Xmas Project

I am confused :cry:

Is this project to use indicators or not use indicators ?

I dont want to make suggestions using MAs, momentum, etc, if the remit of this project is no-indicators.
( I would then only seek out and suggest codable patterns or price-changes as identifiers for trades )

Also, is this project, "always in the market" or is that open for assessment ?
 
I could tell you a working solution, but unfortunately I'd have to kill you.

However I will add some pointers.

Look for some movement and then go with the flow. Trail a stop loss untill you hit a profit target. lImit trades to a few a day during certain time periods.

Know you market and exclude everything else.

Forex moves the most, EUR/USD future has a 1 pip spread. Look at trades between 07:00 amd 10:00 only.

JonnyT
 
right, one to think of over lunch/the weekend.

been tinkering and using intraday prices, rather than close-close methods.

here's a simple counter-trend method, that on the face of it looks ok.

at the end of each day, set up orders to sell and close+X and buy at close-X.

these orders stay live for 4 days (if i recall my calcs correctly) if not hit, then cancelled. each day has its own associated orders etc.

close all open trades at end of month.

piece of cake. can obviously be improved with a more dynamic pts filter (note how the equity curve has flatlined over the last few months)

no stops in this one as yet, nor any profit targets. but i might work on them over the weekend!

food for thought?
 

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yes i know the intra-trade drawdown is a big scary....nevermind the end of trade drawdown.

just throwing some ideas out into the mixer.....
 
Is the x axis trades or days? Is the chart showing equity for closed or open positions?

Fettered, I think its a mistake not putting stop losses into your system straight away. I've seen some brilliant looking systems in the past, but the drawdowns were horrible. Also, stop losses alter the behaviour a lot making something that was good into a negative equity. Would you trade it live without stops? Show us what it looks like with a reasonable stop loss strategy
 
x axis is days, not trades. equity shows closed trades.

i would love to be able to code stops into this, but until i can code dynamic arrays into excel, then it is gonna have to wait a while.

dont worry, its on the cards.

need to have a think about just how to do it..
 
Ah! I see your problem. Excel is tough, I never got my head around it much and I'm a bloody programmer!

You could always use a temporary sheet. use that sheet to populate with the stop losses and refer to that in your main trading sheet. Not sure if that will work, just an idea. Dont they have global variables or anything in excel?
 
think i have found a way to do it using the OFFSET function.

currently trawling through excel chat forums.

now that stuff is REALLY dry!!!!
 
fc

you might find the attached 10 year study of S&P interesting. You'll have to draw in the lines yourself but you will see a couple of interesting bits. eg) if the price has moved in the same direction each day Monday through Thursday (XXXX) then there's a 62% chance of the same on Friday (thus XXXXX) and only a 38% chance of reversal (XXXXO)

good trading

jon
 

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Well I'm coming to Orlando in the spring.

Do you want me to kill you whilst I'm there?

Perhaps I could drown you Typhoon Lagoon or maybe throw you to the Gators or Crocs in the Everglades ;o)

JonnyT
 
Talking about Gators, I was in Florida last month and one afternoon decided to go for lunch to Sharky's on Venice beach. Was taxiing out, ready to fly back after lunch when I got a call from an aircraft that had just landed that there was a "Gator on the runway", don't get that call much in England. Decided to take off anyway and flew right over it, big thing moving slow and relaxed across the airfield. Wonder where he ended up, he was heading for the beach.......
 
OK just read through this thread, interesting.
FC please could you just clearly restate the rules as they are now as if talking to an idiot so that it is clear where we are at, at least to me anyway. duuuuhhhh! If I know that, then I will know if I have anything to contribute.

Thoughts so far:
I have found that combined range and breakout systems work best. If choosing one or the other I would have to stick with the breakouts but I have found that taking initial signals as a range trade with a reversal or size increase for breakouts work consistently well and better than breakout alone. It is better to incorporate a breakout on range systems as they also serve a function as a stop/reverse mechanism that pure range systems otherwise have a drawdown problem with. I have found they are, over time, better than simple stops. Even if you end up with a few costly whips at least you know you are on all the major breaks and stay in short term channels. Admittedly these require some non generic values, at least as far as my research has so far taken me.

As to indicators I have not dismissed them myself as I find they can often work as great moderators for price action based systems. By this I mean a system that may limit to only long or only short price action based signals during certain periods dependent on a specified criteria of an indicator whether this be a simple ma vs price or some other thing such as Stochs. IMO indicators make useful references and I do not understand their total dismissal as if they are some sort of evil hindrance. All the charts I look at daily have candles with slow stoch and single MA or Bolli Bands these are great reference tools even if only trading price action.

I think it is pretty difficult not to consider open position drawdown as this is actually critical when you start putting money down. It is particularly important when you are deciding account funding requirements and leverage. Even if just marking to market on the close of each day you really need to incorporate this into the equity curves.

JonnyT why you limit yourself to 7-10 ? IMO the US session is just as important so better to think in terms of 2 sessions per day the second starting around 12:30 at least this is what I have found.


fc

you might find the attached 10 year study of S&P interesting. You'll have to draw in the lines yourself but you will see a couple of interesting bits. eg) if the price has moved in the same direction each day Monday through Thursday (XXXX) then there's a 62% chance of the same on Friday (thus XXXXX) and only a 38% chance of reversal (XXXXO)

good trading

jon

Seems from figures as if the week starts at XXX
At this point sell Thursday open buy back on close. If Thursday is also X buy Friday open.
Is it really that simple?
 
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