Spreading FTSE PNF Style

JonnyT

Senior member
2,560 22
Hi Peter,

You comments are right. An initial position is not opened on a Double Top or Double Bottom breakout. They are used purely when a trade has failed. They then rarely fail. Its rather like a shakeout formation.

Hi Paul,

Size with futures means multiple contracts. In my case initially 5 FTSE contracts. i.e. £50 per point

JonnyT
 

RogerM

Established member
752 6
JT - As a late comer this thread, 3 questions spring to mind.

When you say you enter data yourself on the spreadsheet, do you mean that you are actually sitting there manually putting "O" and "X" on the spread sheet thru your keyboard? If so, I am in awe of your concentration levels. Or have you a datafee going into Excel which is set up to plot the P&F's according to how you have programmed the spread sheet? If so, how? I know it is easy to drop IB data into Excel, so can you automate this?

Secondly, I'm trying to reconcile your figs for yesterday. You write that you had +28, but according to your spreadsheet you had -15, +6 and +28 = +19 ?

Finally, I can see the reason for entry long at 3678 and short at 3702, but not the initial short entry at 3666, which subsequently became a loser after being +27 in profit. I'm allergic to seeing a winner turn into a loser - so is the rationale that you are in the market all the time with no stop loss?

Interesting thread!
 

RogerM

Established member
752 6
JT - As a late comer this thread, 3 questions spring to mind.

When you say you enter data yourself on the spreadsheet, do you mean that you are actually sitting there manually putting "O" and "X" on the spread sheet thru your keyboard? If so, I am in awe of your concentration levels. Or have you a datafee going into Excel which is set up to plot the P&F's according to how you have programmed the spread sheet? If so, how? I know it is easy to drop IB data into Excel, so can you automate this?

Secondly, I'm trying to reconcile your figs for yesterday. You write that you had +28, but according to your spreadsheet you had -15, +6 and +28 = +19 ?

Finally, I can see the reason for entry long at 3678 and short at 3702, but not the initial short entry at 3666, which subsequently became a loser after being +27 in profit. I'm allergic to seeing a winner turn into a loser - so is the rationale that you are in the market all the time with no stop loss?

Interesting thread!
 

JonnyT

Senior member
2,560 22
Hi Roger,

I'll address your points individually:

1) I use SierraChart with MyTrack / IB feed for futures. This does the PnF for you. Yesterday was an example on how this method can be spreadbetted using Deal4Free and manual PnF charts. Its not as intensive as you think!

2) The trades were -15, 21, 22. You are looking at the rolling profit/loss!

3) The initial short was taken on descending peaks. i.e. the market was not going up so therefor was likely to go down, which it duly did. In reality I do not let a 27 point winner become a loser, but the example was purely mechanical. I made a suggestion that the returns could be improved in my original post. That move yesterday wasn't normal though, more common is that you get a double bottom or acsending bottom thus getting you out before a loss mechanically.

4) The system was in the market all the time yesterday, but I get out on a 50 point profit in the morning and look for 30+ in the afternoons. There are always stops in place. For instance on trade 1 the stop was at 3678 (stop and reverse), trade 2 3660 (18 points is my max risk per trade) and trade 3 3714 which would also have been a stop and reverse.

Hope this helps.

JonnyT
 

JonnyT

Senior member
2,560 22
Not so good today

Hi folks,

Todays action via the D4F daily cash wasn't so good. In fact a bit of a rarity.

JonnyT
 

Attachments

  • d4f 04032003.xls
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JonnyT

Senior member
2,560 22
D4F Versus Futures 4/3/3

Hi folks,

I've added the FTSE futures price action today so it can be compared with D4F cash.

The futures trades were around BE today.

JonnyT
 

Attachments

  • d4f v futures.xls
    16.5 KB · Views: 265

GreyingSurfer

Active member
173 0
Hi, JonnyT

Just looking at today's results you would have done better stopping out, rather than reversing, on the break of resistance at 3657 on the SBs, only reopening a trade when you had a new reverse from DT signal at 3645. I imagine you have looked at this in your backtesting? Are you better off in general reversing when you break resistance rather than waiting for another clear entry point?
 

JonnyT

Senior member
2,560 22
Hi Peter,

There are loads of permatations. I just haven't tested many!

My preffered one is to look for 50 points in the morning and 30 in the afternoon and to hold through some reversals etc.

It should be remembered that today was a very low range day so is not really typical.

JonnyT
 

oatman

Senior member
2,879 22
Hi Jonny,

My reading of P&F for today's Ftse Future is different.
Last's night close was 3663. The opg trade was 3623. The previous down line low of O's was 3657. Therefore the break point was 3654 which was not tradeable. The Chart has been in a downtrend all day. In fact there was a buy signal at 3609 at 16.59. Too late to act on anyway, unless you want to run overnight.

Happy trading,
 
Last edited:

Dr Mike

Member
92 1
Hi Jonny

I didn't do much better with a total -3 before spreads although this included a -3 on a mistaken trade.

Interesting that a neat Bearish resistance line could have been drawn above most of todays action. I noticed it about 3.30pm -Ain't hindsight wonderful.

Thanks for adding the actual futures data to your SS.
 

Bigbusiness

Experienced member
1,408 23
I had a look at this today and noticed twice in the morning D4free quoted a bid price of 3,657 but on their chart it only reached 3,656. I am using MM5.

So to replicate your p&f chart I had to ignore the quote window and plot from the chart.

The problem is, when using stop orders, will the order be filled at the quote price or the price on the chart?
 

JonnyT

Senior member
2,560 22
Hi BigBusiness,

Deal4Free do not always fill at the quoted price. I have had the quoted price go 5 points past a stop loss without being filled.

JonnyT
 

Dr Mike

Member
92 1
Hi Big business

Thanks for your observation about D4F prices vs the chart. I thought I was seeing things (or rather not seeing things) when I went back to check my chart against D4Fs at half time.

I do remember reference to one company only graphing prices at which deals had taken place but can't remember if it was D4F or not.

So far I've had all my index stops met at the set price although the on -screen price does seem to move beyond the stop price before it the system activates the stop.

Not necessarily the case with my share bets though particularly if the price has gapped.
 
 
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