DAX Return to the mean : Centered Moving Average 256 TU (brown)
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I explain only for SELL position. The BUY is the same but inverted. We split each position into multiple units. The positions are build using inverted pyramidal structure. We build the position by "scaling in" UP TO the maximum size. (Not on top of the maximum). The maximum depends on account size, risk appetite and a few other things. 1. Initial signal. (If there is no open position) We SELL 1 unit when the current price is equal to the highest price for the current cycle AND the current time is below the mid cycle. (In our example before 12:00)...
This system has no edge. It simply adds to losses until it reverts back to the mean. You can go broke waiting for it to go back to the mean.
IF you used this trading bitcoin where is there is no defined cycle you would lose your money. Parabolic up and parabolic down.
You came here for the truth and let me unveil it for you
- #103
- Mar 12, 2018 9:24pm Mar 12, 2018 9:24pm
{quote} This system has no edge. It simply adds to losses until it reverts back to the mean. You can go broke waiting for it to go back to the mean. IF you used this trading bitcoin where is there is no defined cycle you would lose your money. Parabolic up and parabolic down.
- #107
- Mar 17, 2018 9:15pm Mar 17, 2018 9:15pm
- Joined Jun 2013 | Status: Master chaos and you master trading | 11,287 Posts
{quote} You answered your own questions! Of course that we need minimum range. This is part of the strategy but I left the details for next posts. (I can't write long posts now) After all we try to capture only 50%(max) of the range during the first half of the day. So for example if we have range 5 pips it does not make sense to open position because the maximum potential profit is only 2.5 pips. This is why in the second system layer I use sqrt(t) to determine optimal entry points. I have this calculation in graphical/visual form as well. I will...
Still waiting (as I'm sure others are) for your detailed approach to the above!
Masterrmind............
Master your Mind then Master your Trades
- #108
- Mar 18, 2018 9:54am Mar 18, 2018 9:54am
- Joined Aug 2010 | Status: Stare Into the Lights My Pretties! | 795 Posts
{quote} "This is why in the second system layer I use sqrt(t) to determine optimal entry points" Still waiting (as I'm sure others are) for your detailed approach to the above! Masterrmind............
You can calculate the projected volatility bands by yourself. It's very simple actually.
Take the 20 day ATR.
For each band/level divide the ATR value by the corresponding number from the standard Fibonacci sequence: 34, 21, 13, 8, 5, 3, 2.
Project the levels from the daily open price. For example the upper levels are calculated like this:
level_1=open+(atr/34)*sqrt(hour+1);
level_2=open+(atr/21)*sqrt(hour+1);
level_3=open+(atr/13)*sqrt(hour+1);
level_4=open+(atr/8)*sqrt(hour+1);
level_5=open+(atr/5)*sqrt(hour+1);
level_6=open+(atr/3)*sqrt(hour+1);
level_7=open+(atr/2)*sqrt(hour+1);
...................
The same is for the lower levels just use (open-).
I use these levels as filters in order to reduce the number of signals. This way I can scan 20-30 symbols.
For example I take contrarian positions only if the price is above level 4 or level 5. And the current time is before 12:00
Stop loss at level 6 or 7.
This is what the levels and signals look like:
- #110
- Mar 18, 2018 8:58pm Mar 18, 2018 8:58pm
- Joined Jun 2013 | Status: Master chaos and you master trading | 11,287 Posts
{quote} It's the "secret" sauce, you have to have patience
I'm not sure how your approach would survive an aggressive trending action by the market as it appears your only escape from a losing cycle is closing all trades at the end of the daily cycle by which time the losses could be rather large based on the trade dynamics and ultimately the sum of all trade outcomes and the daily range covered by the symbol at that time.
Another issue I see is defining the entry time of Trade 1, perhaps not so much the timing as to the movement in pips from the daily open price.
Most likely setting a minimum X%_ADR or minimum pip (eg 20 pips so that a 50% pullback still yields approx 10 pips) movement of the given symbol will resolve this easily enough. Sell Trade would consider High Price-Daily Open price whilst a long trade would consider Daily Open price-Low price.
What would be useful here is your trade entry setup (entry, SL-fixed or dynamic and TP-fixed or dynamic) examples showing both a hindsight and before the fact series of trades throughout a full daily cycle.
I'm assuming that for a daily cycle of trades that entered positions would oscillate between shorts and longs based on the PA and entry criteria of a given symbol.
An extention into multiple symbol trading comes to mind rather quickly and reminds me of the Quantum trading approach where short positions are opened as price breaks higher or long trades are opened as price breaks lower usually via candle close (any preferred TF).
Numerous entry criteria has been used to 'tame' the frequency of entries including but not limited to X_candles, X_pips, various other indicator parameters and many more.
Perhaps your approach might offer an effective exit strategy to 'control' the evil DD beast which surfaces from time to time and destroys an otherwise great equity curve.
As always it appears that one does not exit and only a very large account balance mated to very small position sizes and applying a hard exit strategy such as %Equity_SL may work over the longer term.
I currently see good and bad in your current approach and I know you have not yet revealed the entire strategy.
The good comes in the form of day end trade closures which provides a limit to the daily carnage if things start going pear shaped.
The bad comes in the form of having several trades open in the market and no real exit strategy if trend is strong and pullbacks are minimal (<50% first half or <25%/33% second half) and the entire cycle of trades could end in loss.
Nevertheless, I remain interested at this stage and look forward to your future posts.
ps. I hope you do not take my comments the wrong way, they do not mean to offend, not at all, rather I tell it as I see it using constructive criticism.
Masterrmind..............
Master your Mind then Master your Trades
- #112
- Mar 18, 2018 11:24pm Mar 18, 2018 11:24pm
- Joined Jun 2013 | Status: Master chaos and you master trading | 11,287 Posts
{quote} Masterrmind, trades are not left open till the end of the day: stop loss at level 6 or 7.
Quoting directly from Post 1 the Thread Op states:
"
3. Position Close.
If we have open position and the current time is before the mid cycle (12:00), then we look for correction to the mid range. (50% retracement from the high)
If the current time is after 12.00, then we look for 25% retracement from the high.
In the second layer we are going to add more precise and continuous calculation using nonlinear formula. For now it's not necessary.
Regardless of the outcome during the trading cycle, ALL positions are closed at the end of the cycle. I our example at 00:00 or at 23:00."
Perhaps clarification is needed.
Masterrmind.............
Master your Mind then Master your Trades
- #116
- Mar 19, 2018 9:47pm Mar 19, 2018 9:47pm
- Joined May 2008 | Status: Trader | 1,158 Posts
{quote} That is for contrarian trades what about the 'standard' type trades.
buy when price drops through level 4 and 5 below the median.
- #117
- Mar 20, 2018 1:41am Mar 20, 2018 1:41am
- Joined Jun 2013 | Status: Master chaos and you master trading | 11,287 Posts
Master your Mind then Master your Trades
{quote} It's the "secret" sauce, you have to have patience
thank you for this nice thread. may you give one example of this description? may you provide the indicator of the picture above? is there the calculation due to the ATR ?
Best Hundsbua