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  • #261
  • Mar 24, 2019 11:33am Mar 24, 2019 11:33am
Quoting nonlinear
Great reading this thread. Ive been doing something very similar to what you are doing here. I’m taking my own path but my work has many parallels to yours. The process is very challenging. I have a love hate relationship with break even (I usually disable).
Glad you are. Exchange ideas bro. We have the collective strength to do what I consider is the RIGHT way to approach the markets for long term "sustainability" of our accounts for generations to come. I am doing this journey only to secure my kids future. There is nothing more satisfying than to build something that no one has ever thought of :-

Not worried about short term pain at all. Every journey towards success does not come without equal amount of pain and suffering. the only one I know who is doing this way is AlphaOmega in his Mean Reversion thread but my approach is completely different even though the structural foundation might be similar.
Staying in my lane...
  • #262
  • Mar 24, 2019 12:07pm Mar 24, 2019 12:07pm
Algo generated pattern.... everything is measured and measurable
https://www.theatlantic.com/technolo...traders/60829/
Attached Image
Staying in my lane...
  • #263
  • Mar 24, 2019 12:33pm Mar 24, 2019 12:33pm
vee what I have done is take a little from joe Ross 123 stuff some from TRADER vic 2b stuff and instead of taking breakouts I take retests(pullbacks) it's like making a cake your way but with others ingredients
  • #264
  • Mar 24, 2019 1:54pm Mar 24, 2019 1:54pm
Quoting Divergence
vee what I have done is take a little from joe Ross 123 stuff some from TRADER vic 2b stuff and instead of taking breakouts I take retests(pullbacks) it's like making a cake your way but with others ingredients
I am saving the best for the last my friend :-)
Staying in my lane...
  • #265
  • Mar 25, 2019 3:52pm Mar 25, 2019 3:52pm
Quoting VEEFX
Longer term Research Projects: Using OCF and conformity to OC Principle as a "Edge Discovery Tool" - Complete Using OCF and conformity to OC Principle to evaluate any system strategy for long term positive expectancy - Complete (my beliefs are confirmed) Using OCF to pinpoint transition between Trending and Ranging market conditions (In Progress - This is tough!) Mandlebrot, Tesla, Bill Williams/Chaos. Is Leonardo Da Vinci next ? or Quantum Physics (waiting for my son to get to text book). I need to quantify the measurement of speed. No need to...
Update:

Longer term Research Projects:

  1. Using OCF and conformity to OC Principle as a "Edge Discovery Tool" - Complete
  2. Using OCF and conformity to OC Principle to evaluate any system strategy for long term positive expectancy - Complete (my beliefs are confirmed)
  3. Using OCF to pinpoint transition between Trending and Ranging market conditions (In Progress - This is tough!)
  4. Mandlebrot, Tesla, Bill Williams/Chaos. Is Leonardo Da Vinci next ? or Quantum Physics (waiting for my son to get to text book). I need to quantify the measurement of speed. No need to read more. (Complete) I am continuing my path to form/develop my own theories without any bias from what is out there!
  5. How many trades does it take to always end up in profit at the end of OC (Criteria: only one contract at a time, only one trade open at a time, any combination of SL/TP/BE/nothing at all, no scale-in or scale out (i.e no adding to losers or winners)
  6. How many OCs does it take to generate 100% of $$ profit using only one contract per $2000 of trading capital and using same rules as #5 above.
  7. Coastal to Inland non-stop traversal of price thru time (maximum positive expectancy using maximum number of opportunity cycles)
  8. Extension of #5 above.... How many trades does it take to ALWAYS meet the profit goal of OC Range in ticks. OC has a start and end time forming a range in ticks so how many trades will it take to exploit the ENTIRE OPPORTUNITY CYCLE range ? (answer lies somewhere in brute-force trapping of micro-medians until daily fixed Tick goal = Range size goal is met)

Staying in my lane...
  • #266
  • Mar 25, 2019 5:10pm Mar 25, 2019 5:10pm
On trending/ranging I have not been able to come up with an approach that works consistently. If I’m too conservative, any filter will cause me to miss critical moves. If I’m too risky, I get entries during flat action. So similar to you, I only trade during the the opportunity windows when price nearly always moves. This will result in some losses, but I just have to catch enough moves in the current flow direction to cover the chop and the spread/commission. Sounds simple, but it’s a real B to execute.
  • #267
  • Mar 26, 2019 1:41am Mar 26, 2019 1:41am
Quoting nonlinear
On trending/ranging I have not been able to come up with an approach that works consistently. If I’m too conservative, any filter will cause me to miss critical moves. If I’m too risky, I get entries during flat action. So similar to you, I only trade during the the opportunity windows when price nearly always moves. This will result in some losses, but I just have to catch enough moves in the current flow direction to cover the chop and the spread/commission. Sounds simple, but it’s a real B to execute.
yep.. it's hard to develop a market neutral strategy on a single price vs time series without hedging capabilities. My observation tells me that the only way to end in positive expectancy within an OC is to STOP trading via a daily profit and loss goal. The moment you introduce SL, TP or BE, strategy results begin to decay i.e. randomness is introduced. I might have some test results to share soon
Staying in my lane...
  • #268
  • Edited 2:01am Mar 26, 2019 1:45am | Edited 2:01am
Project #5: How many trades does it take to always end up in profit at the end of OC (Criteria: only one contract at a time, only one trade open at a time, any combination of SL/TP/BE/nothing at all, no scale-in or scale out (i.e no adding to losers or winners)

OC Start: 9:31am ET
OC End: 11am ET
Underlying: NQ
Strategy: DFM/Angle-based with no SL, no TP, no BE, daily profit goal of 10+ticks, daily loss goal = unlimited, timestop @ 11am ET to end either in profit or loss. Stops trading once profit goal is met or timestop whichever comes first
Results to follow soon:
Summary: 5 losing days between 1/1/19 - 3/24/19. High win rate, good profit factor but bigger losses on few days
Chart Type: 9T Renko Range with Wicks
Backtest mode: Simple replay (takes too much time to run it in accurate backtest mode.)
Project goal met: Nope but close as daily profit goal is not met every day.
Next steps: Run this in accurate backtest mode from 1/1/19 - till date and get some fucking sleep!
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Staying in my lane...
  • #269
  • Mar 26, 2019 7:12am Mar 26, 2019 7:12am
Went to bed thinking about those loses on few days in the previous stats. Woke up with a decent solution but first let's identify the root cause of why those days were in losses. In principle a 10T profit taking episode should be market condition agnostic (unless the range is less than 10ticks in length!). A DFM (Divergence from Mean) strategy MUST work during ALL rangebound conditions as long as the scope of opportunity is LESS than the potential opportunity! This is the very basic foundation of why I am on this endeavor. So what happened? It's the direction! Since no stoploss was incorporated, a long in a short directional move will obviously create a drawdown. bigger the drawdown, larger the "recovery cycle".... NOT GOOD.
Let's address this by a simple "exit at change in EMA direction" filter and see what happens.

Tested on losing days one at a time and they all end in meeting the daily profit target of 10T. Could this be the missing element? Let's find out by running replay for the entire duration.

Be Right Back~
Staying in my lane...
  • #270
  • Mar 26, 2019 8:23am Mar 26, 2019 8:23am
it is unknown uknown

even Vee cannot verify because he can't count the posts that he deleted; because they don't exist
  • #271
  • Edited 5:44pm Mar 26, 2019 9:03am | Edited 5:44pm
Quoting VEEFX
Went to bed thinking about those loses on few days in the previous stats. Woke up with a decent solution but first let's identify the root cause of why those days were in losses. In principle a 10T profit taking episode should be market condition agnostic (unless the range is less than 10ticks in length!). A DFM (Divergence from Mean) strategy MUST work during ALL rangebound conditions as long as the scope of opportunity is LESS than the potential opportunity! This is the very basic foundation of why I am on this endeavor. So what happened? It's...
Interesting.... results are not favorable. Still net positive expectancy but more losing days. This was expected!
Introducing "risk controls" i.e. exit in loss or using stoploss or limiting drawdown during a cycle "decays" the overall opportunity. This is true even in real life. Opportunity knocks and if you don't open the door (because of fear of unknown, laziness, etc), the opportunity disappears or goes to someone else. Same principle applies to all famous entrepreneurs. They grab opportunity to create immense wealth for themselves and others. They go "all in" in Hilmy's poker terms.
Staying in my lane...
  • #272
  • Mar 26, 2019 10:58am Mar 26, 2019 10:58am
Quoting hilmy83
lets go long brooo! target 52.75 edit. i'll delete this post to keep your thread clean of your research..see learned something else from you
Delete them all bro. I like to be focused during research as it is my way of self-therapy when I am not trading. My ongoing research is read-only for all until it is complete to avoid any biases :-
Staying in my lane...
  • #273
  • Mar 26, 2019 5:57pm Mar 26, 2019 5:57pm
Quoting VEEFX
{quote} Interesting.... results are not favorable. Still net positive expectancy but more losing days. This was expected! Introducing "risk controls" i.e. exit in loss or using stoploss or limiting drawdown during a cycle "decays" the overall opportunity. This is true even in real life. Opportunity knocks and if you don't open the door (because of fear of unknown, laziness, etc), the opportunity disappears or goes to someone else. Same principle applies to all famous entrepreneurs. They grab opportunity to create immense wealth for themselves and...
So, after a bit of distraction at work, back to running my model to finish this leg of the research. Count down is T-2 day to close the shop and get outta here.

Trading without adequate Risk Controls is foolish. That is why I am referring this as Research Project focusing ONLY on making profit and ignoring the loss potential. it comes with a warning of "Kids - don't try this at home" lol.

Tried a few more options here and there, got rid of 9T Renko and went with 12T Range, added one of my other Trend following strategies, extended the OC to cover the entire NY session blah blah and finally got my losing day count down to just 3 days STILL with no regard to stop loss or BE. Just pure 10T fixed daily goal with unlimited loss potential. Here are the results. the 3 losing days had just one or two trades going directly in loss with no recovery during the entire session.

Strategy: Coastline and VFlips
Date Range: 1/1 - 3/26
Version: 10.15
No SL, No BE, No TP, DailyProfit=10Ticks+whatever
Max Open trade =1 (this is important as one loss runner kills the day as there is no SL)
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Staying in my lane...
  • #274
  • Mar 26, 2019 6:02pm Mar 26, 2019 6:02pm
Next Step: Run the exact same model with DailyProfitGoal of 25Ticks (I am bored!)

Question for those who understand what I am doing - is such a trading with 10T daily goal 95% of the time acceptable in real life ?
Staying in my lane...
  • #275
  • Mar 26, 2019 6:05pm Mar 26, 2019 6:05pm
In my windows to trade (subjective), i am basically taking longs if price is above my start line and taking shorts if below. Some days price often reverts to the mean and the rewards are slim and fleeting but even then i can count on at least a percentage of the daily range (some pips are there for taking). So if it is a clearly choppy or sideways day and the range is hit, it’s a good time to stop trading and wait for tomorrow. If the day is trending then no need to stop until my window is done. I’m trying to use really tight exits on M1 charts. If the trade reverses against me i get out.
  • #276
  • Mar 26, 2019 6:19pm Mar 26, 2019 6:19pm
Quoting nonlinear
In my windows to trade (subjective), i am basically taking longs if price is above my start line and taking shorts if below. Some days price often reverts to the mean and the rewards are slim and fleeting but even then i can count on at least a percentage of the daily range (some pips are there for taking). So if it is a clearly choppy or sideways day and the range is hit, it’s a good time to stop trading and wait for tomorrow. If the day is trending then no need to stop until my window is done. I’m trying to use really tight exits on M1 charts....
Agree. This leg of the research is tapping into a fixed potential. Few more legs later, I plan to run as a % of OC range. I am also taking no directional bias or using buy/sell hemispheres (in CrucialPoint lingo)... meaning no directional filter is applied. Just go long if angle is above xx degrees and go short is angle is below xx degrees. Pure divergence from mean entry setups. More to come but this shit takes a lot of time. I am only demonstrating the "edge discovery process" towards positive expectancy. small steps making bigger leaps in the direction we all want to end with :-

And I am also showing how a tiny tweak to SL or TP or BE setting can easily alter the course of positive expectancy. Something that manual traders are hard to grasp. A tiny execution error or on the fly decision making can alter the course. That is why TRADING IS EXTREMELY HARD!

EDIT: I am also testing whether automatic "recovery" without the attempt to recover from losses is possible or not.. within the principles of OC. If a range is 50 ticks, any strategy that takes 6 trades with 10T Stoploss will fail over time.... as an example of such OC principle theorems that are ingrained with solid mathematical foundation
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Staying in my lane...
  • #277
  • Edited Mar 27, 2019 1:39pm Mar 26, 2019 8:00pm | Edited Mar 27, 2019 1:39pm
Quoting VEEFX
Next Step: Run the exact same model with DailyProfitGoal of 25Ticks (I am bored!) Question for those who understand what I am doing - is such a trading with 10T daily goal 95% of the time acceptable in real life ?
Same setup with 25T daily profit goal. Still net positive and only 5 losing days this year.

Next Run: 50 T then 100T and then 50% of OC Range and then 100% of OC Range (Capturing MAX opportunity potential.... this is the holy grail!)
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  • #278
  • Edited Mar 27, 2019 12:28am Mar 26, 2019 8:04pm | Edited Mar 27, 2019 12:28am
Next Run with Daily Fixed Profit Goal of 50 Ticks.... OC = first 2 hours of NYSE
Outcome: 16 losing days but net 1286T positive expectancy YTD... not bad but not perfect either in regards to daily income
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Staying in my lane...
  • #279
  • Mar 26, 2019 11:25pm Mar 26, 2019 11:25pm
Quoting VEEFX
Can't wait to get on this beautiful piece of human engineering marvel. https://www.hollandamerica.com/en_US...edication.html
Or perhaps in one of my own courtesy of NQ
Staying in my lane...
  • #280
  • Mar 27, 2019 12:29am Mar 27, 2019 12:29am
Next Run with Daily Fixed Profit Goal of 100 Ticks....with exact same settings
Reminder: all tests are done using standard market replay @ 280 speed. ACCURACY is @ 80% approx
Outcome: net 1748 Ticks with 18 losing days... not bad
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