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Trade another day through Systematic Trading

  • #161
  • May 16, 2019 11:31am May 16, 2019 11:31am
Quoting VEEFX
{quote} Here... one more time. 15 Min ORB with SL @ 0.5xRange and TP @ 2xRange. This equates Reward to be 4 times the Risk and it is still a loser! Anyone who trades NQ would learn how easy it is for a Trend Following strategy to decay during ranging period. Just run any algo in Jan to feel good, then comes feb/mar for slow decay to appear and come april, losses accumulate into a new losing strategy. Better if you list all the filters. I am sure I have not tried every possible permutation and combination :-) {image}
I never tested this strategy on NQ; but I can tell you straight away; that it will NOT work on NQ.

why? because of fundamental reasons.

NQ represents a stock index. Usually stock indices tends to mean revert; rather than trend.

It may work in the medium to longer term on stock indices. for example; breakout in daily timeframe; such as a breakout from a 5 day range. This is because stock market tends to trend up in the long term.

Perhaps consider "Long Only" for NQ; since there is a bullish bias in stock market over the long term
  • #162
  • May 16, 2019 11:37am May 16, 2019 11:37am
Quoting alphadude
{quote} parameter diversification; using different values for the filters, exit, sl, tp etc. Even the open range time; instead of 2 hours, try 90 minutes, 60 minutes, etc. same strategy can be diversified using various parameter sets. This will smooth the curve a bit.
Thanks...That's what I thought it was. done all that during my exercise of curve-fitting the NQ. none of them work consistently over time. Sorry bro. I am not trying to be a party pooper here. Just sharing what I have already done... but keeping an open mind.
Staying in my lane...
  • #163
  • May 16, 2019 11:52am May 16, 2019 11:52am
Quoting VEEFX
{quote} Thanks...That's what I thought it was. done all that during my exercise of curve-fitting the NQ. none of them work consistently over time. Sorry bro. I am not trying to be a party pooper here. Just sharing what I have already done... but keeping an open mind.
perhaps it is time you come back to Forex.

you are missing big time.

come and harvest some pips
  • #164
  • May 16, 2019 12:14pm May 16, 2019 12:14pm
Quoting alphadude
{quote} perhaps it is time you come back to Forex. you are missing big time. come and harvest some pips
3rd strike?
Toxic Flow for FX Brokers.
  • #165
  • May 16, 2019 1:37pm May 16, 2019 1:37pm
Quoting alphadude
{quote} perhaps it is time you come back to Forex. you are missing big time. come and harvest some pips
maybe... but only in regulated FX futures. I am done with spot.
Staying in my lane...
  • #166
  • May 16, 2019 2:38pm May 16, 2019 2:38pm
Quoting VEEFX
{quote} maybe... but only in regulated FX futures. I am done with spot.
minimum tick size in cme futures for eurusd is 0.5 pip. too high of a transaction cost

not to mention minimum order size of about 150K usd. it will be hard to do diversification

imho, forex retail brokers nowadays offer the best deal you can get
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  • #167
  • May 16, 2019 3:40pm May 16, 2019 3:40pm
something to motivate you

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  • #168
  • May 16, 2019 3:50pm May 16, 2019 3:50pm
Quoting alphadude
Raw edge in play on USDJPY today; +43 pips and still going {image}
Position closed at EOD

pure raw edge strategy; 37 pips banked!

simple; no filters nothing. pure breakout from the open range; and exit at opposite signal or at EOD
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  • #169
  • May 16, 2019 5:57pm May 16, 2019 5:57pm
Quoting VEEFX
{quote} Here... one more time. 15 Min ORB with SL @ 0.5xRange and TP @ 2xRange with time stop and/or stop after 1 winning trade. This equates Reward to be 4 times the Risk and it is still a loser! Anyone who trades NQ would learn how easy it is for a Trend Following strategy to decay during ranging period. Just run any algo in Jan to feel good, then comes feb/mar for slow decay to appear and come april, losses accumulate into a new losing strategy. Better if you list all the filters. I am sure I have not tried every possible permutation and combination...
Actually this setup with 4RR had a nice recovery. You are right about stock index reverting to mean but NQ is mostly sentiment driven. It will not tolerate selling on high and buying on low on "all of a sudden" volatile days. It will crush if you impose your will on her lol

Potential but still not quite there.

EDIT: This one includes reversals. example: trade1 Long. if SL is hit then algo will open trade2 as short. MMs of NQ routinely do fabulous reversals within first 15-20 mins to shake out all the straddles who come to the market thinking they can get free money everyday lol
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Staying in my lane...
  • #170
  • Edited 8:10pm May 16, 2019 6:15pm | Edited 8:10pm
Quoting VEEFX
{quote} Actually this setup with 4RR had a nice recovery. You are right about stock index reverting to mean but NQ is mostly sentiment driven. It will not tolerate selling on high and buying on low on "all of a sudden" volatile days. It will crush if you impose your will on her lol Potential but still not quite there. EDIT: This one includes reversals. example: trade1 Long. if SL is hit then algo will open trade2 as short. MMs of NQ routinely do fabulous reversals within first 15-20 mins to shake out all the straddles who come to the market thinking...
One last run before I call it a day from work (ended up working most of the day on my vacation hence I am here to challenge myself lol... when I return, one idiot is going to get his ass kicked out the door for making me work all day!#$#@%#$)

Same setup as above but this time with move SL to BE @ +75 ticks in profit, SL @1/3 of range, TP @ 3x range (i.e. 9RiskReward) or timestop at close.

Edit: As predicted, Move SL to BE reduces risk but also decays the net outcome
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Staying in my lane...
  • #171
  • May 17, 2019 4:57pm May 17, 2019 4:57pm
This is a quite good interview with a Quant; who is selling automated trading systems.

I recommend you read this interview multiple times (especially Vee, this is for you):

http://www.striker-report.com/issues...D=123&intID=92
  • #172
  • May 17, 2019 7:31pm May 17, 2019 7:31pm
Quoting VEEFX
{quote} One last run before I call it a day from work (ended up working most of the day on my vacation hence I am here to challenge myself lol... when I return, one idiot is going to get his ass kicked out the door for making me work all day!#$#@%#$) Same setup as above but this time with move SL to BE @ +75 ticks in profit, SL @1/3 of range, TP @ 3x range (i.e. 9RiskReward) or timestop at close. Edit: As predicted, Move SL to BE reduces risk but also decays the net outcome {image}
Vee, is this you giving youtube training on FX?

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  • #173
  • May 17, 2019 8:54pm May 17, 2019 8:54pm
Quoting alphadude
This is a quite good interview with a Quant; who is selling automated trading systems. I recommend you read this interview multiple times (especially Vee, this is for you): http://www.striker-report.com/issues...D=123&intID=92
do you invest with Striker.. i know them closely
Think : Trade : Live Life
  • #174
  • May 17, 2019 9:39pm May 17, 2019 9:39pm
Quoting stt
{quote} do you invest with Striker.. i know them closely
no i trade for myself
  • #175
  • May 21, 2019 8:23pm May 21, 2019 8:23pm
something interesting for those of you who are married

extermely entertaining

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  • #176
  • May 21, 2019 11:53pm May 21, 2019 11:53pm
Quoting alphadude
{quote} parameter diversification; using different values for the filters, exit, sl, tp etc. Even the open range time; instead of 2 hours, try 90 minutes, 60 minutes, etc. same strategy can be diversified using various parameter sets. This will smooth the curve a bit.
Thanks...That's what I thought it was. done all that amid my activity of bend fitting the NQ. none of them work reliably after some time. Sorry brother. I am doing whatever it takes not to be a gathering pooper here. Simply sharing what I have effectively done... be that as it may, keeping a receptive outlook.
  • #177
  • May 22, 2019 1:19pm May 22, 2019 1:19pm
Quoting kadir98
{quote} Thanks...That's what I thought it was. done all that amid my activity of bend fitting the NQ. none of them work reliably after some time. Sorry brother. I am doing whatever it takes not to be a gathering pooper here. Simply sharing what I have effectively done... be that as it may, keeping a receptive outlook.
my observations are also similar with NQ.... nothing works for a longer period but I am a believer of breakouts i.e. divergence from mean so have yet to give up on ORB. I already tried the first minute and 5 minute ORBs long ago before trying the 15 and 30 min range proposed by Alpha. I still have a few dozen things to try out (mostly brain farts from currently being on my vacation). If nothing works, I have another fabulous technique to try but it will require microNQ and multi-position aggressive stacking... my bread and butter manual style but something I have tried to stay away from.

I have this said repeatedly... any strategy based on single open position, single contract, single instrument, single market, single timeframe using one or more price-based indicators generating a signal on price alone factoring only price and/or time will never consistently work for more than 3 yrs in a non-discretionary trading environment. It "may" work only when one of the 4 below is applied
1) Trader HAS to intervene the algo to introduce some level of human subjectivity in the decision making process!
2) Trader has to introduce "one more thing" apart from Price and Time in the decision making process! That would be volume analysis, fundamentals, market sentiment/news/riskOn/RiskOff/Directional bias/correlations/etc
3) Avoid taking EVERY Buy and Sell generated signal (this one I am unable to quantify why but feel this has something related to what CP wrote about using more an 2-3 indicators). I am "almost" convinced that "stop trading" is essential (when daily goal is met or whatever pre-defined success criteria you have chosen).
4) None of the above applies to HFT.... HFT (outside of decentralized retail trading realm) is probably the only way to run an algo non-stop 24x7 but you have to operate at the institutional level. Forget about MT4 EAs working in HFT mode. They do not exits and if they do exists, you won't be able to successfully withdraw funds from your broker.

My four cents :-)
Staying in my lane...
  • #178
  • May 28, 2019 8:51am May 28, 2019 8:51am
Quoting alphadude
{quote} vee, a strategy with edge always works with one trade at a time. using a grid improves profitability and smoothes the equity curve. if a strategy does not work with one trade, than it does not have an edge. just like multiple exit methods. try the rmi strategy by cubbybgood, it works with one trade only.
So, I tried this RMI stuff as you suggested... first on M1 then on M5 and then on M15(first time for me to run on M15). Running on M15 has some potential with one trade at a time.... reversals at extremes and exits when RMI crosses the midpoint. I used these settings (without looking at what Cubby uses in his indicator). Daily looks good but fails on weekly with 3 consecutive weeks. I let it run all night last night so here's my findings (have yet to analyze the results to make a firm conclusion). This is a reversion to mean strategy starting from London open (also first time for me) and ending with NYSE close on NQ trading 10 contracts one trade at a time with time stop at NYSE close.

Pl confirm if the parameter setting is close to what you guys tried in your tests
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Staying in my lane...
  • #179
  • May 30, 2019 10:38pm May 30, 2019 10:38pm
Quoting VEEFX
{quote} So, I tried this RMI stuff as you suggested... first on M1 then on M5 and then on M15(first time for me to run on M15). Running on M15 has some potential with one trade at a time.... reversals at extremes and exits when RMI crosses the midpoint. I used these settings (without looking at what Cubby uses in his indicator). Daily looks good but fails on weekly with 3 consecutive weeks. I let it run all night last night so here's my findings (have yet to analyze the results to make a firm conclusion). This is a reversion to mean strategy starting...
Vee, just optimize the hell out of the system; and find the suitable parameter values.

every market has its own vibration.

let us know when you find a good system so we can trade it profitably.
  • #180
  • May 30, 2019 10:49pm May 30, 2019 10:49pm
Quoting alphadude
{quote} Vee, just optimize the hell out of the system; and find the suitable parameter values. every market has its own vibration. let us know when you find a good system so we can trade it profitably.
Being a data guy relying on facts, I never give up until all options are exhausted. Still working on this model but single Timeframe, single trade at a time is a loser for any indicator/chart based strategy. Concluded what I already know :-
Staying in my lane...
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