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working system, needs improvement
- Thread starter traderkay
- Start date
I took a quick look at what you're doing. It's looks like you're trying to capture a momentum trade. Try something simple like only initiate trades after 10am and before noon. If you need more trades, take a look at adding another window between 130 and 3pm. All times are Eastern. Also, make sure you're out of all trades by the close. I don't think you want to hold any of these positions overnite.
The 10am start was selected to give your system a chance to get a couple of bars for today. I don't think you want to take trades based on what happened between 330 and 4 yesterday.
The best time for doing one way trading is the morning because the range is being established.
Here's some data showing how much of the days range has been done by 30 min. block. Notice, if you skip any trades in the first hour, you'll normally miss 50% of the days trading range. Your system doesn't look like something you want to mess with during retracements.
The 10am start was selected to give your system a chance to get a couple of bars for today. I don't think you want to take trades based on what happened between 330 and 4 yesterday.
The best time for doing one way trading is the morning because the range is being established.
Here's some data showing how much of the days range has been done by 30 min. block. Notice, if you skip any trades in the first hour, you'll normally miss 50% of the days trading range. Your system doesn't look like something you want to mess with during retracements.
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I belive the system sucks on 15 min also that is why I am trying to help you.Quote from traderkay:
Walther, the system sucks on 5min.
You have to use better filter then 200 ma and change stops.
reason why 3x 15 min break out will not work well has to do with a size of an intraday cycles. It is not simple but you can achieve about 80% signal accuracy for a daytrading.
Nothing as simple as 15 min system will ever work alone. you have to put at least 3-4 filters , including limited times when you enter as suggested by acrary.
Walter
It doesn't matter whether you use 15 or 5 min your set up is always going to "bridge" the trades on the ES.
There are some decisions you can make and some the markets make. For example, the market settles down after the open as it wishes. You can observe this daily. The two active periods vary also as does the period in between them.
For some reason you are not taking into account how the pace of the market varies either.
There are some decisions you can make and some the markets make. For example, the market settles down after the open as it wishes. You can observe this daily. The two active periods vary also as does the period in between them.
For some reason you are not taking into account how the pace of the market varies either.
Aside from using two time periods 10-12 or 130 - 300, take a look at the range of the second bar. I found that if the open-close range of the second bar was greater than 65% of the high-low range, then it was more likely to be a winner. Also, I noticed the system can take on great risk. Since you know the risk before the trade, it might be a good idea to only initiate when risk is under 20 points. Lastly, I noticed with the changes made, the system performed much better taking only short trades.
Here's the system results using two time periods, avoiding trades when risk is greater than 20 pts., and only initiating when the middle bar was 65% or greater of it's high-low range.
Here's the system results using two time periods, avoiding trades when risk is greater than 20 pts., and only initiating when the middle bar was 65% or greater of it's high-low range.
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I see, Walther. Any suggestions for filters, that are better than 200MA (except time filters)? Do you think it's possible to achieve 80% without going into rocket science like cycle analysis, DSP, etc.?
Quote from Walther:
I belive the system sucks on 15 min also that is why I am trying to help you.
You have to use better filter then 200 ma and change stops.
reason why 3x 15 min break out will not work well has to do with a size of an intraday cycles. It is not simple but you can achieve about 80% signal accuracy for a daytrading.
Nothing as simple as 15 min system will ever work alone. you have to put at least 3-4 filters , including limited times when you enter as suggested by acrary.
Walter
what is bridging?
Quote from jack hershey:
It doesn't matter whether you use 15 or 5 min your set up is always going to "bridge" the trades on the ES.
There are some decisions you can make and some the markets make. For example, the market settles down after the open as it wishes. You can observe this daily. The two active periods vary also as does the period in between them.
For some reason you are not taking into account how the pace of the market varies either.
Quote from traderkay:
I see, Walther. Any suggestions for filters, that are better than 200MA (except time filters)? Do you think it's possible to achieve 80% without going into rocket science like cycle analysis, DSP, etc.?
Absolutely. Can you do your own testing or someone else is doing it for you ?
Walter