Something very simplistic

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I think your system sounds great. I would love to trade in a way that removed all subjectivity from the entry and exit decisions. The short amount of time in the trade is also great because one of the challenges of trading is simply staying in front of the PC for so long.

Would you be willing to say exactly what you are looking for in your stochastic signals? Reading the stochastic well plus the fact that the market tends to wiggle by a point or two all the time may lie at the heart of the success of the system.

I look forward to seeing your posts.
 
Quah,

Ok, I had some fun with you, but I thought I would verify your trades, as they sounded suspisciously good. Well, after going back over today's chart, I came up with 9 wins and 2 losses, using a momentum indicator for direction, although I have my doubts you would have been filled on one of the wins. I just took the losses and didn't reverse. Still, not bad.

I have two thoughts about this. One, the time progression happens to put you in the market at some very advantageous times, plus largely keeps you on the sidelines during the slop time. My other thought however is that this system will get chopped up over time. Commissions will be a big factor, since you will never have any big winners. Your average win will net $45 and your average loss will cost $67, using IB rates. If you have 7 winners out of 10 trades, you make $114 per contract, so your average trade is $11.40. 8 out of 10 would bump it up to $20 per average trade. That is probably a tradeable number, but you have to wonder if you can be on the right side 70-80% of the time using such a tight stop. I will continue to watch this with interest.
 
Originally posted by AAAintheBeltway
Quah,

Ok, I had some fun with you, but I thought I would verify your trades, as they sounded suspisciously good. Well, after going back over today's chart, I came up with 9 wins and 2 losses, using a momentum indicator for direction, although I have my doubts you would have been filled on one of the wins. I just took the losses and didn't reverse. Still, not bad.
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Today was so slow I often wondered if I'd ever get filled on a few orders. The 10:25 long @ 895.50 was a real pain - there was a ton of size @ 96.25 and even more @ 96.50. I get my limit orders enters ASAP to try and make sure I get a decent place in line and a decent chance at a fill should it not trade through.

I understand what you are saying about not having any big winners. My thinking here is you accomplish the same thing by spending more time limiting my losses. Maybe too much "thinking outside the box" - but I tend to operate better in that mode.
 
"Every trade, no matter your system, technically has a 50/50 chance of being a winner (if you don't include B/E). IMO, it's okay to have an average loss that is higher that the average profit as long as your ratio of winners to losers allows it."

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Your system for trade entry is as good as any other strictly short term intra-day system I have heard of so far, no criticism there. Victor Sperandeo said he used to daytrade the full size s&p's "by the clock", but I'm not sure if his system was the same or not.

But, your limit for your wins is less than your limit for your losses. For that to work as you say, you will need a lot of winners. But then you also say that you are looking for a 50/50 win loss ratio. The math on your money management doesn't come out positive if you assume a 50/50 probability. You could fix that just by flipping your numbers. If you said limit for wins is +1.25 and limit for losses is -1.00, the math looks a lot better. Or +.75 and -.50, whatever you like.
 
Originally posted by dotslashfuture
But, your limit for your wins is less than your limit for your losses. For that to work as you say, you will need a lot of winners. But then you also say that you are looking for a 50/50 win loss ratio.
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I don't think I ever said I was looking for a 50/50 win/loss ratio. You might have picked that up in the tangential discussion with Aphie about a trade having a 50/50 chance of winning.

I'm not looking for any specific win/loss ratio. However, I am looking for a profitable system - so I'm going to need more winner than losers for sure.
 
this thread has me excited. Not so much about the potential for making more points/day, but for the simple premise behind your system.

I believe you are onto a winner. A noise trader. On any given timeframe it isn't difficult to end up +1 for es. I believe most traders encounter problems in deciding whether a specific entry point is the one that will make them >2-3 fold on their risk (which really should be the case- find low risk high reward areas), where to exit and controlling their risk. The negative corollary being, hesitation, hoping, and blown stops. Your system on the other hand would be an ideal secondary system because it dispenses with all of that. You aren't taking on a directional view to make a >3R gain, you already know what is more likely to happen over a micro scale, given your indicator, and tight stop (if it gets filled), the relative bounciness of es makes it easier to get your 1 pt (plus IB would certainly be the place to do this). I also don't think you could apply it to other markets with a larger and unstable spread, like YM or currencies, where directional plays are the order of the day.

I can't program so the idea of autotrading a few system rules really intrigues me. I wouldn't use this as my primary system either (have rules but not computerized), but it definitely has potential for subsequent development, system #3 perhaps.

AAA or Quah, would it be possible to get a copy of the code sans your indicator value? Did you code a program that auto executes a signal or are you prompted to manually enter an order by a separate program.
 
spectre - Thanks for your comments. I agree, this type of system would probably be useless on anything other the ES and NQ. I haven't looked at the treasuries though - that might be interesting.

Right now, I an not "auto" trading this with any program - just doing it by hand. But I am planning to automate it should it prove successful.
 
I could automate that to trade live in about an hour.

I'll keep a watch on this thread :p
peace

axeman




Originally posted by Quah
spectre - Thanks for your comments. I agree, this type of system would probably be useless on anything other the ES and NQ. I haven't looked at the treasuries though - that might be interesting.

Right now, I an not "auto" trading this with any program - just doing it by hand. But I am planning to automate it should it prove successful.
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this is from another thread by oldtrader... i'm not sure if he was implying quah's trading tactic, but he commented on something i think is in the ball park. any comments?

"But understand this too. The market moves a couple or three days in a direction...give or take. If you're scalping you're going to miss the big money. Scalping as a steady diet is a tough business....sounds good but tough to put into practice.

Let's say you do as some say....you go for 1 point. Do you realize that the ES moves a point when a leaf drops? It moves a point when the guy plugs the Globex in. You trade 2 contracts, go for 1.5 points with one...move the stop to breakeven on the 2nd one? Most of the time that second one will get stopped out for sure....so you got all the risk, and no reward.

If you're trading small money then it's something for you to think about. But sooner or later you learn the big money is made by waiting for the right trade...the one that has the potential for a big move....and then riding that position for all it's worth. You'll make more than a scalper ever thought of making.

And take the stochastics off your machine....tough to sit with a position while you're watching something like that.

OldTrader"
 
I still don't get it -- why limit yourself in taking only certain fib time entries when you are still basing entries on "any indicator you want"? You would only use an indicator that gives you a percieved edge, so why disallow that edge arbitrarily? If this timing system improves one's trading results (by limiting trading entries), doesn't that say more about your indicator/trading abilities than anything else?

Also sounds like this method concentrates your trades during the opening minutes when volatility is greatest -- does that +1 target/-1.25 stop really give the chosen indicator a chance to work outside of pure noise?

Is it me, or doesn't logic kind of have to figure into any system? For example, if you backtested and found out that on every even numbered day if wheat was up, copper down, and pork bellies gapped either up or down, that the ES has a 70% of closing higher -- would you use that signal for future trading?

(ps -- whatever works man, can't argue with the bottom line, just wondering if the fib-timed entries are more a "sales pitch" and the substance of it somewhere in the "whatever indicator" part. I'm sure Paul Tudor Jones could still make money if he was only allowed to trade during those time periods, but that doesn't mean the time periods give an added edge :D)
 
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