Scalpers Progress
- Thread starter DblArrow
- Start date
Hey guys...been reading this thread for a bit, and I decided to jump in and play around a bit. A few things:
First, here's my take on today. I didn't follow the system closely enough, as it's my first day trading ES, so I just picked a few setups I liked (which is not generally wise) ... 4 trades, 2 winners (+0.50), 2 losers (-1.00) so I ended up down 1 point today. But hey, it's my first day.
Here are my results (see attachment for the chart). I'd love it if someone can point out (DblArrow?) any mistakes I made in the setups, aside from the obvious mistake of making excuses and not following the strategy!:
Long1 (didn't trade) - Just watching. More about this setup later, as it's the most significant problem for the strategy that I've seen.
Long2 (didn't trade) - Still watching. Would have been stopped out two bars later.
Short1 (-$1.00) - in at 914, stopped out at 915 on the next bar.
Short2 (didn't trade) - sell trigger didn't happen until 5 bars after the first BBand touch, so I thought it was stale. In retrospect, I was just shaken from losing after my first trade, so I decided to watch and see.
Short3 (didn't trade) - still watching, would have been a winner.
Long4 (didn't trade) - still watching, would have been a winner.
Short4 (+$0.50) - finally got in, set too low a profit target though.
Long 5 (didn't trade) - fast move, and during lunchtime, so i figured i'd missed it. good choice.
Short 5 (+$0.50) - got in again, again a low profit target.
Long 6 (didn't trade) - was out to lunch..
And for the afternoon,
Short 6 (didn't trade) - still out to lunch
Short 7 (-$1.00) - back from lunch, saw the setup, taken out w/ stoploss. Decided to stop here, and just watch for the rest of the day.
So basically, a lesson I learned today is not to second-guess the signals. Then again, the reason I second guessed them so much has to do with the the next post...
Any comments on my reading of the signals today?
First, here's my take on today. I didn't follow the system closely enough, as it's my first day trading ES, so I just picked a few setups I liked (which is not generally wise) ... 4 trades, 2 winners (+0.50), 2 losers (-1.00) so I ended up down 1 point today. But hey, it's my first day.
Here are my results (see attachment for the chart). I'd love it if someone can point out (DblArrow?) any mistakes I made in the setups, aside from the obvious mistake of making excuses and not following the strategy!:
Long1 (didn't trade) - Just watching. More about this setup later, as it's the most significant problem for the strategy that I've seen.
Long2 (didn't trade) - Still watching. Would have been stopped out two bars later.
Short1 (-$1.00) - in at 914, stopped out at 915 on the next bar.
Short2 (didn't trade) - sell trigger didn't happen until 5 bars after the first BBand touch, so I thought it was stale. In retrospect, I was just shaken from losing after my first trade, so I decided to watch and see.
Short3 (didn't trade) - still watching, would have been a winner.
Long4 (didn't trade) - still watching, would have been a winner.
Short4 (+$0.50) - finally got in, set too low a profit target though.
Long 5 (didn't trade) - fast move, and during lunchtime, so i figured i'd missed it. good choice.
Short 5 (+$0.50) - got in again, again a low profit target.
Long 6 (didn't trade) - was out to lunch..
And for the afternoon,
Short 6 (didn't trade) - still out to lunch
Short 7 (-$1.00) - back from lunch, saw the setup, taken out w/ stoploss. Decided to stop here, and just watch for the rest of the day.
So basically, a lesson I learned today is not to second-guess the signals. Then again, the reason I second guessed them so much has to do with the the next post...
Any comments on my reading of the signals today?
Part 2 --
So yesterday, I spent a good amount of time coding up the rules of the system in Wealth-Lab and backtesting over the past 2 months of 1-minute data. I didn't include any sort of trend-following or divergence rules -- just purely the stochastic+bband penetration+price reversal, with a few extra twists (mostly time-outs due to lingering signals with the wrong price movements).
On the whole, I was disappointed, and found the system to be around 50/50 win-loss. At best, with some tweaking of time (restricting to only morning and afternoon, etc) and other small variables, I got it to show a 60/40 win-loss, but with even profit-targets/stops and commissions, that still ended up losing money.
What's going on? There are a few things I see, and few I don't, so any suggestion/advice would be appreciated. First off, there's a lag that comes with an automated system that I think, in the case of scalping, is enough to make a difference. Since a signal isn't generated until a bar closes, there can be up to a 1-minute delay in the trade being made, which as we all know is plenty of time for the move to be over.
It might make more sense to have something that says "if a bar looks like a signal after 15 seconds, execute. Of course, it could always turn the other way, and this isn't even possible in wealth lab, but it's a thought.
Second off, and this is much more important as someone pointed out above, this system is leaving a lot of money on the table. Generally, I found the most of the price movements were significantly more than 1 point, and by setting a profit target equal to the stoploss, lots of good signals were getting stopped out too soon.
The question (and this is always the question, it seems) is how to set appropriate stop/profit levels. One thing I tried that worked very well on upside was to set a dynamic profit target to 1/2 the Bollinger Bandwidth at each each bar. This worked surprisingly well in getting most of the profit out of the swings (over the past month, the winning trades captured 280 points of upside). Of course, setting the stoploss value is where the problems lie -- setting a fixed 1-point made the losers biggers than the winner, as did setting a stoploss equal to 1/2 the BBandwidth on the downside.
So it would tremendously help this system to figure out a good dynamic stoploss method that keeps the losses less than the gains. Any suggestions?
The other place for improvement lies in the win-loss ratio. If we could cut out the number of losers (i.e. identify situations when the system isn't working), keeping a fixed stoploss would be profitable. The death of this system comes during periods like we saw from 9:30 - 10:00 this morning -- sharp trends puntuated by little (but not enough) blips, so maybe something to identify when the market is behaving like this and just not trade? I tried ADX, but by the time ADX gets extreme (over 50, say) the damage has already been done.
So the key is really figuring out where this system breaks down, identifying those times, and waiting until things become more favorable.
Does anyone have any thoughts/suggestions/comments/flames?
--noah
So yesterday, I spent a good amount of time coding up the rules of the system in Wealth-Lab and backtesting over the past 2 months of 1-minute data. I didn't include any sort of trend-following or divergence rules -- just purely the stochastic+bband penetration+price reversal, with a few extra twists (mostly time-outs due to lingering signals with the wrong price movements).
On the whole, I was disappointed, and found the system to be around 50/50 win-loss. At best, with some tweaking of time (restricting to only morning and afternoon, etc) and other small variables, I got it to show a 60/40 win-loss, but with even profit-targets/stops and commissions, that still ended up losing money.
What's going on? There are a few things I see, and few I don't, so any suggestion/advice would be appreciated. First off, there's a lag that comes with an automated system that I think, in the case of scalping, is enough to make a difference. Since a signal isn't generated until a bar closes, there can be up to a 1-minute delay in the trade being made, which as we all know is plenty of time for the move to be over.
It might make more sense to have something that says "if a bar looks like a signal after 15 seconds, execute. Of course, it could always turn the other way, and this isn't even possible in wealth lab, but it's a thought.
Second off, and this is much more important as someone pointed out above, this system is leaving a lot of money on the table. Generally, I found the most of the price movements were significantly more than 1 point, and by setting a profit target equal to the stoploss, lots of good signals were getting stopped out too soon.
The question (and this is always the question, it seems) is how to set appropriate stop/profit levels. One thing I tried that worked very well on upside was to set a dynamic profit target to 1/2 the Bollinger Bandwidth at each each bar. This worked surprisingly well in getting most of the profit out of the swings (over the past month, the winning trades captured 280 points of upside). Of course, setting the stoploss value is where the problems lie -- setting a fixed 1-point made the losers biggers than the winner, as did setting a stoploss equal to 1/2 the BBandwidth on the downside.
So it would tremendously help this system to figure out a good dynamic stoploss method that keeps the losses less than the gains. Any suggestions?
The other place for improvement lies in the win-loss ratio. If we could cut out the number of losers (i.e. identify situations when the system isn't working), keeping a fixed stoploss would be profitable. The death of this system comes during periods like we saw from 9:30 - 10:00 this morning -- sharp trends puntuated by little (but not enough) blips, so maybe something to identify when the market is behaving like this and just not trade? I tried ADX, but by the time ADX gets extreme (over 50, say) the damage has already been done.
So the key is really figuring out where this system breaks down, identifying those times, and waiting until things become more favorable.
Does anyone have any thoughts/suggestions/comments/flames?
--noah
I am scalping - More than 50% (never really measured it) it is counter trend - get some and get out.
Sounds like you have a winner.
I took mostly counter trend trades (excluding the first and last; I beleive) and still came out with a 63% win rate. If we could identify what isn't working and fix it we would never lose money, no?
Is this not the key to every system?
I developed this system for ME; and knowing myself as I do - this is what I need - I NEED a high percentage of winners. That means if I need to trade 8 times and only make 11 dollars so be it. This setup has a high percentage of winners thus far and after losing as I have in the past.....
Make 'em pretty, Chris