. For me to tell you A, B, and/or C would make zero impression. The results of the work you do yourself will be there for immediate recall when it becomes necessary to implement them. You won't have to ask yourself "what was it he said?"
Second, I'm not real clear on what you're trying to tell me in Part One, #4. Could you elaborate in words rather than a table?
Third, Part Two, it's interesting that you came to this conclusion, because it enables you to show hope the door. Being not only willing but able to re-enter is crucial. If you can do this, you can exit a trade that according to your criteria isn't working into a trade that isn't working yet, thus giving yourself permission to re-enter the trade rather than sit there like a post watching your losses mount. And quite often you can re-enter at a better price than what you got in the initial trade.
One caution, as I said in the pdf: make every effort to allow price to make at least one swing point. If price is sailing away from you without pause, don't assume that the first swing is a signal to panic. It's perfectly normal for price to do this. What is far more important is the what then? Are buyers going to rush in and propel price higher? If so, you want to continue to be a part of it. But if they aren't, there's no reason for you to hang around. The first swing point also gives you a benchmark and possible exit level when price does begin to turn but has not reached an extreme. Further, it gives you something to hang a DL or SL on rather than cram it against the bottoms of bars. One possible combination of the 1m and 5m is to use the 1m to find and enter a retracement and the 5m to prevent yourself from exiting off trivial recoils. If you were to use the 5m to find retracements, you might end up nearly at the opposite extreme before anything prints. But that's a matter for application and can wait.
I look forward to your summaries and conclusions. There are a couple of points I'd like to make about stops, but they can wait.
Second, I'm not real clear on what you're trying to tell me in Part One, #4. Could you elaborate in words rather than a table?
Third, Part Two, it's interesting that you came to this conclusion, because it enables you to show hope the door. Being not only willing but able to re-enter is crucial. If you can do this, you can exit a trade that according to your criteria isn't working into a trade that isn't working yet, thus giving yourself permission to re-enter the trade rather than sit there like a post watching your losses mount. And quite often you can re-enter at a better price than what you got in the initial trade.
One caution, as I said in the pdf: make every effort to allow price to make at least one swing point. If price is sailing away from you without pause, don't assume that the first swing is a signal to panic. It's perfectly normal for price to do this. What is far more important is the what then? Are buyers going to rush in and propel price higher? If so, you want to continue to be a part of it. But if they aren't, there's no reason for you to hang around. The first swing point also gives you a benchmark and possible exit level when price does begin to turn but has not reached an extreme. Further, it gives you something to hang a DL or SL on rather than cram it against the bottoms of bars. One possible combination of the 1m and 5m is to use the 1m to find and enter a retracement and the 5m to prevent yourself from exiting off trivial recoils. If you were to use the 5m to find retracements, you might end up nearly at the opposite extreme before anything prints. But that's a matter for application and can wait.
I look forward to your summaries and conclusions. There are a couple of points I'd like to make about stops, but they can wait.
Should never have seen the light of day as only those with SLA Clearance, i.e. those who've done the work, typically have access to this information. But as those who haven't done the work will not know what to do with it anyway, I'll let it slide
Absolutely the best trades will be offered in the first ten minutes. When I see someone say they are sitting out the first 10 or 15 or 30 minutes, I have to wonder what the point is, unless you just have no clue. My best entries are typically those I make the first 30 seconds after the open, though I also have most of my losses and almost all my "stop and reverse" trades within a few seconds after that lol.
Also, my own stats through today is that my average losing trade (all losses & BE scratches and any profit 3 ticks or less) is 7 minutes (very close to your 6 minute/loss). My average profitable trade, start to finish (I do not separate out scale outs - this is from "all in" until the very last of the position is covered) is 105 minutes on average.
Absolutely. Maybe some of those who have wondered WTF is meant by "the work" can get a clue from lajax's work.
And finally, DbPhoenix, may we fellow scribblers adopt your avatar, even if just temporarily?