An M5 scalper
A cross-over system using Hull MAs.
Tested on M5 first.
The first one is the slower moving masterline.
Averages confidence bands 9.0
Avg period: 120
Price: close
Hull Moving Average
Double smoothed: false
Confidence level: 90
Confidence shift: 10
The second one is the faster moving triggerline.
Avg period: 30
Price: close
Hull Moving Average
Double smoothed: false
Confidence level: 90
Confidence shift: 10
Basic entry:
Price closes on the opposite side of the masterline.
- Long entries crossed the masterline from underneath and close above it. Entry happens at the open of the next bar.
- Short entries crossed the masterline from beneath and close below it. Entry happens at the open of the next bar.
Basic exit:
A trade currently in profit closes on the wrong side of the triggerline.
- Long entries cross the triggerline from above and close beneath it.
- Short entries cross the triggerline from below and close above it.
The thing about trading M5 (and possibly any TF) using this system (and maybe any others) is that cowardice is the key to success. At the first sign of trouble any profitable trade scarpers and exits. In other systems I’ve strived to figure how we can hang on to profitable trades longer, but this one bags them with minimal stacking. All basic entry trades must be in profit (including commissions and fees) before exiting according to the exit conditions. If they are not profitable when these conditions are met a different set of rules go into effect. The first type of additional trade is called ‘Test Your Luck’.
Test Your Luck
A double or nothing method applied to a trade in progress that gives a trade that would exit at a loss a chance to recover, possibly at or near the best price point.
Situation:
A currently unprofitable trade crosses the triggerline and closes on the wrong side.
Conditions:
Masterline is supporting the current trade OR is neutral and triggerline is supportive.
When either of these conditions are true a trade that would normally be exited when it closes outside the favorable side of the triggerline will be allowed to continue until it either
- Resumes in a favorable direction, becomes profitable and then exits according to the standard exit rule OR
- A candle fully opens and closes on the wrong side of the most distant line (probably the trigger) without making any contact with the line itself. In that case it exits at a loss.
Each time a ‘test your luck’ situation occurs, a new trade is placed. Often these are false breakouts/down points and are optimal entries.
Notes about TYL:
- All profitable trades that were extended or opened under TYL close at the next profitable exit opportunity together.
- The masterline overrules the triggerline except when it’s neutral in which case the triggerline determines whether TYL is possible. If both lines are neutral, wait for guidance.
- If the masterline disagrees with the currently unprofitable trade when it is at an exit point then the trade exits at a loss at that point. If the masterline is neutral and the triggerline disagrees with the trade direction at that point it exits at a loss. In most cases this situation will trigger a new trade in the opposite direction but this is determined by an evaluation of the existing conditions and isn’t an action taken by default.
- A TYL trade will only fail when and if a price bar opens and closes fully free of the exterior line, which is usually going to be the masterline.
- A TYL trade exits according to the standard exit method if it is profitable and an exit circumstance arises.
- Only unprofitable trades can push their luck. Profitable trades have a duty to exit as soon as they are threatened. (what did I mean by this? Profitable TYL trades should exit as soon as all the trades are profitable? I don’t think so. The rules say exit with standard exit rules when trade is in profit? So the system’s not as cowardly as I am making it seem)
- It is possible to enter and stop out of a trade on a single candle, although for smaller candles this should mostly be treated skeptically.
- If the masterline changes to neutral during a TYL trade, and triggerline disagrees, and it still isn’t profitable give it the benefit of the doubt and require full break and confirm free of the triggerline before exiting.
- If master and trigger agree but price has broken & confirmed but broached much of the distance from the unfavorable price move (in other words it moved back in the right direction but didn’t get across the trigger) should we give it the benefit of the doubt for as long as the line signals support? Especially masterline - let’s say yes for now.
The Slow Leaks
Often some of the biggest price moves will occur very smoothly over a more extended period of time which will not cause price to cross the masterline, and therefore fail to trigger a standard entry.
To offset this another entry ruleset is used. Call these ‘slow leak’ entries? This stipulates:
- There can be no other active trades
- The triggerline must display a ‘state change’. This is a change from one signal direction to neutral and then a change to the opposing signal direction.
- During this state change price must at some point close on the wrong side of the triggerline and then close on the correct side. This shows that the trade has recent motivation to continue with the trend.
- The triggerline must be in agreement with the trade direction and the masterline must be at worst, neutral.
- These trades should close on an unfavorable close of the masterline or on a triggerline state change. Ignore breaks of the triggerline as these are likely to be frequent and misleading. This is the only special trade type that can ignore full triggerline breaks.
Re-entries.
Sometimes price is moving fast and heads towards the masterline, then either doesn’t make contact with it or rides it up/down without breaking clear and actually closing on the other side.
This type of rejection at/near the line is a classic signal that often anticipates big moves but it won’t always trigger an entry, even on the triggerline, so swiftly does it move.
Conditions:
- No other currently active trades
- A full close (break and confirm) completely free of the triggerline in the expected direction
- Masterline must be in agreement
- While this trade is unprofitable the masterline is the stop (full b&c needed? Yes, for now.)
- When this trade is profitable a close on the wrong side of the triggerline will exit.
Query: are slow leaks and re-entry trades the same and so do we need the re-entry rules at all?
Initial testing was promising - 27/34 successes, 79.4 win rate on M5.
Summaries:
Entry triggers to watch for
- Price crosses and closes the other side of the masterline
Next two only if no other trades are ongoing:- Triggerline changes state and price closes on the wrong side then later the correct side of the triggerline which agrees with the masterline
- A price close completely free (break & confirm) of the triggerline in the direction indicated by masterline signal
- Only if trade is unprofitable - price closes on the wrong side of the triggerline (“testing your luck”)
Exit triggers to watch
- Price crosses and closes the wrong side of the triggerline (if profitable)
Only if the trade is ‘testing its luck’ or leaking:
- Only on ‘slow leak’ trades - unfavorable triggerline state change
- (if unprofitable) Unfavorable masterline break and confirm
Remember to enter every time price crosses the masterline - that way, even in a meandering range, you have simul long and short trades that can exit profitably (maybe?)
No worse than anything else I think? I have no data to record how it was tested.