Momentum Trades

[isatrader]

Trade 12

Date: 16/8/12

DOW 30

Signal Bar High (10:00 to 11:00 ET): 13205.18
Entry: 13205.3
Exit: 13220.3

Profit/Loss: +15

Highest high: 13269.32
Lowest low: 13200.33
Max above Entry: 64.02
Max below Entry: -4.97

Entry Bar Time (US): 11.15 am
Exit Bar Time (US): 11.50 am
Total Trade length: 35 mins

A strong momentum move today, and a reasonably quick trade of 35 mins. So gives me 2 wins and 1 loss this week, but, as I trailed the stop on the losing trade the week finished up +16.3. Here's the marked up chart of today's trade:

 

[isatrader]

Trade 13

Date: 21/8/12

DOW 30

Signal Bar High (09:30 to 10:00 ET): 13302
Entry: 13302.1
Exit: 13317.1

Profit/Loss: +15

Highest high: 13332.1
Lowest low: 13267.4
Max above Entry: 30
Max below Entry: -34.7

Entry Bar Time (US): 10.00 am
Exit Bar Time (US): 10.02 am
Total Trade length: 2 mins

A quick one today for 2 minutes after the first hours tradings bar. So that's 8 wins and 5 loses for the 15 point target, which puts the total at -2.5 so far. The 10 point target is doing much better though and has had 11 wins and only 2 loses, and so is +48.8 points currently. It's only been a month though of forward testing and the intraday ranges have been small due to the summer lull in trading activity. So I'll give the 15 point target more time, before I consider switching to the 10 point target.

 

[isatrader]

Trade 14 & 15

Trade 14

Date: 24/8/12

DOW 30

Signal Bar High (11:00 to 12:00 ET): 13141.2
Entry: 13141.3
Exit: 13156.3

Profit/Loss: +15

Highest high: 13161.3
Lowest low: 13115.1
Max above Entry: 20
Max below Entry: -26.2

Trade 15

Date: 29/8/12

DOW 30

Signal Bar High (11:00 to 12:00 ET): 13123
Entry: 13123.1
Exit: 13138.1

Profit/Loss: +15

Highest high: 13145.3
Lowest low: 13112.9
Max above Entry: 22.2
Max below Entry: -10.2

I've been off for the last week as i had my eyes lasered, so these are the two trades for the method over the last week of which both hit their 15 point targets.

 

[isatrader]

Trade 16

Date: 31/8/12

DOW 30

Signal Bar High (09:30 to 10:00 ET): 13127.1
Entry: 13127.2
Exit: 13142.2

Profit/Loss: +15

Highest high: 13152.7
Lowest low: 13127.2
Max above Entry: 25.5
Max below Entry: 0

i wasn't able to trade on Friday, but there was another signal for the method to put in my spreadsheet for the forward test, which as you can see was a good one. Although I'm not convinced I would have got filled with no slippage as it was moving fast after trading down for a lot of the hour before breaking higher. But it managed 25.5 above the entry point, so the 15 point target would have been valid. Attached is the 60 minute chart.

The 10 point target continues to show good potential as after 16 trades it's had 14 winners, whereas the 15 point target has only had 11 winners and so is lagging a bit currently. I think as the method is so simple that I need to code it into ninjatrader and do a proper backtest over 5 years or so as I think it could be automated fairly easily.

 

[isatrader]

Trade 17

Trade 17

Date: 6/9/12

DOW 30

Signal Bar High (09:30 to 10:00 ET): 13210.8
Entry: 13210.9
Exit: 13225.9

Profit/Loss: +15

Highest high: 13291.6
Lowest low: 13210.9
Max above Entry: 80.7
Max below Entry: 0

It's on a bit of roll at the moment as has had 6 in row and has moved into profit at 57.5 pts overall and 70.59% win rate so far. The 10 pt target continues to do better though and has only lost 2 out of 17 trades for a 88.8 pt gain or 88.24% win rate so far.

 

[D70]

Results to date?

 

[isatrader]

Results to date?

Attached are the spreadsheet results for the 10pt target and the 15pt targets.

15pt Target
12 Wins
5 loses

+57.5pts

10pt Target
15 wins
2 loses

+88.8pts

 

[isatrader]

Trade 18

Trade 18

Date: 11/9/12

DOW 30

Signal Bar High (09:30 to 10:00 ET): 13328
Entry: 13327
Exit: 13343.1

Profit/Loss: +16.1

Highest high: 13355.4
Lowest low: 13312.1
Max above Entry: 27.3
Max below Entry: -14.9

Another winner today which continues the good run over the last few weeks. My buy stop was cancelled twice as the slippage was above my boundary order of +1pt, so I entered manually instead and got in 1.1pt below where the buy stop was. Attached is the 60 minute charts.

 

[isatrader]

Trade 19

Trade 19

Date: 13/9/12

DOW 30

Signal Bar High (10:00 to 11:00 ET): 13356.7
Entry: 13356.8
Exit: 13371.8

Profit/Loss: +15

Highest high: 13574.9
Lowest low: 13355.2
Max above Entry: 218.1
Max below Entry: -1.6

As you would expect on a day like today, the momentum trade was a winner. 15 points is tiny gain compared to the huge move the market has had, but this method is about taking a small consistent amount out of the market. So I'm pleased, as so far my manual forward testing is matching what I saw in back testing that I posted the results of in the first post. As I've said previously if it continues to perform well in the coming months then I will look to automate it with a proper futures broker. Attached is todays chart.

 

[isatrader]

Another winner today and took 7 minutes after entry to reach the 15 point target. I will post the full details later once I have all the data.

 

[isatrader]

Trade 20

Trade 20

Date: 14/9/12

DOW 30

Signal Bar High (09:30 to 10:00 ET): 13618
Entry: 13618.5
Exit: 13633.1

Profit/Loss: +14.6

Highest high: 13652
Lowest low: 13611.4
Max above Entry: 33.9
Max below Entry: -7.1

The good run continues with 9 in row now for the 15 point target and 12 in a row for the 10 point target. The total win loss after 20 trades for the 15 pt target is 15 wins and 5 loses. And for the 10 pt target is 18 wins and 2 loses.

Below is todays trade:

 

[neil]

Re: Trade 20

Trade 20

Date: 14/9/12

DOW 30

Signal Bar High (09:30 to 10:00 ET): 13618
Entry: 13618.5
Exit: 13633.1

Profit/Loss: +14.6

Highest high: 13652
Lowest low: 13611.4
Max above Entry: 33.9
Max below Entry: -7.1

The good run continues with 9 in row now for the 15 point target and 12 in a row for the 10 point target. The total win loss after 20 trades for the 15 pt target is 15 wins and 5 loses. And for the 10 pt target is 18 wins and 2 loses.

Below is todays trade:

Losses.
Great trades. There are several trading methods I have seen on 5 min. charts that go for ten points profit. They soon add up to regjular profit. Good luck with your trading.

 

[isatrader]

Re: Trade 20

Losses.
Great trades. There are several trading methods I have seen on 5 min. charts that go for ten points profit. They soon add up to regjular profit. Good luck with your trading.

Thanks. It seems to be going to plan so far, in that the results have been very similar to the back test I did. But the sample size is tiny as there's only 3 trades a week on average, so I'm going to carry on doing it manually until the end of the year, as that should produce around another 40 trades or so; and then if it's still going as expected, I'll try and code it in Ninjatrader and automate it, as it's very simple and so shouldn't be a problem.

 

[isatrader]

Trade 21

Date: 18/9/12

DOW 30

Signal Bar High (10:00 to 11:00 ET): 13570.9
Entry: 13571
Exit: 13550.8

Profit/Loss: -20.2

Highest high: 13581.7
Lowest low: 13548.5
Max above Entry: 10.7
Max below Entry: -22.5

Entry Bar Time (US): 11.00 am
Exit Bar Time (US): 11.59 am
Total Trade length: 59 mins

A loss for the 15 point target yesterday, as the price only made it 10.7 points above the entry point, so the 10 point target clocked up another win. But the stop loss wasn't reached, as I got an early exit, as the bars momentum turned neutral which is my other exit criteria. Attached is the charts

 

[neil]

resistance at 15.575 to the left ? So the price was moving into overhead resistance?

 

[isatrader]

resistance at 15.575 to the left ? So the price was moving into overhead resistance?

It's an automated method neil, so resistance isn't taken into consideration. All that matters is that momentum goes positive on the hourly bar and that it then trades above that bars high - which gives you an entry.

 

[isatrader]

Trade 22

Date: 19/9/12

DOW 30

Signal Bar High (09:30 to 10:00 ET): 13590.4
Entry: 13595.4
Exit: 13605.4

Profit/Loss: +10

Highest high: 13624.9
Lowest low: 13595.4
Max above Entry: 34.4
Max below Entry: 0

Entry Bar Time (US): 10.01 am
Exit Bar Time (US): 10.04 am
Total Trade length: 3 mins

Entry Slippage: -4.9 (Manual entry - as I didn't log in in time to place buy stop)

I missed the chance to put my buy stop order in as was distracted replying on here (Another reason why I want to automate it, as I can miss the entry point if I'm not looking at the screen or don't realise the time). So I entered manually at 4.9 points above the buy stop entry point as the momentum picked up on the data release. So a smaller win of 10 points on this occasion. Here's the charts

 

[isatrader]

Trade 23

Date: 21/9/12

DOW 30

Signal Bar High (11:00 to 12:00 ET): 13639.3
Entry: 13640.1
Exit: 13624.7

Profit/Loss: -15.4

Highest high: 13640.4
Lowest low: 13616.6
Max above buy stop: 1
Max below buy stop: -23.5

Entry Bar Time (US): 11.01 am
Exit Bar Time (US): 11.59 am
Total Trade length: 58 mins

Entry Slippage: -0.7

A loss for the 15 point target system on last Friday's trade, although the hourly bar closing on neutral momentum gave me an early exit, which cut the loss to half the stop loss distance. It was also the first loss for the 10 point target in the last 15 trades, but the winning streak had to come to an end sooner or later.

 

[isatrader]

Trade 24

Date: 25/9/12

DOW 30

Signal Bar High (09:30 to 10:00 ET): 13593.8
Entry: 13602.8
Exit: 13613.9

Profit/Loss: 11.1

Highest high: 13616.6
Lowest low: 13586.6
Max above buy stop: 22.7
Max below buy stop: -12.3

Entry Bar Time (US): 10.00 am
Exit Bar Time (US): 10.08 am
Total Trade length: 8 mins

Entry Slippage: -7.3 (Manual Entry)

A winner today for the 15 point momentum target. I was late logging in to my account, so I didn't have time to set up my buy stop and did a calamitous manual entry where I used the wrong bar for the high data and so entered much higher than I should have. Fortunately, it was still ok, but is making me want to automate it even more as rushing into a trade is usually not a good idea, so I was lucky on this occasion.

Below are the charts. I've also included the actual 1 min chart from my broker today as the differences between the stockcharts charts and CMC's was quite wide today.

 

[isatrader]

We've now got three days of major data starting tomorrow with New Home Sales at 10:00 AM ET, so there could a few trades, so I'm going to make sure I'm prepared each day in time so I don't have another day like today.