Joey's MP Journal

This is a discussion on Joey's MP Journal within the Trading Journals forums, part of the Reception category; Sold 1.5 lots Limit @ 1.2690 Exit 1.0 lots @ 1.2653 Exit 0.5 lots @ "runner" Have been filled at ...

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Old Feb 27, 2009, 5:27pm   #191
Joined Mar 2005
EURUSD (Minus Development)

Joey25 started this thread Sold 1.5 lots Limit @ 1.2690
Exit 1.0 lots @ 1.2653
Exit 0.5 lots @ "runner"

Have been filled at the first target for +1.0 x 37 = 37 pips
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Old Feb 28, 2009, 11:52am   #192
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Joey25 started this thread These all worked well, except a poor GBPUSD trade which lost 105 pips.

It appears that historical levels are more potent than intraday levels, and attention needs to be paid to optimal exits. This one is a real headache, because if an exhaustion approach or a trailing approach is used, the exits or trails could well get triggered in the Asian session.

With this in mind, I've decided to start on the Daily chart (which is probably easier anyway) and address the following problems:

(1) Volatility or Technical stop?

(2) Exits: all-in / all-out or scaled out?

(2ii) Exits: target based, exhaustion based etc. ?

This really calls for an extensive study, and so I'll be doing 5 years of testing on the Majors. I know from having done this painful and laborious process with index options trading that not only do the results give you the confidence to pull the trigger with real confidence, but they also give you a good idea for appropriate leverage, risk of ruin, and so on.
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Old Mar 1, 2009, 12:10pm   #193
Joined Mar 2005
The Method Being Tested

Joey25 started this thread Further to the previous post, I have decided on the method to be tested.

Conditional on a market meeting certain bracketing criteria,

Price enters an alert zone, where a decision is made as to whether:

(a) a breakout trade is entered
or
(b) a responsive trade is entered

Targets for the breakout trade are open-ended, but could be set equivalent to the responsive trade targets.

Targets for responsive trades are at the mean / centre of the bracket.

Example: GBPUSD

For the week ahead, the Bracket Parameters are:

Upper Bracket Limit: 1.4605
Responsive Short: 1.4549

Responsive Trades Target: 1.4383

Responsive Long: 1.4216
Bracket Lower Limit: 1.4160

Note: Brackets appear to make sense at the 5-day, 10-day, 20-day levels. Whether these are computed on a calendar or rolling basis is open to debate, but I will be using calendar.
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Old Mar 2, 2009, 8:26pm   #194
Joined Mar 2005
Cable Balance Breakout

Joey25 started this thread The bracket breakout method works under the assumption that the best breakouts are preceded by a period of balance, preferably a small area.

Looking at GBPUSD, the 10-day range doesn't quite look balanced, with a bias or build up of value to the downside. However, the 5-day range just about satisfies bracketing criteria, with price rotating relatively uniformly throughout the range.

I have entered a short breakout trade, with 2/3 of the postion covered for 85 pips profit. The target for the remainder is at 1.3904. Nothing very sophisticated with the trade management - either the target or the stop is hit, otherwise manual close late Friday.
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Old Mar 3, 2009, 7:44pm   #195
Joined Mar 2005
Joey25 started this thread Still in it. Heartened by the way price today turned at yesterday's entry (the bottom of the previous week's bracket).

However, the backtesting I'm currently conducting has shown that it was fortunate that last week finished with price in a range - it can just as easily break out on a Tuesday or a Wednesday
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Old Mar 3, 2009, 8:24pm   #196
 
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Quote:
Originally Posted by Joey25 View Post
Further to the previous post, I have decided on the method to be tested.

Conditional on a market meeting certain bracketing criteria,

Price enters an alert zone, where a decision is made as to whether:

(a) a breakout trade is entered
or
(b) a responsive trade is entered

Targets for the breakout trade are open-ended, but could be set equivalent to the responsive trade targets.

Targets for responsive trades are at the mean / centre of the bracket.

Example: GBPUSD

For the week ahead, the Bracket Parameters are:

Upper Bracket Limit: 1.4605
Responsive Short: 1.4549

Responsive Trades Target: 1.4383

Responsive Long: 1.4216
Bracket Lower Limit: 1.4160

Note: Brackets appear to make sense at the 5-day, 10-day, 20-day levels. Whether these are computed on a calendar or rolling basis is open to debate, but I will be using calendar.
you realise we'd get burned as witches 300 years ago ?
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Old Mar 3, 2009, 8:30pm   #197
Joined Mar 2005
Joey25 started this thread
Quote:
Originally Posted by rathcoole_exile View Post
you realise we'd get burned as witches 300 years ago ?
Yes (cough). I did like the idea of "alert zones" from somewhere else on this site...
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Old Mar 5, 2009, 8:05am   #198
Joined Mar 2005
S&P500 Daily Future (Wednesday)

Joey25 started this thread Back to the live account, and the first S&P trade for a while.


"Mean Rotation" Trade

Sold @ 719.40
Bought @ 708.50

P/L = + 10.90
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Last edited by Joey25; Mar 5, 2009 at 8:11am.
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Old Mar 6, 2009, 8:44am   #199
Joined Mar 2005
Joey25 started this thread That cable trade ended up being break-even over all.

Very silly, seeing as it was onside 200 pips on the first day.

However, the bracket did define the price action well during the early part of the week - what is required is closer attention to the trade management. Rather than stick the position on Sunday night and go away (always worth trying the lazy option first however ), zoom in and manage on a lower timeframe.

This 15-minute chart shows how the stop could have been halved and the trade taken out at an ATR target on Monday.

I'm also leaning heavily towards breakouts with FX, so I think the next step is to drill heavily on Overnight Range breakouts for a while until the trade management part is second nature.
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Old Mar 6, 2009, 10:15am   #200
Joined Mar 2005
Cable Prep for Today

Joey25 started this thread Firstly, the overnight range is defined, and a note of the 20-day ATR is taken:

Overnight High = 1.4277
Overnight Low = 1.4110

20-Day ATR = 0.0271.

Then, the 5-day range is examined for (lack of) trend. Visually, cable is bracketing nicely in the lead up to the Non-Farm Payroll numbers coming out of the States at 13:30pm, but also satisfies more formal analysis of a test for being in a bracket.

The 5-day bracket limits are:

Upper Limit: 1.4312
Lower Limit: 1.3985

Breakout targets are either in terms of the size of the range being broken out of, or ATR.
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rolling5dayrange.gif   shortlongranges.gif  

Last edited by Joey25; Mar 6, 2009 at 10:24am.
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