YM in a Can

Spreadsheet with some more bells and whistles. Pay attention to range and test to see trading after low range days is profitable. Today was one of those kind of day's. We followed a 71 point range day and pulled 43 points/1 contract trading or 142 points with PSM. (step 6 @ $500.00 performance bond per RTH contract)

There were 26 trades today. We have already traded once into this new session and bagged a 21 pointer. (note the new levels are open because of the wide range today)

Michael B.


P.S This spreadsheet has been updated to the minute.
 

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Thank you Sunny for the kind words.

See you folks in the next thread, but I am trying to solve the automation problems with my broker before starting the Journal.

I do not want to waste your time with paper trading anymore. I am ready to trade this with real dollars soon and am forward testing the new system privately.

I will post the spreadsheet changes from time-to-time here (if there are any), but you can understand I cannot post 10-26 trades a day.

Michael B.

P.S. That system in this thread is not trashed and can still be traded. Disclaimer: It did not backtest well trading one contract. It just works now, trading with PSM.

Michael B.



Quote from sunnyskies:

nice work, looking forward to new thread. whats the final tally for the old version?
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Steve46, this Journal and other here posting on ET have totally changed the way I look at trading the YM.
  • React to the price, look at what the chart is saying.
  • Do not forecast or use a Static PSM. (NihabAshi's comment about trend still challenging me, he has something there). If I must use a Static PSM consider putting a probabity value after each level failure as to its success with the next signal (entering after a 3rd failure, shows that the equation is struggling to find the direction and at this point it is highly probable it has found it).
  • A good study question for the instrument you are trading might be: Measure what the price does at certain levels and does the range between the bands of support and resistance change at a certain stretch from the open?
Michael B.

P.S. Attached, is the latest progress, in trading this beast.
 

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ES.... S&R trading.... Sometime ago I didnt understand how to trade it. Now I understand the way most people trade it. Basically you got a line in the sand. And the pundits will tell you "i watch how the price reacts at that level and trade accordingly". Now WTF does that mean? I've come to find out it simply means they're looking at candlestick formations at the level, whther they're bullish or bearish. That's all. This is not meant as a suggestion for your system as it seems to be doing well as is, but thought you might appreciate this piece of info since it relates to S&R trading.
 
Two (possibly three) equation's are necessary to deal with days following certain conditions (This system could be dangerous if I had charts, as I could go back into time and set the list levels better, but stay loose folks, we do not need to be so exact).
  • Equation 1: Range>=80
  • Equation 2: Range<80
  • Equation 3: (in development)

Michael B.


P.S. Please see suggested attached equations. Have a nice weekend, traders. :)

P.S.S. Sunday's OPEN is an Equation 1 day.
 

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Yes, I am still in the school that I cannot tell from the candle formations exactly what the price will do. I developed this system through the frustration of NOT knowing this.

However a WMA could be helpful, but again I do not have charting other than the free Futuresource Charts (I really do not need more than that, I still think).

As long as the consecutive losses stay mangable is really my goal to achieve/maintain, as Level Breach PSM, seems to even out the equity curve.

This system will have loosing days, I can't get it perfect.

This I know, if I try to over optimize or curve fit these levels, it will get worse not better. But Sunny, you can easily out-trade the system results with discretion. But everything has a price, I save time by not being glued to the charts, actually I do not need em' for this system. Come to think of it, Do pit traders have em'?

Michael B.

Quote from sunnyskies:

ES.... S&R trading.... Sometime ago I didnt understand how to trade it. Now I understand the way most people trade it. Basically you got a line in the sand. And the pundits will tell you "i watch how the price reacts at that level and trade accordingly". Now WTF does that mean? I've come to find out it simply means they're looking at candlestick formations at the level, whther they're bullish or bearish. That's all. This is not meant as a suggestion for your system as it seems to be doing well as is, but thought you might appreciate this piece of info since it relates to S&R trading.
More...
 
Interesting to note: (look out! Electric has E-Sig)

From 03/24/04 there were:
  • 04 instances of range >200.
  • 06 instances of range between 165-200.
  • 06 instances of range between 131-164.
  • 14 instances of range between 095-130.
  • 12 instances of range <095.

It is suggested to use 5 different formula values in 5 different equation's (using those range values above) to calculate levels from range (work in progress). A by-product of a wider range causes reversing values in the equation to open up. This weekends study is to counter-attack this by using different equation level calcs to maintain equilibrium between daily values.

In the beginning, these equations will not be curve-fit or optimized to achieve the best results, but rather to maintain distance from level to level consistent with the other ranges. After forward testing this a bit, conclusions can be drawn.

Any comments/questions?

Michael B.

P.S. When this gets tested and assuming it proves to be valid then a range count like above will be performed each two calendar months. The equation levels will be adjusted with new values to adapt to the most recent character the market is displaying.

P.S. S. I am going for a hike, be back later to post the 5 new equations. I find hiking helps me think.
 
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