YM in a Can

net SHORT from 10137 (1/2 long reversal bracket at 10179) new complete brackets at close today, unless we get a reversal :)

Some say this system is overtrading and should not participate 24 hrs. Well the system got $395.00 because of that earlier trade, I really do not know if overtrading is an issue, perhaps this is short sighted. Please note one can use the h1,h2,L1,L2 bands at night...I am watching and will report later on this, but will not make any changes yet. Any comments?

Michael B.

P.S. Don't you folks think the trading community needs an active 24 hr system? or is this "not ready for prime time" yet?
 
In review of last weeks trades I would like to comment about this last week of trading.

You can verify the trading hours here at the CBOT site:

http://www.cbot.com/cbot/pub/page/1,3181,932,00.html

I have noted a few things to consider, here is the recap:
  • Levels are trading bands not exact numbers
  • Night session trading can use H1,H2,L1,L2 levels to trade between.
  • Settlement prices to be used for now
  • Speakers at full volume can be hazardous to your health if your married.
  • Trailing down/up on 1/2 bracket breakout trades must be tested. There are many trailing techniques, but the YM is tricky.
  • With trading "HOPE" and "WE" are banned words. Also Electric does not make shite, but wifey does.
Overall, the system seemed fair this last week and remember it is very easy to trade more than 1 contract on the YM. There was a FOMC day last week and this system seemed to do well during that day. I would be curious on ALL the results from the past FOMC days and how this system would fair in the last 3 years? Can anybody help? Perhaps those "wide swinging FOMC days" is what this system is looking for. If so, a strategy could be used to double down on anticipated "wild" days or times discovered from history.

If the FOMC results were removed there would be 6 trades and only 16 YM points/$80.00 which would barely cover slippage and commish. But with the FOMC day there would be 11 trades and 141 YM points/$705.00. Indeed, next week will be interesting.

I have shared a lot here in this forum and now its time for the backtesters to pay up. If they do not, I simply will end this journal and forward test privately. I am not doing this for fame. I am trying to develop my own accountability and to discover new ideas. I said this from day one in the opening post of this Journal. I have had some helpful PM's and plan on tweaking this system soon. I just do not want to make many changes quickly. So folks I/WE can do this together or we can stop now, your choice. I thank those of you taking the time to read this and those of you that have contributed publicly and privately.

Now we can "curve-fit", "optimize" and "backtest", but I do not want to tweak too tight. I notice that in forward testing that tight tweaks fail and it is best to "trade loose". Cale Yaroburough used to race NASCAR and he set his cars up loose.

Michael B. (trade loose baby!)

P.S. I am looking for a different type of Money Management strategy than Kelly or FRM. I want it tied to the volatility/character of price action and I have some articles and formula's on it. But before giving away the store I would like to hear from others. By implementing Money Managment with my ideas (not trade management) even if this backtests out as a safe break-even, low-end type of system(what I want) I can still show an incredible result with low draw-down(what I want). If done correctly I can prove that the trader does not need to risk an equal amount to make a like high amount.
 
Is volatility cyclical? Would the Vix show this? How? If the Vix were used, would high volatility readings be used to double position size in the YM or low volatility readings?

Would there be another way to apply money mangement to this Journal? I want to make this the next tweak and will not need to wait to include it in next weeks trading.

Michael B.
 
Perhaps there is a lagging indicator that can be used on daily bars to indicate a bias on the system trades.

Something that would indicate a tendancy for long or short trend probability. I would perfer long time frames so that the levels have a chance to earn their money.

For example when stochastics is above the 50 line double down on any long levels. This is just a simplistic example. So don't take it seriously.

It's Friday night and not many people here, hopefully I will get some response over the weekend.

Michael B.
 
Have you considered adding any sort of trailing stop to your open positions instead of shooting for exact profit targets (like today's example of being within 2 tick of your pt, very frustrating)

In a case like this you would essentially be risk all of your profits and some loss as well for a measly ten dollars. I think you may be right about using 1-3 for getting out of positions, but a trailing stop , even a very big one is something to consider here.

Looks like you may be on to something here, I am considering coding this stuff up (wouldn't be to hard) but I am quite busy right now with school, so this will likely have to wait. In about two weeks you have returned nearly 20% (assuming a capital allocation of 5000 per contract) pretty impressive.
 
Yes, I have definitely thought of using a trailing stop (over and over on each trade lol). The YM trades much differently than the ES and the mini-trends between this systems levels are huge, making it hard to trail or at least establish a breakeven stop.

I am studying MAE to develop a strategy. I think I want to scale the trailing stops based on probability discovered through MAE analysis (maximum adverse excursion). I need more data or a backtester who can develop sublevels of the probability of the reversal level being reached. Since I do not have charts (crazy isn't it?) I cannot do much. I am simply using the free version of Futuresourse on the Web which is actually real time for the YM. So until I get more sophisticated, I will not need charts.

Keep in mind this is not my system. Perhaps my use of the equation on the YM may not be mainstream. Also the 24 hour use of it may not be by the book. With some combined effort from ET it will become unique.

But I honestly need some help as I am not smart enough to come up with stuff myself. It would take me years to stumble onto something that would work with this equation. I know the results are impressive and don't fix what works, but this is only temporary. I am curious what happens next week.

Just now, I am wishing I had a trailing stop because YM dropped so hard in the afternoon today. I am afraid the system will trigger a reversal early Monday morning leaving all this profit on the table (currently 57 YM points). Actually, I would just like a hard rule to exit Friday's at MOC. Then start fresh Sunday evening (too much can happen over the weekend and there can be an unexpected gap). I think many traders exit on Fridays.

I need money management too, based on a dynamic indication of bias through technical analysis. These two items are on the top of the list (trailing stop and MM).

There is no way to altar the formula as it will still only work some of the time no matter how it is optimized, so I think that might be a big waste of time to screw with it. However I will change it slightly to make it my own, even though it is already unique(different way to get the same numbers as cam) but mirrors the cam equation.

The more experienced traders need to please be patient and endure the simplicity that some of you may be experiencing. This journal is meant to discover, teach and grow. I hope this is helping some and I hope it is advanced enough for the more experienced.

So many have been surprisingly kind and encouraging. It is a joy to post this journal. (remind me of this comment when the system is losing).

Michael B.


Quote from kserra:

Have you considered adding any sort of trailing stop to your open positions instead of shooting for exact profit targets (like today's example of being within 2 tick of your pt, very frustrating)

In a case like this you would essentially be risk all of your profits and some loss as well for a measly ten dollars. I think you may be right about using 1-3 for getting out of positions, but a trailing stop , even a very big one is something to consider here.

Looks like you may be on to something here, I am considering coding this stuff up (wouldn't be to hard) but I am quite busy right now with school, so this will likely have to wait. In about two weeks you have returned nearly 20% (assuming a capital allocation of 5000 per contract) pretty impressive.
More...
 
Quote from ElectricSavant:

Yes, I have definitely thought of using a trailing stop (over and over on each trade lol).
More...


While studying your this great thread, I'm just curious to learn how the two goals:
A. Trading 24-hour always-in-the-market, and
B. Having trailing stops,
could be co-exited in the same system. :confused:
 
Well there are still the levels. So I guess instead of stop and reverse there would be a gap of flat between the levels.

But after thinking about this, I can see your point. The levels are points of reversal so we would be re-entering in the same direction after going flat. It would be hard to trail that second entry if it was a failed signal and would be redundant anyway's.

Perhaps partial exits would be used, as many traders trade more than one YM contract. So there would always be a minimum of one contract in the trade to the end....Now give me a smiley face odd!

Michael B.

P.S. See this is exactly the kind of input I need. I told you I am not that smart.

P.S.S. lol, but to auto-trade the method in the last paragraph would be tricky...



Quote from OddTrader:

While studying your this great thread, I'm just curious to learn how the two goals:
A. Trading 24-hour always-in-the-market, and
B. Having trailing stops,
could be co-exited in the same system. :confused:
More...
 
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