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Everything posted by Phil-n-Texas

  1. pre-market i look at market profile and initial balance for first 60 min. after mkt open... also long term volume distribution (180 days) for support and resistance. internals: advance-decliners up-down volume pivots also using rangebars adjusted for volitility makes it easy to see trend (HH/LL) or consolidation, S/R levels, and patterns (flags, triangles, etc.)... where the close is at 60 mins. in relationship to open is often a good indicator of possible continuing trend towards close... YMMV
  2. yes, i've done the wrong button thing... however, my story has to do with slippage... no, not the kinda from filling pants after hitting the wrong button :-) several times i've had the good kind of slippage where the market will actually move fast enough that it will jump my profit limit order and i'll get an extrat tick or maybe two??? a few weeks back i was in a scalp trade on GC gold for 5 ticks and it took off so hard i got 20 ticks... couldn't believe it.
  3. Gordon, i posted port-sim equity curve in this thread... as for real trade the curve is actually better as OT trade-plans are hosed on scale-in/out at mkt open/close... yes, i have a luv/hate relationship with OT and the trade-plans issue in this regard is really a major screw-up on their part... they know about it and have yet to address it... there is quite a lengthy thread on the OT Pro forum and a bunch of us have piled on but it has not been fixed.... I'm hoping some of them make it to the trader expo here in Dallas so I can hit Ed up about it directly... anywho... so basically i end up manually doing the scale in based on actual rules of buying and selling @ mkt close... so whenever i'm testing i can figure that the results in real trading will be as good or better. YMMV the vote-line config is all done in "strategy voting"...
  4. Portfolio simulation using various allocation methods and backtest 5 years (1250 days). signals only with BTHR >= 85 Fixed trade size = 100 shares % of Equity = 5% Fixed $ amount = $1000 Fixed Risk = 2% with 1 ATR(50) stop loss
  5. re: discussion on backtest sample... here's the latest on my list of 20 ETF's running 7 strategies per Connors... this is set for backtest of 5 years and i've marked arrows for backtest hit-rate(BTHR) and backtest number of trades(BTN)... since the strategies are dependent on the SMA(200) i had to adjust the backtest range such that there was enough data to plot and calculate the SMA(200)... some ETFs have far more data than 5 years but some do not so I am using a setting that will address all of the ETFs on the list. symbols with zero's are those that didn't make the threshold settings for hit-rate over backtest period. note that for EWZ the BTHR shows only 84... this is for the combined BTHR for all strategies >= 85 BTHR... reason it is below threshold is that individually the strategies meet the threshold but combined they do not because of one or the other being "in-trade"... a bit confusing but not really if you've worked with the voting matrix in OT and understand how it works...
  6. JSW... thanks for the article... I'm a big fan of Connors and coded up his 7 strategies for ETFs in Omnitrader Pro... i've been running them for about a year now with excellent results. however, i'm curious about your choice of $1000 catastrophic stop loss on the ES. Connors dedicates chapter 6 in the book you reference about stop losses and presents a case for not using them. Connors was going to speak at a local trading organization meeting last month and I had planned on asking him directly about this while providing a few examples of some pretty serious losses that would no doubt wipe out a smaller account considering position sizing limitations. the Q&A never happened as i was unable to attend the meeting and as it turned out neither was he. fwiw, one thing i did do within my 7 ETF strategies was to add an additional filter to only allow signals on strategies that backtested over 7 years with hit rate >= 85. additionally within those strategies that meet that threshold they are ranked by profit per trade. you should see the equity curve:cool: back to your example: i have been hesitant to use the RSI strategy variations with futures and holding overnight because of the drawdown issue. Again, just curious about how you came to use $1000 catastrophic loss. Also, what account size and lot size are you using in your backtesting? for example, i could see where a $10K account trading 1 contract with the $1K stop loss could possibly play out w/o blowing up an account. Thanks, -phil
  7. interesting topic but having a hard time following all the acronym jargon... perhaps a legend would help? I've been a student of MP for quite awhile and can't get it right... OTF, OTD, etc.??? that aside, i mainly look at MP in multiple timeframes and key in on confluence areas such as fibonacci levels, trend lines, and pivots for "reaction areas". as for Time and Sales, using ES as an example, i will have 2 or 3 T&S windows open with different filters... one with 3 or less lots, the next with 4 to 39 lots, and the the last with 40 and up lots.... too me these filters help parse the activity between retail and commercial traders... Mainly I'll watch the the activity in the smaller lot sizes and then if there are some prints on the > 40 window that signals that the larger players are getting on board... especially if they start showing up in triple digits.... same with exits... if i see a large print against my trade and i'm in the money, the big dogs are leaving the party so i'll go ahead and exit or tighten stops. just my
  8. Fib retracement tool and understanding of HH/HL and LH/LL for market flow analysis to identify trend and swings.
  9. great post Tim... and while it's true that anyone that's serious about trading should understand this as a one of the 101 basics, for some it may be "missed" or dismissed as important. as for me order type / trade plans are an essential component of my methodology... my risk management is all tied into scaling in and out of trades, etc. i might just throw in a little tidbit that i try to follow when using limit orders for entries using the ES as an example... I always try to place my limit order to the nearest .25 or .75 tick as price tends to reach the even numbers... this one little thing helped improve my fills significantly. actually i also do that on my exit targets as well... 25s and 75s...
  10. Maelstrom, i've been away for awhile but since last visiting here am now using range bars in addition to my tick and time based charts... fwiw, i found this video that presents some ideas on range bar entry techniques. Learn How to Trade Range Bar Patterns - Trader Kingdom this caught my attention and i thought it worth sharing as he emphasizes the importance of qualifying / confirming with patterns which you know I'm an advocate of... have really been on a roll, up net 67% since Oct. 1... best regards... -phil
  11. early on when i was first introduced to candlesticks and T/A a trading mentor/buddy of mine used the analogy of each candle was like its own little football game between the bulls and the bears.
  12. I use a fixed risk stop loss method that sizes my position based on volatility and available trading capital. As long as I have an edge in my trading strategy and consistently apply the rules, etc. I will be profitable. I calculate my baseline stops and targets based on ADR... For trades that show potential for larger moves, I'll scale out half at 1:1 and move stop to break even for the balance. Sometimes it'll be less than 1:1 if there's clearly resistance prior to reaching that ratio... but usually I won't even get into the trade if I'm not reasonably sure I can hit the 1:1 and then get breakeven / reduced risk for the balance. Depending on the number of contracts I'm trading the 2nd half exits on a specific target based on ADR and/or a fib level, pivot, or some resistance level... if the ADR calculation is confluent with any of these then all the better. if there are multiple contracts in the 2nd half of the order i will sometimes exit half of what's left per above and then trail stop the balance. if i do things this way i seldom end up with a winning trade turning into a losing trade which is the worst IMO. anyway, if i look for the right setups that allow me to do all the above, i'm usually limited to 3 or 4 trades a day at the most but often it's less than that. I only want to be in the market when the conditions are right because the more I'm in the market the more my capital is at risk. Ideally I get it right in the morning and if I have a good one off the bat, I'll just call it a day.
  13. Q: How do you decide on the chart time frame/# of ticks per bar?


    A: I use a deductive method starting with the biggest and work down from there... I'm using thinkorswim so the tick chart values are predetermined and fixed but they're very usable... I mainly use the 3200, 1600, and 400.


    in conclusion... this is just the way i do it and have devised after many years of trial and error and also gleaning lots of tips and tricks from other traders, reading books, and mega hours or gazing at charts....

    in a lot of ways it's similar to what Maelstrom is doing with HH/HL or LL/LH flow analysis... sometimes i get it right and sometimes i don't... with solid risk management all i have to be is right most of the time.


    here are some previous posts on Maelstrom's thread that detail a typical day for me trading the ES.







    123 thru 130

    193 thru 195


    good luck



  14. Q: Which markets (instruments) are your bread and butter?


    A: the ES for my days pay daytrading... i know it the best... for my retirement stuff I use a suite of swing strategies i created in Omnitrader Pro designed specifically around 20 ETF's that cover a broad range of sectors and a commodoties.... it's an ATM machine and very low maintenance... i just run my data about 20 min. before market close and go from there... most trades last anywhere from 3 - 5 days... sometimes more or less but that's about average.

  15. using an example of 4 contracts taking 2 off pretty quickly (just below swing high or a close above SMA(5), or maybe an overbought signal on an oscillator such as RSI or CCI) and moving stop loss up to half what it was or just a tick or two below nearest support or swing low... again subjective depending on the circumstances... then take off 1 contract if it hits the 23.6% extention of the measured swing on entry.... that leaves a balance of 1 contract to trail or set to full 100% extension of pattern or measurement of trade swing... again subjective on trailing method... sometimes i'll use micro swing lows (1600 or 400 tick chart), or a 1.5 ATR(5) trail or a a tick or two below an MA like the 5 or 20.... also i'll look at pivots, or key market levels like the open, yesterdays OHLC levels and also globex AH levels HL... major MA's like the 20, 50, 200... trend-line support/resistance... etc.

  16. Q: Could you elaborate more on your entry and exit levels?


    A: both are subjective but once a setup is in place i like got get in on a good pullback using a limit order... if the pullback is in the 40 - 50% retrace then i just set the limit order to a .25 or .75 tick depending on which is closest to the ideal level... this increases odds that order will be filled since the MM's usually will take it to the whole number or .50. I generally use the 1600 or 400 tick chart to pinpoint best entry but not always. exit depends on a lot of factors but if i believe the strength of the setup is good and go in with a full position then i scale out. i trade in increments of 2 contracts,...

  17. i'm kind of a tight-wad when it comes to spending $$ and if i can get the job done using free stuff well that's what i'm gonna do... so i use TOS(thinkorswim) and then IB(Interactive Brokers TWS / booktrader DOM tool) to execute and manage the day-trades... also the data feed on Interactive Brokers is way faster than TOS... so i use some of the IB internals over TOS cuz TOS often lags too much.


    but really, i've put enough up there that one can pretty much figure out what i'm doing...

    doesn't necessarily mean it'll work for you or anybody else so maybe it's not really all that wise for me to be putting this stuff out there anyway...


    but here's my best shot at answering your questions...

  18. hi Jon...


    i tried to answer via PM and the system is rejecting it cuz it's too long... so i'll try chopping it into parts...


    hi Jon... i'll try to answer your Q's but am gonna take a bit of a break going forward.... just got too many plates in the air in real life...


    really the only reason i was posting my trades on M's thread is that I saw a lot of similarities in our respective methods and thought maybe not everyone is using a platform that has range bars... my thinking is that one can still trade the "idea" on tick or time based charts...

  19. final target hit (1289.75) and out last 1/4 position... and can't believe they didn't stop run this below 1285 to my 1284.75 stop loss... missed it by a tick reversing right at 1285... even if it had taken out my final 1/4 position i had already banked a good profit because of scaling out.
  20. here's the trade this a.m. on ES 3200 tick... i actually used the 1600 tick to time entry... 1/2 off then 1/2 of what's left and remaining is either going to hit target (1290ish) or stop out at 1284.75. market be testing the 200MA again... this time though has broken out of mid-term a-fork support and and below 150MA on the daily... round-n-round she goes...
  21. thought i would post today's trade on 3200 tick chart as it was a textbook example of consolidation breakout.... sell the breakout, and reload on the retrace to the b/o TL which was confluent with 50% fib retracement of breakout swing... all aided by predictable (favorable) jobless claims and housing starts reports... notice momentum beginning to build around 10:00(EST) reads 9:00 on my chart... note that the b/o happened about 2/3 of the way into the triangle pattern which is best... i like to lay and wait like a spider for these setups.... also, earlier in the thread there was some discussion about chart size... i'll just add that bigger charts can often produce bigger gains if you're on the right side of the trade... a lot of the time the smaller charts are just too noisy... i use to say it was like running 90mph with hair on fire... for my personality, i prefer to wait for the best setup and make one good trade in the morning and call it a day. happy trails...
  22. video example... just hangs... been like this for awhile now... 2011-07-28_1025 - BBQ-pHiL's library
  23. post mortem... never made it to 100% extension target... final 1/4 of position got stopped out @ 1324.50 on the trail stop. i guess another take on the pattern could've been the C&H or W... if one were to trade it as such then the measured move for the latter patterns was likely hit depending on how a trader would measure the pattern.... e.g. from the bottom of the handle or W to the b/o line... this chart has the extension re-drawn using the more conservative measurement of the handle or W. also, on the flip side of things there was a potential short just after lunch when it reversed and broke below the fork mid-line... that swing was a perfect 50% retrace with a high probability of at least going back to the original b/o line... which it did and then some... but i was not able to catch any of that as i wasn't able to trade this afternoon.... even if i was, a lot of the time i opt to not trade in the afternoons or during lunch hour.
  24. gotta breakout here and made another another 1.5 pts. on 1/2 of position... just hit fib extension and remainder is trailing.... possible longer extension target around 1335 for pattern (wedge/triangle) extension but I'm inclined to be a little more conservative and keep it inside the upper fork boundry around 1330 less a tick or two but will trail using micro swing lows. that's all for today... gotta take my daughter to dr. appt...
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