Morning Breeze Strategy

[feb2865]

	Quote:	wrines
	Maybe I'm just dense, but I can't seem to make this work out via visual/manual backtesting consistently on the ER2 - at least not without huge drawdowns on the myriad reversals...what are you guys using (time frames) to test this? Has anyone tried coding it in TS easylanguage? Ant where are you? Feb, you mention "momentum" and "pace" of the breakout, and from looking at it, I can see that clearly some breakouts are easily spotted and some arent, that is, many breakout but reverse quickly. On the tick charts I have been trying to find an indicator that somehow conveys to us the "speed" a candle took to complete, and one possiblity is eKam's "hesitation" indicator - I have attched it here. W

wrines

Please, if you can, send me a copy of the charts you're using and tell me exactly how you're backtesing. Price will sometimes break the range but doesn't have enough juice and then retraces.

line up your possible entries on the charts.

Also send me some forex charts.

I'll take a closer look to see what's going on


Regards

Raul

[MrPaul]

	Quote:	Gav
	Thanks for sharing. Kevin Ho, one of guest lecturer at LBR group has a similar strategy. You may find the document here Have a great weekend. Gav

Here is the direct link if anyone doesn't want to sign up as a guest to view

http://www.lbrgroup.com/images///tooI_kelvin1.pdf

[torero]

mrpaul, when using the tick charts, you have to monitor the time it takes to complete a bar. This is crucial. For example, on 100 tick, the bars should finished within 1 min or even quicker. Backtesting it I read the timeline below for clues to the pace of the action. But as I said, best way is to observe it live until you get an idea what pace is acceptable to get in.

[wrines]

Raul,
I have attached my chart from this morning. It is in TS.
15 minute, 5 minute, and 500 tick are used (which normally takes 1-2 minutes to complete a bar). This is exactly what I am talking about. The price pierces the high of the 9:30 15 min bar range at 9:31 but reverse right after a .70 gain, and drops almost 3 points before coming back again at 9:41. In hindsight, the better play would be to ignore that pierce of the high, and instead short the low of 770.70 - then there IS an easy and relatively quick point to be had. But again, HOW on earth do you know this as it happens? Thanks!
W

[wrines]

ok - here is the pic again - had to zip it

[Anna-Maria]

	Quote:	feb2865
	Time, patience and practice will make you master this strategy. Any strategy, method, etc, is made as a general fingerprint for all to see. You have to create your own twist on this or any strategy for that matter. As long as you don't considerably distort the heart of the strategy, or use it in some other markets like energies or softs, you'll be allrigth. The strategy was designed to make a quick buck(heavy loaded once you get experience) yes, but notice than once the market establish a direction off the breakout, most often than not keeps going that way, usually in the morning.

Good, sensible points!!

You certainly can't get much simpler than this strategy - no clutter, nice simple rules & good opportunities to compound profits with trailing stops after paring out initial profits (well, on the FX anyway).

I'm sure those who use it consistantly will find it very effective.

[Gav]

Monday was a good day for this strategy, look at 15-min chart of ES, since moved in the morning and fell asleep in the afternoon.

[Soultrader]

Been observing this strategy on the YM. It seems to be less effective on the YM compared to the ER2 or ES. Does anyone have any thoughts on this?

[wrines]

From my observation of this strategy on ER2 and YM, I have yet to see it be very effective at all on YM, and very effective on ER2 with a couple caveats.

On ER2, I set this up as a bracket trade as soon as I see what the 9:15-9:30 range is. The buy/sell on the breakout is an OCO order I set up in Ninja. One of the things I like about ninja trader is that is can be set up to then automatically manage a trade beforehand, and I have found it effective to use a setting where I have an initial 1 point stop loss and 5 point target, and then once there is .70 profit it moves the stop to entry +.20, and trails every +.70 (locking in .50 profit every step). Doing it this way has kept me out of losses on the reversals and yet locked in decent moves at the same time. Today, for example, we had a reversal but I was able to lock in 1 point before that.

It can be tough to manage if you cant do it automatically with something like Ninja, because the instrument reverses so rapidly you dont have time to adjust before a .70 profit becomes a loss...and insisting on a minimum 1 point gain can lead to a loss instead.

My .02 from experience this past week.

[torero]

Here's my observation from the day Raul gave us the seminar. That morning when he made the quick point on ER2, I noticed the market as already moving before the 9:30 bar was printed. When I say moving, the bid and ask was oscillating 1-2 ticks faster than normal (say 1-2 tick moves every 1 or 2 seconds vs. when it takes 2 or more seconds for bid/ask to move). These happen on days with gaps or news from 8:30 was still pouring over and ready to push into the 9:30 bar. Again, this is what I saw that day, I think Raul saw the pace already before I finally got in when the 9:30 happen. I watch the 9:15 bar carefully for pace before anything is committed. Just my observation.

This is also the reason why I asked him to be around so he can explain what we see. Without him to explain the pace, we have to observe it ourselves but better with him since he mastered that strategy already.