Something very simplistic

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Chop chop.

Interesting – This mornings times were right on a reversal of some sort – be it small or large. Thus my direction decisions were often incorrect. Some of my signals were not clear at all, and a couple were a toss up and I just picked a direction. For the 10:59 trades, my indicator indicated short, but I went long since we had just come off the LOD on both NQ and ES. NQ proves yet again to be the more stable and consistent one with this system.

I’m thinking about changing the target on the NQ trades from 3.00 to 2.50 – I’ve notice a lot of 2.50 targets would have been hit a lot faster – and that is one of my main goals – to stay in the market for the shortest amount of time. I think I’ll give that a shot tomorrow.

For 9/18/2002:

ESZ2:

11 Total Trades
7 Winners
4 Losers
Avg. Winner +1.07 / Avg. Loser -1.25
Gross 2.50 points - $125.00/contract
Commission $52.80
Net $72.20/contract
Total Time in trades: 27min 00sec

NQZ2:

10 Total Trades
8 Winners
2 Losers
Avg. Winner +3.125 / Avg. Loser -2.50
Gross 20.00 points - $400.00/contract
Commission $52.80
Net $347.20/contract
Total Time in trades: 52min 30sec

ES Trades:

9:33 S 865.00 +1 (0:30)
9:35 S 863.00 -1.25 L 864.25 -1.25 (8:00)
9:38 S 862.75 -1.25 L 864.00 +1.25 (2:00)
9:43 S 863.00 -1.25 L 864.25 +1.25 (5:30)
9:51 L 865.50 +1 (0:30)
10:04 L 865.25 +1 (5:00)
10:25 S 866.75 +1 (1:30)
10:59 L 859.25 +1 (4:00)
11:54 (not taken)
13:23 (not taken)
15:47 (not taken)

NQ Trades

9:33 S 889.50 +3.00 (2:00)
9:35 S 887.00 -1.50 L 888.50 +3.50 (4:00)
9:38 L 888.50 +3 (1:00)
9:43 L 889.00 +3 (4:00)
9:51 L 895.00 -3.50 S 891.50 +3.50 (15:00)
10:04 S 889.50 +3.00 (8:00)
10:25 S 890.50 +3.00 (7:00)
10:59 L 882.00 +3.00 (11:30)
11:54 (not taken)
13:23 (not taken)
15:47 (not taken)
 
Originally posted by Quah


Some of my signals were not clear at all, and a couple were a toss up and I just picked a direction.
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Quah, have you thought about what your results would be if you picked the exact opposite direction to your signal?

I am willing to bet that your system is still profitable, because of the stop and reverse component. The signal is giving you a slight edge in accuracy I think.
 
Originally posted by ctrader


Quah, have you thought about what your results would be if you picked the exact opposite direction to your signal?

I am willing to bet that your system is still profitable, because of the stop and reverse component. The signal is giving you a slight edge in accuracy I think.
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I think it would still be profitable as you say - many times picking either direction would have been profitable - i.e. there is a 1 point swing in both directions before a 1.25 point swing in either direction. I'm not spending too much time trying to figure out which direction to go.

I was thinking this morning how things might work out if I always went the opposite way in the NQ.
 
Originally posted by Quah


I think it would still be profitable as you say - many times picking either direction would have been profitable - i.e. there is a 1 point swing in both directions before a 1.25 point swing in either direction. I'm not spending too much time trying to figure out which direction to go.

I was thinking this morning how things might work out if I always went the opposite way in the NQ.
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Although I think the point difference will make a difference to you win %, it should still average around 50% before commissions on the profit side as the number of additional winners will be offset by the larger individual losses.

I think your true edge lies in your use of your indicator to tell you what to do at that precise moment in time your system tells you to take the trade (via the fib times). As you said, you are not using the indicator in the traditional way but you are using it to tell you something at a specific time.

I have been papertrading an ES system today, based on your strategy and so far the results are good. I picked a random time of trading every 15 minutes, 1pt target, 1.25pt stop and reversing the losing trades. I am using my own indicator to give me a snapshot view of the most likely direction for the next couple of minutes. I am not using the indicator in the traditional sense (I don't even know what the traditional sense is) but I think, like you, it is showing me a direction for the next couple of minutes.

So far I have made 14 initial trades. 9 were winners, 5 losers. All 5 losers were reversed for b/e trades.

It's far too early to tell how this will work in the long run but it is definitely worth putting a lot more work into it.

:)
 
Originally posted by macal425

So far I have made 14 initial trades. 9 were winners, 5 losers. All 5 losers were reversed for b/e trades.
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Very nice.

I am also thinking about this - when/if I have some sense of confidence that the reversal trades will almost always result in a B/E trade (instead of 2 losses) - I'd consider just doubling the size on the reversal so that the trade would cause a B/E for the loser and and additional "winner".

Any thoughts on this? It certainly increases the risk. Then again, I've only had 2 reversal losers over the past week.
 
Originally posted by Quah


Very nice.

I am also thinking about this - when/if I have some sense of confidence that the reversal trades will almost always result in a B/E trade (instead of 2 losses) - I'd consider just doubling the size on the reversal so that the trade would cause a B/E for the loser and and additional "winner".

Any thoughts on this? It certainly increases the risk. Then again, I've only had 2 reversal losers over the past week.
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I would definitely consider that as long as I had the same kind of confidence. It's all a game of numbers, if the probability remains high after a long period of testing, then there's no reason not too. In fact, why not put on even more size if it has a strong probability of going your way.

PS. Update. 11 winners, 6 losers. (all 6 reversed for b/e)

Hmmm, reversal trade could be a whole system unto itself.
 
Originally posted by macal425


I would definitely consider that as long as I had the same kind of confidence. It's all a game of numbers, if the probability remains high after a long period of testing, then there's no reason not too. In fact, why not put on even more size if it has a strong probability of going your way.

PS. Update. 11 winners, 6 losers. (all 6 reversed for b/e)

Hmmm, reversal trade could be a whole system unto itself.
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Hmmm. Or a "synthetic reversal" system - i.e. If current price = a previous open (one or more minutes ago) +1.25 and that same open price never hit a -1 (for a short winner), then go long with a +1.25 target. The opposite to go short.

Hmmm.

(edited to say: I realize that didn't make a whole lot of sense - I hope you see what I'm saying)
 
say you enter a long trade. you get stopped out and reverse. now you're short. at this point if you got stopped out, would you reverse again? is there an end to the reversing? just curious..

thanks
 
Originally posted by Gordon Gekko
say you enter a long trade. you get stopped out and reverse. now you're short. at this point if you got stopped out, would you reverse again? is there an end to the reversing? just curious..

thanks
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Well, to continue to reverse for the same reason you originally reversed, that being to B/E, your then have to go for 2.50 on the second reversal, and 3.75 on the third - and so on. So, I think that it expceting a bit too much.

My thoughts at this time are only one reversal - either it works or it doesn't - if it doesn't, you just ate two losers instead of one. If it does, you just B/E. Of course, if you double your size on the reversal as we talked about above, you'd either end up eating three losers or end up with one winner.

Not sure what the best answer is. I suspect that just giving it one reversal - either the same size or more size, is the best answer.
 
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