Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.


Crude Oil Trading Results and "Dead Time"

Recommended Posts

I've been trading CL using SST since it came out in August. I've been trying various iterations of a "trade plan" using UTA as my analysis tool. I'm not the most confident of traders no matter what system I used. But in looking at both live trade results and backtesting (I'm a LOT more "confident" in backtesting! :)) I've noticed something and I really need to know if it's just me or if there is "something" there.


Here it is: whether it's live trading or backtesting, I get poor/crappy results from the 0912 to 0930 time interval (exchange time). Whether I lock in one tick at MM or use the Channels as my stop, I just don't produce positive results. In one testing scenario, I actually have a winning percent number for that time period, but negative Net$!


Admittedly, this may be due to my temerity in trading and adjusting my entries; I'm not as "nerveless" as TJ and others! But even in my recent backtesting where I don't move my stop to BE at MM as aggressively as before, I still end up with that time period as a net money loser.


Does anyone else see this in their data? What's hurting me is that even though I'm no longer trading that time window, I'm still counting winners during this period towards POQ. It's been realt tough this week since if I didn't count them torwards POQ, I could have been more profitable than I am. But I want to make sure it's not just me and that others are seeing it before I commit to not counting these towards POQ.



Share this post

Link to post
Share on other sites

I've probably done more backtesting of CL with the SST than anyone (with the only possible exception being TJ himself). You are correct in seeing that the time period immediately before the stock market opening does not have results as profitable as other time periods. I believe it is because a setup may occur because of what crude oil is doing, however once the stock market opens crude oil follow stocks for a while and that can cause the CL setup to follow stocks instead of its own setup. Just my thought. ??


I don't have my trading computer with my UTA with me today and I need to cut this short as I need to help family members move to a new house this morning. But I saw your message and wanted to give at least some input.


I am in the training room and I take all CL 377 trades (except I don't go against an extremely oversold/overbought market as determined by the Netpicks MACD). I don't want to step in front of a moving train!


My POQ is 2 wins and Positive or I stop with 3 wins, whichever comes first.


If you'd like to ask me anything my email is: jon@foxstamp.com I'd be happy to help in any way.


Good Luck


Jon Zeininger

Share this post

Link to post
Share on other sites

Time based charts can have dead zones. Tick based charts are designed to alleviate this problem. A 1597 tick chart would complete one bar every 1597 ticks. A 60 minute bar chart would complete one bar every 60 minutes.

Share this post

Link to post
Share on other sites

Thanks for starting this thread Karl. It is very satisfying to see that there are traders out there using the UTA in the way it was intended AND deriving valuable information out of their trade data as a result. I have included a screen shot of the TimeofDay Summary studies that are a part of UTA so that those reading this thread can actually see what we are talking about. The yellow fields are where you can type in a particular time and the following fields autmatically adjust to create the 'time window.' I put a few more screenshots up just so that everyone can see the same thing I am seeing in relationship to this thread.


Since the SST came out, following the tradeplan(s) as posted on the Owner's Club webpage (there are two variations for the 377 tick), I too am seeing a negative result during the time period you are referring to. Whereas 8:50 to 9:12 we have enjoyed 68.5% winners, the next 18 minutes the win rate dropped considerably, as did the net result.


While Foxstamp has an interesting theory, I can't say for sure why this is happening. I will say though that there really is not enough data during that time peroid to come up with any longer term conclusions. The jury is still out even if it is not looking good at the moment.


There were a total of 59 trades during that time period. Remember, we are entering two positions for each trade and the UTA sees each position as an individual trade. You have to keep that in mind when you are looking at the numbers. So while it appears there were 118 trades, you really need to divide that number in half. From what I have learned during my use of the UTA is that you really need anywhere from 75 to 150 trades to establish somewhat reliable stability in your data. So for that reason, I would say the jury is still out.


I went back and looked at my 610 tick trade data from last year, end of Sept to end of Jan 2009. This was the actual trade data that I used to develop the SST. During that time, the 9:12 to 9:30 time window produced 96.4% winners! BUT, there were only 27 trades during that window. Also, it was a 610 tick and not the 377. Karl, perhaps you might want to look at the 610 but it is ironic that the losingest time period lately for the 377 was the winningest time period a year earlier, for the 610 tick.


A couple more comments: First, based on the current 377 evidence, it seems to me it would pay to avoid trades during that time period. I would go back and backtest it. Let the results of your backtest tell you whether you should use any winning trades during that time window towards your quitting goals (poq, 'power of quitting') or not. I suspect that if you have a plan that does not include that window, not applying them to your quitting goals feels right to me. Just a hunch though and I could be wrong. What is the edge of your tradeplan? If it doesn't include that window of time, then why include it in your quitting goals unless you can prove you need to.


Second, take a look at the attached equity curve. Notice how flat the equity was from about mid Oct. to mid Nov. We really could not get any traction during that time range yet the equity still managed to hang out near to its high water mark levels before finally breaking out to the upside in a big way. Maybe go back and look at the trade data to how many trades during the 9:12 to 9:30 'dead zone' affected that sideways action in the equity curve. Remember, with UTA you can easily look at different sub sections of your data using the Enter Rows feature, A23 and A25.


For those who don't have UTA, I can tell you this. During that sideways equity curve, the winniest window of time, 8:50 to 9:12, produced a 58.3% win rate while the losingest window, 9:12 to 9:30, produced 100% winners! Huh? Lol.. I don't mean to befuddle you with this information but it says to me that markets have the tendency to phase shift and sometimes a period of time will underproduce for a while. Then a phase shift will occur and the underproducing time will catch up and begin to over produce while another time will begin to underproduce. Understand the metaphor? The markets are infinitely challenging! Paying attention to phase shifting will help you interpret price action in a different kind of way.


As an old musician (drummer) I actually did learn something from my guitar player friends when they connected all their electronic gadgets to their electric guitars. I just didn't realize what I had learned until I started noticing this 'phase shifting' phenomenon within market price action. lol.. See if after another 40 to 60 trades +/-, the 9:12 to 9:30 stats remain what they are, or not. By then, there should be enough data to be able to cautiously hang your hat on.





Share this post

Link to post
Share on other sites

Hi guys,


Here we are over a year later and I did my back test on the UTA using Trend Jumper and lo and behold I too found this period of under performance on my dataset from August 2012 to December 2012 using a 377 tick chart.


Interesting comment about the phase shift and the 610 tick chart not having this issue.


Also the flat spot on the equity curve calls for a reversal system. The TJ is a continuation system and it may benefit from a system that can offset it in those times when that may be advantageous. I am working on one.


My live trades are doing well now and I have started to produce my own upsloping equity curve.

Share this post

Link to post
Share on other sites

Ha, Funny! I haven't been on this forum in too long a time, which isn't meant as a commentary of what I feel about this forum because I think it's great, but I have been a bit preoccupied with other projects. Nice to see Wout coming in here and reviving what could and should be an important thread.


I'm sure many on this forum aren't too familir with Trend Jumper but just to respond to Wout's comment about needing a reversal setup, I would just suggest using the crossover trade and turning off the ema filter on that setup. Team it up with some sort of overbought/oversold indicator like the OSOB that comes with SST or some other histogram, like what Foxstamp suggested. His use of the MACD with the custom settings could work well, or a number of others. That would give you your reversal setups when the odds are at their best. Trend Jumper does have that ability but you have to move beyond the vanilla training which is meant to cater to a wide range of trader skill levels, as far as a training program goes. Also, you could use my idea where I just measure the distance between the EMAs in relation to the Jumpline and the price combined with good 'ole fashion chart pattern recognition; failed swinghighs/lows, the rolling over the EMAs a la Trend Jumper, etc..



Share this post

Link to post
Share on other sites

Create an account or sign in to comment

You need to be a member in order to leave a comment

Create an account

Sign up for a new account in our community. It's easy!

Register a new account

Sign in

Already have an account? Sign in here.

Sign In Now

  • Topics

  • Posts

    • Actions for the 22nd.  I seem to be on a bad run, I'm really struggling with the opening minutes of the trades I'm taking and then get sucked into a little over trading.
    •   Date : 23rd January 2019.

      MACRO EVENTS & NEWS OF 23rd January 2019.

      FX News Today 10-year Treasury yields are down from overnight highs, but still up 0.7 bp at 2.746%, and 10-year JGB yields climbed 0.8 bp to -0.004%. Stock markets remained cautious during the Asian session. The Bank of Japan held policy steady, as expected, while further reducing its outlook for inflation. The resulting weakness in the Yen didn’t help stock markets and Topix and Nikkei dropped -0.60% and -0.14% respectively. The Hang Seng is also down -0.04%, despite mainland China markets initially moving higher as China’s central bank pumped liquidity into the banking system once again. Still, the measures are also a sign that officials are nervous about the slowdown in the economy and CSI 300 and Shanghai Comp are down -0.24% and -0.13%. The bank offered around 258 bln Yuan (USD 38 bln) to banks through its medium term lending tool. Markets continue to question the progress in the US-Sino trade talks, even though White House adviser Lawrence Kudlow said that the trade talks are still on and the story about cancelled preparatory meetings was “not true, there was never any meeting. We are moving toward negotiations.” The negotiations next week will be “very, very important” and “determinative”. Meanwhile, there are the first signs of a possible way out of the US government shutdown. Markets remain easily spooked, but appear to have already priced in a lot of risk last year and US stock futures are moving higher after yesterday’s sell off. Oil prices are trading at USD 53.27 per barrel. Charts of the Day

      Main Macro Events Today Canadian Retail Sales – After Wholesale Sales plummeted yesterday, Canadian Retail Sales are expected to have also declined by 0.4% m/m, with core Retail Sales (ex autos) expected to have declined by 0.6%. World Economic Forum at Davos –The second day of the WEF annual meetings held in Davos and attended by officials from over 90 countries. Comments from central bankers and other influential officials can create significant market volatility. Richmond Manufacturing Index – Expectations – The index is expected to have remained at a sub-zero level, standing at -2 after the -8 in the December release. Support and Resistance Levels

      Always trade with strict risk management. Your capital is the single most important aspect of your trading business.

      Please note that times displayed based on local time zone and are from time of writing this report.

      Click HERE to access the full HotForex Economic calendar.

      Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding on how markets work. Click HERE to register for FREE!

      Click HERE to READ more Market news.

      Dr Nektarios Michail
      Market Analyst

      Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in FX and CFDs products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • USDJPY Eyes The 109.88 Resistance Zone And Beyond USDJPY eyes the 109.88 resistance zone beyond as it looks to resume its upside pressure. On the upside, resistance comes in at 110.00 level. A turn above here will turn attention to the 110.50 level. Further out, we expect a possible move towards the 111.00 level if the earlier resistance is invalidated out. The next resistance resides at the 111.50. Its daily RSI is bullish and pointing higher suggesting further strength. On the downside, support comes in at the 109.50 level where a break will target the 109.00 level. Below that level will turn focus to the 108.50 level and then lower the 108.00 level. On the whole, USDJPY faces further upside pressure on corrective recovery.  
    • $AVGR (AVGR) Avinger stock strong day w/ bottom breakout watch above 0.38,

      analysis https://stockconsultant.com/?AVGR
    • AUDUSD Weakens On Further Pullback Threats.  AUDUSD weakens on further pullback threats as it saw price extension during early trading on Tuesday. On the upside, resistance stands at the 1.7200 level. A cut through here will turn attention to the 0.7250 level and then the 0.7300 level. A violation will set the stage for a retarget of the 0.7350 level. Support resides at the 0.7100 level where a breach will aim at the 0.7050 level. Below here will set the stage for a run at the 0.7000 level with a cut through here targeting further downside pressure towards the 0.6950 level. On the whole, AUDUSD faces further downside threats.

Important Information

By using this site, you agree to our Terms of Use.