Momentum Trades

[isatrader]

Trade 6

Date: 3/8/12

DOW 30

Entry: 13082.6
Exit: 13097.6

Profit/Loss: +15

Highest high: 13134.6
Lowest low: 13079.7
Max above Entry: 52
Max below Entry: -2.9

Entry Bar Time (US): 10.00 am
Exit Bar Time (US): 10.01 am
Total Trade length: 1 min

A successful trade today, with the 15 point target being hit in just over 1 minute after my buy stop order above the opening hours bar was filled. Also no slippage today for a nice change.

 

[isatrader]

Momentum is neutral at the open, but it could go positive if it strengthens towards the end of the hour. So a potential trade today.

 

[isatrader]

Order is in above the previous hours high. Waiting for a fill now.

[EDIT]: Was filled at 10.07 ET, so just waiting now for either the target or the stop to be hit, or if the hourly bar closes on neutral momentum.

 

[isatrader]

Out for -2.7 as the hourly bar closed on neutral momentum. Will update the full trade data later, but while I was in the trade it got 14.5 pts above and below the entry price. So it was only 0.5 pts away from my target annoyingly.

 

[isatrader]

Trade 7

Date: 6/8/12

DOW 30

Entry: 13173.4
Exit: 13170.7

Profit/Loss: -2.7

Highest high: 13187.9
Lowest low: 13158.9
Max above Entry: 14.5
Max below Entry: -14.5

Entry Bar Time (US): 10.07 am
Exit Bar Time (US): 12.02 pm
Total Trade length: 1 hr 55 mins

A frustrating one today that just fell short of my target by 0.5 pts. The entry was a little bit better than it would have been, as the buy stop order cancelled itself due the price slipping through the 1 point boundary I had set, so I entered manually at a slight better price when it pulled back. However, the momentum waned after the first 30 minutes and it started to form a range with lower highs on the shorter time frames. One of my rules is to exit when the hourly bar closes on neutral momentum, so I got out manually a few minutes after close of the 11 am (US) bar as it had turned blue.

 

[D70]

Nice little system

 

[isatrader]

Nice little system

Thanks D70, I appreciate it.

Today's open is showing the potential for a trade as the momentum on the DOW is neutral currently, but is close to going positive. So it needs to close strongly into the end of the hour to give me an entry signal. The S&P 500 is doing slightly better and is on a positive signal at the open, but the spread at my broker is too big to trade the S&P currently, but I like to use it for confirmation as they are so closely correlated.

 

[isatrader]

No trade for me on the DOW 30 as the momentum stayed neutral. However, the S&P 500 momentum held onto it's positive momentum and has traded 6 ticks above the entry level so far. So that would have been a successful trade as 6 ticks (1.5 pts) is the same as 15 points on the DOW 30, which is my target level. The DOW also managed exactly 15 points above the entry level, but as the momentum was neutral there was no trade for me.

 

[isatrader]

Even though there was no trade on the DOW 30 today, I paper traded the S&P 500 (ES-SEP12) as the S&P got a momentum signal at the close of the opening bar. Here's the paper trade details:

ES-SEP12

Signal Bar High (09:00 to 10:00 ET): 1398.75
Entry: 1399
Exit: 1400.5

Profit/Loss: +6 ticks (1.5 pt)

Highest high: 1403.25
Lowest low: 1397.25
Max above Entry: 4.25 (17 ticks)
Max below Entry: -1.75 (7 ticks)

Entry Bar Time (US): 10 am
Exit Bar Time (US): 10.22 am
Total Trade length: 22 mins

 

[isatrader]

To increase the number of trades I've been looking to see if the method will work on any other products like forex pairs for example. Liquidity is a key consideration which is why I've limited my trading time to the US session only, and am considering just doing the 9.30am to 11.30am US Eastern Time, as there is an overlap with the European traders last two hours, which is 2.30pm to 4.30pm UK time. So that's the point of greatest liquidity I believe and so the point of focus for me with this method.

Below is an hourly chart of the EUR/USD showing the US session only, which would have worked out with the method over the last week quite well, with 4 or 5 successful trades depending on the stop distance. So I need to backtest my method on EUR/USD to determine whether it has merit or not and the calculate the appropriate stop distance and target per trade.

 

[isatrader]

It was mentioned to me earlier about why didn't I do the reverse for the method when the momentum was negative. And my answer was that I haven't back tested it. So as the market is opening with negative momentum today I'm going to do my first forward test of it, and aim to back test it as soon as I can.

[EDIT: 10.02 am ET] Although the hourly momentum signal is negative, the price traded up from the open and momentum went neutral on the 15 minute chart, so I'm not going to put a buy stop in for this one as I'm not confident making the trade as I haven't tested negative momentum.

 

[isatrader]

The second hour closed with negative momentum again and is a more reasonable distance from the closing price of the bar, so I've placed the order to short below the 10am ET bar low.

[EDIT 11.15am ET] Order cancelled as the intraday swing high has been breached and momentum on the 15 minute chart and hourly has gone positive. So a potential long trade if it holds until the end of the hour

 

[isatrader]

Momentum is positive on the hourly bar, so my buy stop is in above the high with my target of 15 pts and stop of 30 pts. Will see if this one gets filled.

 

[isatrader]

Order cancelled again as the hourly momentum has gone neutral and there was no fill. Whipsaw day today.

Another idea I'd like to back test is to possibly include the 15 minute time frame in the entry criteria as an additional filter. i.e. when the hourly momentum is positive, the 15 minute needs to verify it also for an buy stop order to be placed. I don't want to complicate the method, but this seems sensible as the idea is to catch a small part of the momentum move.

 

[isatrader]

Date: 9/8/12

DOW 30

Signal Bar High (09:30 to 10:00 ET): 13200.9
Entry: 13201.1
Exit: 13170.5

Profit/Loss: -30.6

Highest high: 13200.4
Lowest low: 13124.3
Max above Entry: -0.7
Max below Entry: -76.8

Entry Bar Time (US): 10.20 am
Exit Bar Time (US): 11.26 am
Total Trade length: 1 hr 6 mins

Entry Slippage: -0.1
Exit Slippage: -0.5

No joy again today. The price only poked it's head a tiny bit above the buy stop before reversing, so it was within the spread and was then stopped out. So that's 4 winners and 4 losers so far. Here's the charts.

 

[isatrader]

I've got a second entry signal and the buy stop was filled at 12.01 ET

 

[isatrader]

Trade 9

Date: 9/8/12

DOW 30

Signal Bar High (11:00 to 12:00 ET): 13172.5
Entry: 13169.5
Exit: 13169.9

Profit/Loss: 0.4

Highest high: 13183.1
Lowest low: 13155
Max above Entry: 13.6
Max below Entry: -14.5

Entry Bar Time (US): 1.01 pm
Exit Bar Time (US): 3.37 pm
Total Trade length: 2 hr 36 mins

Entry Slippage: +3.1 (manual entry, so 3.1 pts better than target)
Exit Slippage: 0

The second trade did a bit better and got 10.6 pts above the high of the signal bar, but it still wasn't enough for my 15 pt target, so as the momentum faded near the end of the day I thought it wise to get out around breakeven.

 

[isatrader]

The 15 minute went positive in the last 15 min bar and the hourly is only a few points from going green using the US session data, however if you use the full days price data then the momentum has gone positive, so I've put my buy stop in above the high of the last hour as I think it's a subjective one.

[EDIT 18:15] Order cancelled as there was no fill.

 

[isatrader]

Trade 10

Date: 9/8/12

DOW 30

Signal Bar High (13:00 to 14:00 ET): 13157.8
Entry: 13157.1
Exit: 13173.6

Profit/Loss: +16.5

Highest high: 13205.7
Lowest low: 13144.8
Max above Entry: 48.6
Max below Entry: -12.3

Entry Bar Time (US): 2.03 pm
Exit Bar Time (US): 3.17 pm
Total Trade length: 1 hr 14 mins

Entry Slippage: +0.8 (manual entry)
Exit Slippage: 0

A successful trade tonight to close off a flattish week

 

[isatrader]

Trade 11

Date: 14/8/12

DOW 30

Signal Bar High (10:00 to 11:00 ET): 13208.2
Entry: 13208.5
Exit: 13193.3

Profit/Loss: -15.2

Highest high: 13220.8
Lowest low: 13181.4
Max above Entry: 12.3
Max below Entry: -27.1

Entry Bar Time (US): 11.30 am
Exit Bar Time (US): 12.40 pm
Total Trade length: 1 hr 10 mins

Entry Slippage: -0.2
Exit Slippage: -0.2

Another one that got within a few points and reversed today. I trailed my stop loss to half the distance (-30 to -15) when the price moved over 10 points above my entry point, as I think this is a sensible addition to curb the damage these type of trades do to the account.