[SIUYA]

If I may comment....good comments iwshares.....
and all of this is just personal opinion

Many years ago I could not get past the issues with MAs and in much the same way worked out for me at least visually spotting the high and low swings worked best.....unfortunately these are always really lagging, but they do seem to give for me a better perspective on changing market moves. I also have found that range bars give a clearer picture of this - however in testing in some backtests it appears that using a roughly equivalent time bar - eg; for me a 5min bar in FX equates to a 10 pt range bar - depending on the currency, and this is also a moveable feast - that the time based bars actually might test better in hindsight.....non the less I stick with visually spotting my swings by and large. (when you have a 80-100 pt range in a day and 50 of that occurs in 5 mins which does happen it can be an issue)

Originally Posted by iwshares »

I find with the standard settings on average 2-5 setups form each day. If a strong intraday trend develops I generally have two opportunities to enter depending on when it starts. By taking all the entry signals I'm given this sometimes means I can gain more from a trend without risking too much equity on the first entry, though I always think of each trade in terms of its individual risk/return.

This is an important point as ideally it does allow you to pyramid - and can build quite large positions (if not closing out) as you are mentally only really risking a small amount each time - leaving open PL on the table is not an issue once a real trend develops. This also seems to work quite well with manually moving stops via visual swings and lows.....with the aim being not to get stopped out at break even too often, but instead to get as many trades on as possible when a trend develops. It can be very frustrating at times, but once on board, very rewarding.

Originally Posted by iwshares »

If a price is trading in a range, perhaps after a strong move the previous day I'm often stopped out on all those setups. Something to consider trying, which I looked at but decided not to use, is if you find yourself stopped out frequently you could add another longer term moving average e.g. 63 MA and not take any setups unless the long EMA is below the medium and short (for longs) or above the medium and short (for shorts).

Another thing to consider is filtering intraday entries based on either greater risk/return of exclusively short or long trades (need quite a lot of testing to determine this). You could alternatively take entries in line with the daily (or any longer timeframe) trend, again you'll need to do quite a bit of testing.

there are many other ideas as well and ideally as mentioned by zdo - they are system specific and everything ends up being a trade off between being not on a trade, missing out on capturing open pl, win v loss ratios etc; etc; Much depends on what you are trying to achieve and how comfortable you are running positions etc; etc;

Ideas as extra food for thought.
- rather than use MAs, use the mid lines of the donchian channels. These also give a feel for 50% retacements and often are flatter than a MA. Ultimately they often get you out at a similar spot but seem less jittery
- after a strong move, dont take the first trade, look for a small loosing trade first, or
- after a strong move only then apply a filter
- personally i like to just trade with the trend that already exists in my framework as it makes it easier
- modify your entries dependant on what is happening - eg; if the instrument rallies into strong resistance in a down trend, do you have a sell limit order sitting right at resistance just in case, do you wait for a resumption of the trend down before entering, do you wait for the MA to cross.....again all personal preferences that work for you.....the idea being to capture the next move down with as little risk as possible per trade.
- do you think a an instrument such as FX trades the same way as a commodity, or a share index.....forget about a system needs to be robust.....think about more that a system needs to make money, and I can live with that system.
- take into account the rumpled ones idea of only taking a trade in the top/bottom 20 pips of the day.

Originally Posted by iwshares »

N.b. I know this sounds like the classic "I'm improving a working system syndrome" trader line! In back testing I found I was happy with the number of setups versus the return so stuck to the simplicity of the two EMA with StochRSI confirmation and focussed on working on my own exit strategy.

I'd be interested to hear how things go for you, I appreciate how long it can take to back and forward test a strategy.

so what....there are lots of ways to skin a cat, and you have to do what works for you.....especially when it comes to discretionary trading.

[NeoTrader]

Originally Posted by iwshares »

Hi Neotrader,

I'd be interested to know how many setups form during your trading day, how long a period do you trade for, do you focus on one pair or several like I do with the daily chart watching (though I'm not actively trading the longterm setups)?


N.b. I know this sounds like the classic "I'm improving a working system syndrome" trader line! In back testing I found I was happy with the number of setups versus the return so stuck to the simplicity of the two EMA with StochRSI confirmation and focussed on working on my own exit strategy.

I'd be interested to hear how things go for you, I appreciate how long it can take to back and forward test a strategy.

As of right now I only trade on the daily. I haven't done enough testing itra-day to start pulling the trigger on that time frame.

I too am sticking with just the EMAs and the StochRSI. I also will draw in levels of support and resistance that I see to look for levels of confluence. Ultimately I'd like to be able to ditch the EMAs and such and be able to read the price naked.

"Fixing" a working system is also a concern. I have seen, heard, and read about all the pitfalls of taking a system and trying to force it to fit your biases and comforts, so I am very wary to fiddle with things too much. Like you I am just going to focus on taking all my setups, sticking to my stops, and focusing on making good exits.

Some weeks its more of a struggle than others. As we all know a range-bound market is death to a trend following method but I worry about applying filters. I believe you start eroding the effectiveness of the system and begin missing moves that would otherwise keep your expectancy up.

As for instruments, I focus on just 1 or 2 currencies and I trade spot. Don't have capital for futures.

Some day....

[zosorock]

Originally Posted by JTurner77 »

ZOS:

I am definitely not OT, but my understanding is that you are correct based on my charts/indicators.

Cool, thanks! I thought so. I have been forward and back testing the system for a month now and the results are pretty good if you exercise good risk management.

Originally Posted by JTurner77 »

I am curious to know how you all view cotton, wheat, corn and beans under the rules of this system. They all triggered sell signals on 12/29 or 12/30 but the next day's low either equaled the signal day low or fell just short of the low.

The markets then rallied again and the stockRSI setting did not climb to 100, but did rise once again and is now beginning to tick down. Are these simply "pass" trades?

I was wondering about these too. I noticed that if the price crosses the "trigger price" before hitting the "stop price" it is usually still a good entry as well, although normally not as good as a textbook signal (meaning there is a higher failure rate on these). It is a deviation from the system though so, as tempting as they might be, at least on this thread it may be better to stay with just the ones the match all the system's criteria for the sake of consistency.

[zosorock]

Originally Posted by iwshares »

Hi Neotrader,

For simplicity I've attached a chart of the daily EUR/USD as it's quite clear to show my trailing stop system. A short entry is marked along with the initial stop and two possible exits. As price makes each lower high marked with H move your stop down to 1 pip above the high. With this system entry was at 1.3591, stop 1.3816 - profit 712 pips or 2.8 R. Trailing the EMA would have taken you out at pips for 475 pips or 2.1 R.

Hi iwshares,

Thanks for taking the time to post this. I have tried something very similar to it but I use the swing highs (for shorts) plus 10% of the range of the last 10 bars, in other words 0.1 * ATR(10)

That has proved to be effective as it avoids most stop-hunting at these levels.

[SIUYA]

Originally Posted by NeoTrader »

I believe you start eroding the effectiveness of the system and begin missing moves that would otherwise keep your expectancy up.

actually you dont.....you just end up with a different system.......the key is developing a system for you - that you can live with, based on underlying philosophy and ideas that work/make sense and are generally universal.
Everything becomes a trade off - from which MA, which X days, which number of filters to which filter.....the question is three fold (maybe more) - does this change make sense, and does this change make more money, and WHEN does this change perform best......

all tires are round, some are built for driving on snow, some gravel.....some for trucks, bikes, buses......

[optiontimer]

How is everyone?

I've been exploring a different path for the last few months, and a new project has come to mind. It may be a suitable subject/project for a new thread.

I'm not ready to say much right now, but a suitable title for this potential project/discussion thread might be "Leptokurtosis," or perhaps, "Timing Leptokurtosis." Even more accurately "Exploiting Leptokurtosis through Timing and Bet Size" - in other words, something entirely too pretentious and academic to attract much interest.

-optiontimer

[SIUYA]

I had to look up Leptokurtosis
It sounds like a skin rash.

I have been out of the markets lately as I moved, but just starting to edge my way back into it last week with some training drills.
Interestingly enough one of the things I have been looking at/thinking about is varying bet sizes slightly for what I have been building on....so it will be interesting if you start another project. If I could add anything as far as ideas, thoughts then happy to do so as you do have a great way of describing and explaining things.

I would say, that ultimately a lot may end up looking the same from the point of view - ultimately we are looking to build the biggest positions possible with the smallest risk possible to capture the largest gains possible.....how to do that is the many and varied road.

From an option trading point of view once you start looking at fat tails and/or Leptokurtosis (if my reading of what it is is correct) then it would be interesting.....and yes I prefer the dumbing down of statistical ideas into lay mans terms too

[optiontimer]

Originally Posted by SIUYA »

... ultimately we are looking to build the biggest positions possible with the smallest risk possible to capture the largest gains possible.....how to do that is the many and varied road...

You and I are on the exact same page ... it is all a matter of how much does it cost me if I am wrong versus how much I can win if I am right.



OT