Using a trading system to daytrade

Hi, I saw one of your messages in another thread describing
your Kirshenbaum indicator. Can I ask you where you saw it
described ? i.e. in a book, paper etc?

Regards,

Splat


jboydston
Member

Registered: Aug 2000
Posts: 43


02-02-02 04:19 PM

I don't use a system to actually place my trades, however I do use OMNITRADER to automate the process of collecting buy/sell signals that I set. I feel it is a waste of my time to stare at the charts all day when I can glance over, only when something is "happening."

An no, the signals don't always work. I have found that the signals work best only when they are "confirmed" by my brain. For example: TA doesn't take into account FED MEETINGS, NEWS and the like. I only place trades:

1.) Based on simultaneous TA signals
2.) With the trend
3.) Absent of major news or economic events

Here is an overview of my strategy:

I scalp the mini-ES 4-8 time a day, 2-4 contracts each. My goal is 2 ticks. $200-800 per day gross

I use the following charts:
5-Minute candle chart for TREND (up or down)
1-Minute candles for buy/sell signal (with the trend)
Tick chart for the trigger.

These are the basic 4 indicators I use:
RSI peaks
DMI Crossover
Commodity channel
Kirshenbaums

I chart with QCHARTS and use IB as a broker.
Hope this helps.
 
I use OMNITRADER to automate the process of looking for setups. For those who aren't aware of how OMNITRADER works: you give it a list of signals that you are looking for (or select from a pre-defined list of signals) and OT will scan you list of securities for each setup.

When OT gives a signal, you can click on the signal and it will tell you about the signal and it's possible significance in the market. I learned a lot about TA from this program. You can read it in books, but seeing the signals being generated live is priceless.
 
@SPLAT: I have just one question: Do you trend to trade by putting a limit on the book or by takin' or hitting with marketable orders ?
 
saschabr:
I am not trading currently. I have not daytraded before.
My intention is to daytrade in the near future but I am
setting up my system and intend to do pure data analysis
initially, build a system and then start trading.

Regards,

Splat
 
SPLAT: i am in a situation very common to yours (building a system) but I find it is difficult to plan such a thing on a short time basis (as you said: 2 points in ES, maybe 4 in NQ on a 3-10 min time basis) without really trading it. (being filled after joining the bid / ask is a major concern, on ES the 0.5 pts slippage per RT is 25% of your planned capital fluctiation)
 
saschabr:

I was also anticipating that that filling was going to be the
main problem for me.

However I am planning to do this in stages. viz:

1) Analyse stocks to build my system and define entry/exit rules.

2) Look/research some brokers to analyse the fill level possibly using limits/stops.

3) Start trading but do some relatively small trades
using a semi automatic system.

4) When I am confident then I will start auto-trading.

Regards,

Splat
 
saschabr: I am not planning to build a full app. Only as much
that will do some full analysis/optimization using matlab. At this
stage I dont have a datafeed yet but I have asked you a few
setup questions in the thread 'Realtime data analysis using SDK'.

This is my first choice. However If I cant get a proper setup using
a decent datafeed then I will use Tradestation 200oi and hook into matlab to do the analysis.

Regards,

Splat
 
I contribute this (unoptimized) code in the hopes others will post information so we can all benefit.

Here is the logic for a system I have been playing with:

135 Min bars of SP (full or emini) Day session
135 min bars of advancing issues NY

If:
the close and low of the second bar of the day is greater than the close and low of the first bar of the day
and
the Rate of change(close, length 6) > rate of change (close,6)[1]
then buy

If:

the close and high of the second bar of the day is less than the close and high of the first bar of the day
and
the Rate of change(close, length 6) < rate of change (close,6)[1]
then sell

MOC exit, 2 point stop loss from entry

The easy language is here:

---------------------start-------------------------

input: day_start(0930), stop_loss(500);

{135 min bars (3 bars per day), roc length=6, stop loss = 500}

vars: roc_length(6), time_check(0), stoploss(0);

time_check=(MinutesToTime(TimeToMinutes(day_start)+270));

if time =time_check then begin;

if c[1]<=c and h[1]<=h and roc(close[1] data2,roc_length) < roc(close data2,roc_length) then buy;

if c[1]>=c and l[1]>=l and roc(close[1] data2,roc_length) > roc(close data2,roc_length) then sell;

end;


{money management stop}

If (stop_loss>0) Then
SetStopPosition
Else
SetStopContract;

SetStopLoss(stop_loss);

{MOC order}

SetExitOnClose;

------------------------------------end-------------------------------

I don't claim to be an easy language expert, but the code above seems to work.

DO NOT TRADE THIS SYSTEM. FOR ILLUSTRATIVE PURPOSES ONLY!

Comments? :cool:
 
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