YM in a Can

What happens when you change time in trades ? In other words how would profit/ loss be if you only trade 9.30 to 5 est. I have found for example although there are good moves afterhours if I don't sit and manually manage positions , when I wake up next day or don't pay attention , I could be under the water considerably. I even find waiting until say 9.45am before entering ensures a larger profit. But easier said than done.
 
The backtests did not prove more profitability by trading RTH. You always have reversal brackets around the trade, even when sleeping! (if you on a half/bracket that just means you do not have a reversal target, but this system never goes without a reversal stop)

At the time the trade is entered is when the brackets are entered, there is no discretion! This removes the "pulling the trigger" or the "scared to take a trade" issue. Just enter the trade and go to sleep with the volume up full blast on the speakers (unless the wire is on your toe :)). If you go to work, just have your platform turned on and when you hear on audible alert, cancel and re-enter your new bracket.

The only time the system goes flat is on Friday's CLOSE.


Michael B.


Quote from taodr:

What happens when you change time in trades ? In other words how would profit/ loss be if you only trade 9.30 to 5 est. I have found for example although there are good moves afterhours if I don't sit and manually manage positions , when I wake up next day or don't pay attention , I could be under the water considerably. I even find waiting until say 9.45am before entering ensures a larger profit. But easier said than done.
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I glance at the platform from time-to-time throughout the day, and notice the price hangin' out near the reversal long at 9991. Apparently, it has gone up as as close as 9979, so far.

Michael B.
 
New brackets force a reversal to LONG at open.

YM closed at 16:00cst at a settlement price of 9957. When placing that price in its position on the new equation template attached you will notice that it falls in between the long at L3 of 9937 and the short at h3 of 9977.

So the system will become NET LONG after switching at the OPEN.

Trade #43 will post after the open as I do not know what the open price will be. Since I am listing the trades hypothetically I will use the open price for the entry, to stay consistent. When evaluating this for real trading remember to include 2 or 3 YM points slippage plus commish on each side.

Michael B.
 

Attachments

While logging these trades, I got an idea.

Why not trade each level including H1, H2 and L1, L2? plus add new levels to each end H5, H6, H7, H8, H9 and L5, L6, L7, L8, L9? and Exit MOC (trade 24hrs, re-calc and re-enter new brackets each open at 19:15cst)? Use the PSM I have suggested in this thread.

Would look ike this:

H9 Long
H8 Short
H7 Long
H6 Short
H5 Long
H4 Short
H3 Long
H2 Short
H1 Long

L1 Short
L2 Long
L3 Short
L4 Long
L5 Short
L6 Long
L7 Short
L8 Long
L9 Short

Any Comments?

Michael B.

This would solve the consecutuve loss problem, but would it be profitable? Do you folks want to test this in a new Journal after this Journal? If so, I will need to add levels to the existing equation.
 
I was working on the new equation, and I found myself asking, at these levels what is happening? (not static) I think I get it Steve :). There is a dynamic for each section of the rubberband. As the rubber band stretches it reveals that "slice of dynamic".

Michael B.

P.S. Steve, I guess I am going to need to fly to your part of the world and buy you lunch. (do they have Mcdonalds there?, HeHeHe, just joking :))
Quote from steve46:

Hello Michael:
Reading your comment about backtesting, I have to confess my bias. I believe that backtesting does not work. The reason is that the basic premise is not valid. What you do when backtesting is to start with a sequence of actions in response to market price (when the market does A, then enter long, when it does B, exit). There is an implicit relationship between the two sides of the equation. Unfortunately that relationship of one price point to another is a dynamic rather than a stable relationship. That is why you can backtest and develop a system that seems profitable on paper. But when you go to real time trading, you find that the drawdowns are greater than you expected, the number of consecutive losers escalates, and the per trade profits start to slip until you no longer have the confidence to pull the trigger. So what do you do then? Well surprisingly the answer is stop backtesting and start testing for correlation and dependency. What you want to do is to find a relationship between to points on a price chart whose correlation is as close to 1 as possible (This is basic stats Michael, if I can learn it anyone can), Then you measure the strength of that relationship by testing for dependency (there are two kinds of dependency, and again this is something you can learn about if you want to just using google). Once you find a stable correlation between two points that exhibits dependency, you can then propose a method of trading that says, "if I see price move to point A, then go long". "When it moves to point b, exit". If you think about it, this is the opposite of what people are doing with Tradestation and other backtesting platforms. Instead of trying to make the market fit your system, you are finding out how the market moves and designing your system around that movement. I appreciate the opportunity to offer my opinion. Hope it helps in some way. Steve46

P.S. By the way, this has been discussed before on ET, by Acrary. look at his posts and you will find examples of correllation and dependency that may help make it easier to understand.
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