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Staying In My Lane - A Read-Only Journ(al/ey)

  • #81
  • Edited 7:47pm Jan 31, 2019 4:30am | Edited 7:47pm
My first research project outlined few days back on this thread is now complete.

Problem Statement: How to catch a trend at the base and exit at the end
(Example: if open of candle is considered base of trend, then "tip of wick" if where we want to exit the trend from point A to point B)
(Example: if NYSE session start is considered base of trend, then we want to exit at the session highs and lows to exit the trend

Not perfect but mission accomplished. This discovery was part of my OC Oscillator design but this oscillator is no longer required. Just the OC framework should complete ANY puzzle of trading any style across any market condition. It is simple, elegant and truly Universal and Market Neutral in nature just like everything around us. It supports the laws of nature, laws of averages, laws of large numbers, law of harmonics, law of gravity, law of whatever tickles your fancy... it's all embedded in it's design.
Staying in my lane...
  • #82
  • Edited 7:48pm Jan 31, 2019 3:17pm | Edited 7:48pm
Time to tackle EXITS !!!

Divergence - Exits work well as a daily goal of xx Ticks or Time-based exits. No TP is required for this style
Reversion - Exits are more crucial as we are expecting reversals or counter-trading. StopLoss is crucial, quick movetoBE is crucial and TP is also crucial with this style of trading. StopLoss settings is working fine. MoveToBE: Either trail to BE or use the BE offset but requires some more testing TP: This is unknown at this point. No idea what I will do with TP but have some ideas to explore. Most likely, TP needs to be what towards my daily goal.

Before I deal with the SL, BE and TP tripod, I need to explore one more hybrid option of splitting the session/OC into both styles and confirm if there is any merit to my observation of Divergence followed by Reversion Technique. I need a trigger or manual switch is also acceptable for now.

I have until this weekend to finalize my trade plan! This shit has to get real soon.
Staying in my lane...
  • #83
  • Jan 31, 2019 8:00pm Jan 31, 2019 8:00pm
To speed up, Time to merge both Divergence and Reversion frameworks into a single study collection which will be my master setup broken down into the following actions for ease of use.

Design aspects:

 

  1. Quick ease of selection. If markets are trending, select Divergence "template". If markets are done with trending or going nowhere, select Reversion "Template".
  2. Quick ease of selection on direction - Long only, Short only or Long and Short
  3. StopLoss setup - this must be universal and same for all trading styles. This is required to maintain consistency. Risk must be constant throughout the journey. Possible? not sure but we will see
  4. MoveToBE - I would like to stay away from this but TBD for now.
  5. TP - This will vary between Divergence and Reversion. No point in forcing my own goals on the market if the conditions are not right. Take profit and run with it at the least amount of time and effort is what my primary goal is BUT not to leave too much on the table is also a very important objective for me to factor in.
  6. Underlying framework, tools, indicators, chart types, drawings, color etc - stays fixed for all market conditions. No more playing around. Note to Self: Investigate how to hide studies quickly to take screenshots or video recordings
  7. Design my jive well with my manual trading frustrations. no more chart flipping or changing stuff in the middle of trading session. Keep it uniform and simple including the ZOOM... Zooming is a big trickster to avoid optical illusion. Keep it fixed and make X/Y a Constant Relationship so all charts look the same.
  8. Focus ONLY on NYSE and ONLY NQ for now. No more ES or messing around during Asian or London. A narrow focus is the best objective for a guy like me. Know Thyself

Back to work.... there is no slacking. This weekend s my final weekend to change any aspect of my design. After that comes the most important part of my journal i.e. REHEARSALS..... more to come on why I see Practice is completely different than Rehearsals.

Staying in my lane...
  • #84
  • Jan 31, 2019 8:04pm Jan 31, 2019 8:04pm
Note to Self: Define Rules on WHEN to switch from Trending to Ranging market conditions. Need to Quantify it with NUMBERS to maintain consistency and remove subjectivity from my decision making. Quantify Slope, distance, angle and everything in-between but rely on the best tool I have... my eyes and my mind. Nothing will replace them :-
Staying in my lane...
  • #85
  • Jan 31, 2019 8:57pm Jan 31, 2019 8:57pm
Quoting VEEFX
Note to Self: Investigate how to hide studies quickly to take screenshots or video recordings
Keeping on eye on the progress in your system design and sierra charts familiarization . . . link below is best solution for hiding study/collections without custom code or numerous clicks. Enjoy.


Inserted Video


Note: I have no affiliation with Fredrik, just use this particular tool.
  • #86
  • Jan 31, 2019 9:27pm Jan 31, 2019 9:27pm
dude..can you see my few posts about sierra chart and try to make sense of it?? what the hell is wrong with this platform pnl
  • #87
  • Jan 31, 2019 10:07pm Jan 31, 2019 10:07pm
Quoting Nik-Nyc
{quote} Keeping on eye on the progress in your system design and sierra charts familiarization . . . link below is best solution for hiding study/collections without custom code or numerous clicks. Enjoy. https://www.youtube.com/watch?v=YkO0GssFPlk Note: I have no affiliation with Fredrik, just use this particular tool.
Thanks Nik. I appreciate it very much. I am still desperate to have a study that will do
1) "Cancel all working orders, Close All and Flatten" positions when a specific profit or loss target is reached and optionally Disable/Lock Auto trading until the next day (the default feature in chart trade settings) does not work in market replay.

Got something that I can use?
Staying in my lane...
  • #88
  • Feb 1, 2019 3:00pm Feb 1, 2019 3:00pm
Quoting VEEFX
{quote} Thanks Nik. I appreciate it very much. I am still desperate to have a study that will do 1) "Cancel all working orders, Close All and Flatten" positions when a specific profit or loss target is reached and optionally Disable/Lock Auto trading until the next day (the default feature in chart trade settings) does not work in market replay. Got something that I can use?

V,

Is your system written with "trading system based on alert condition" or via "spreadsheet for trading"?

The later has multiple solutions for your needs, the prior i would need to know more details. For example, are you using the trade management study?

Let me know.
  • #89
  • Feb 1, 2019 3:26pm Feb 1, 2019 3:26pm
Quoting Nik-Nyc
{quote} V, Is your system written with "trading system based on alert condition" or via "spreadsheet for trading"? The later has multiple solutions for your needs, the prior i would need to know more details. For example, are you using the trade management study? Let me know.
Thanks Nik.. It's currently based on ""trading system based on alert condition". I have 4 alert based studies... Buy on Divergence, Sell on Divergence, Buy on Reversion and Sell on Reversion. Then I also have two Time-based "close-all" alert studies...1 for Buy Exit and second for Sell-Exit

What I need is a single "Study" that will work in market replay/SIM mode regardless of what trading system study is active. Equity-stop study needs to be an independent "on/off" type switch regardless of the number of trades or open position size. This way, I can control when to new positions are opened (which I can) and when to exit positions (which I cannot) in market replay.

Reminder: I am on package 3 so not sure if spreadsheet stuff will work on 3 but I can go with package 5 if it is required
Staying in my lane...
  • #90
  • Feb 1, 2019 3:42pm Feb 1, 2019 3:42pm
Quoting VEEFX
{quote} Thanks Nik.. It's currently based on ""trading system based on alert condition". I have 4 alert based studies... Buy on Divergence, Sell on Divergence, Buy on Reversion and Sell on Reversion. Then I also have two Time-based "close-all" alert studies...1 for Buy Exit and second for Sell-Exit What I need is a single "Study" that will work in market replay/SIM mode regardless of what trading system study is active. Equity-stop study needs to be an independent "on/off" type switch regardless of the number of trades or open position size. This...
V,

Just to be clear, you are looking for a way to "flatten all positions", via a study, when a global profit target is reached, correct?

N.
  • #91
  • Feb 1, 2019 4:10pm Feb 1, 2019 4:10pm
Quoting Nik-Nyc
{quote} V, Just to be clear, you are looking for a way to "flatten all positions", via a study, when a global profit target is reached, correct? N.
Correct Sir... Flatten all open trades for the chart symbol + cancel all pending orders (if any) based on floating PnL in Ticks.

I am looking for the delivered feature in Sierra (in screenshot) but none are not designed to work in market replay mode.... (plus, I like to contain my entire automation within the custom design and not rely on available tools/platform for portability reasons)

Quoting VEEFX
{quote} Correct Sir... Flatten all open trades for the chart symbol + cancel all pending orders (if any) based on floating PnL in Ticks. I am looking for the delivered feature in Sierra (in screenshot) but none are not designed to work in market replay mode.... (plus, I like to contain my entire automation within the custom design and not rely on available tools/platform for portability reasons) {image} {image}
and, if I may, I would love to have a separate study to turn the "Trade>AutoTrading Enabled-Global"and "Trade>Auto Trading Enabled-Chart" feature on and off either systematically at equity Stop or based on time of day.

Currently, I have a button that I manually click to turn on/off which is risky in live trading.
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Staying in my lane...
  • #92
  • Feb 1, 2019 5:15pm Feb 1, 2019 5:15pm
Quoting VEEFX
{quote} Correct Sir... Flatten all open trades for the chart symbol + cancel all pending orders (if any) based on floating PnL in Ticks. I am looking for the delivered feature in Sierra (in screenshot) but none are not designed to work in market replay mode.... (plus, I like to contain my entire automation within the custom design and not rely on available tools/platform for portability reasons) {image} {image}
V,

I thought the answer would be to use the "trading: profit/loss text" study which displays all sorts of PnL info, however, for whatever reason, you cannot access the data via Subgraphs which is required in order to create a global flatten formula.

Spreadsheet for trading study is required, however, if you are interested, there is a way to keep your system exactly as is and use the "spreadsheet for trading" study ONLY for the global flatten. The spreadsheet study would have zero functionality beyond global flatten. Let me know if you are interested and i can send you instructions.

N
  • #93
  • Feb 1, 2019 5:28pm Feb 1, 2019 5:28pm
Quoting Nik-Nyc
{quote} V, I thought the answer would be to use the "trading: profit/loss text" study which displays all sorts of PnL info, however, for whatever reason, you cannot access the data via Subgraphs which is required in order to create a global flatten formula. Spreadsheet for trading study is required, however, if you are interested, there is a way to keep your system exactly as is and use the "spreadsheet for trading" study ONLY for the global flatten. The spreadsheet study would have zero functionality beyond global flatten. Let me know if you are...
Yeah. subgraphs in trading: profit/loss text study would have been perfect. Please share the instructions for "spreadsheet for trading" and I will give it a go. I like the sound of "exactly as is" :-)
Staying in my lane...
  • #94
  • Feb 1, 2019 5:43pm Feb 1, 2019 5:43pm
wow Vee your looking for exact conditions which is fine it just looks like your taking all the fun out of trading lol I am a purist give me a chart look it over find spot to join trend make money
  • #95
  • Feb 1, 2019 6:22pm Feb 1, 2019 6:22pm
V,

When you execute a trade, do you also attach a SL via child order?
  • #96
  • Feb 1, 2019 8:40pm Feb 1, 2019 8:40pm
Quoting Nik-Nyc
V, When you execute a trade, do you also attach a SL via child order?
Good question Nik and I am not settled yet on my SL/BE/TP settings. Most likely, with Equity and time-based auto-exits, I may not be going with SL. but for now, please include SL and TP as a child (attached?) order.

Both SL and TP, if used, will most likely be controlled by trailing studies.... I got several "Trade Management by Study" to control them
Attached Image
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  • #97
  • Feb 1, 2019 8:44pm Feb 1, 2019 8:44pm
Quoting Divergence
wow Vee your looking for exact conditions which is fine it just looks like your taking all the fun out of trading lol I am a purist give me a chart look it over find spot to join trend make money
My trading will simply become a one click activity to eliminate any execution errors. Execution is where I suck big time. I just cannot deal with mundane, mindlessness which is what trading really is (or should be) after a 100+executions. Plus, I am not going this route just for me. If something were to happen to me, I want someone (my wife/kids?) to take over and continue bringing food on the table for the next generation lol
Staying in my lane...
  • #98
  • Feb 1, 2019 8:49pm Feb 1, 2019 8:49pm
Quoting VEEFX
{quote} Good question Nik and I am not settled yet on my SL/BE/TP settings. Most likely, with Equity and time-based auto-exits, I may not be going with SL. but for now, please include SL and TP as a child (attached?) order. Both SL and TP, if used, will most likely be controlled by trailing studies.... I got several "Trade Management by Study" to control them {image}
oh... and if it matters, it should be able to handle all trades at the account level (manual trades that I enter with the chart trade, manual via DOM and via those triggered via my automation). I am an intense scalper so volume could get out of control when conditions are ripe. Each trade could have same or different position size also and potentially across more than one instrument but NQ is the focus for now.
Staying in my lane...
  • #99
  • Feb 1, 2019 11:15pm Feb 1, 2019 11:15pm
Quoting Nik-Nyc
V, When you execute a trade, do you also attach a SL via child order?
Thinking further and to ensure I don't waste your valuable time, the equity-based flattern is not just a target Equity based TP. Perhaps, some examples would help avoid confusion.

  1. Start of day, I will set the settings in your study to Flatten when Equity drops say below -$1000 or -100T. I think $ based would be easy to code but if Tick-based is easy then it needs to be price-based # of ticks (ie. Ignore Quantity) and not total contracts*ticks as contract size will vary via scale-in. This will be my daily loss or catastrophic max loss protection.
  2. If account goes in profit then I manually trail the Equity Stop setting to -$500 (or -50T) and then at BE and then lock floating profit in steps. Kinda like Trailing-Equity Stop EA which will Flatten/Cancel-All pending orders/Disable autotrader.
  3. if Equity stop setting in your study is set to a higher value than current floating PnL then the study needs to wait till the target PnL is reached.
  4. If Equity Stop setting in your study is set to a lesser value than current floating PnL, then the study needs to wait until the floating PnL drops or crosses below the set target value.

Basically, all actions have to be checked in real time on a tick by tick basis and action taken only when it crosses the desired set value. I realize this forces dependency on the internet connection but I like things to be "hidden" from broker/cme/clearinghouse/intermediary/etc. I am not concerned about trading costs or slippage or network latency. As long as there is guaranteed executions via market orders, I should be fine.

Staying in my lane...
  • #100
  • Feb 1, 2019 11:22pm Feb 1, 2019 11:22pm
Quoting Nik-Nyc
V, When you execute a trade, do you also attach a SL via child order?
hey man, I found these studies that have subgraphs that you can use in your spreadsheet thing. The daily P/L and Closed P/L could be used.
Attached Image
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