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Weekly COT report Analysis + Trade Ideas

  • #3,281
  • May 25, 2010 8:27am May 25, 2010 8:27am
Quoting Tuner
--> for me... as I "chickened" out on my DAX and S&P trades and took profit early it was "just" a nice profit trade.. But still I shouldn't complain

No, you closed too soon, you could have done much better, it was a straightforward textbook trade. You missed 2/3 of that trade comparing to what I suggested. but I miss this week drops too, I wasn't sure if it drops or retraces. But it's OK, there will be more swing opportunities , may be we take a swing long on indicies this time who knows
  • #3,282
  • May 25, 2010 8:27am May 25, 2010 8:27am
Quoting shahab8b
Another rule is never let a green trade goes red.
Thank you for your comments.

So as per what you said, if the trade goes green for a while but still hasn't reached TP, it is better to lower the stop to break even or to some profit. And then reopen the position if setup is still valid?

I am still on my short GBPUSD trade @ 1.4357 and have a TP based on technicals of 1.4254 but the momentum is slowing down...

Thanks
  • #3,283
  • May 25, 2010 8:31am May 25, 2010 8:31am
Quoting Bouzies
Thank you for your comments.

So as per what you said, if the trade goes green for a while but still hasn't reached TP, it is better to lower the stop to break even or to some profit. And then reopen the position if setup is still valid?

I am still on my short GBPUSD trade @ 1.4357 and have a TP based on technicals of 1.4254 but the momentum is slowing down...

Thanks

What I think is the best is to trade with two positions, (with TP more than SL) then when you see descent profit lets say 30-40 pips TP on one and SL>B/E ,and let the 2nd goes to your target ,if you stopped out later at B/E you still got your profit.
  • #3,284
  • May 25, 2010 8:34am May 25, 2010 8:34am
Scalping short U/Cad here at 1.0830 SL=20
  • #3,285
  • May 25, 2010 8:41am May 25, 2010 8:41am
Quoting shahab8b
Scalping short U/Cad here at 1.0830 SL=20

closed at B/E
  • #3,286
  • May 25, 2010 8:49am May 25, 2010 8:49am
U/Cad is playing with my feelings ,I took another short at 1.08250 ,Sl=1.0850 1st TP=1.0725 2nd TP=TBD
  • #3,287
  • May 25, 2010 8:54am May 25, 2010 8:54am
  •  Tuner
  • | Joined Nov 2009 | Status: Love it when a plan comes together | 709 Posts
Quoting shahab8b
No, you closed too soon, you could have done much better, it was a straightforward textbook trade. You missed 2/3 of that trade comparing to what I suggested. but I miss this week drops too, I wasn't sure if it drops or retraces. But it's OK, there will be more swing opportunities , may be we take a swing long on indicies this time who knows
I know.. (and I still could kick my A** for that )
But I should look forward now and for the next opportunities instead of back to what I missed.
Still managed to recover pretty nice from the heavy losses beginning of the month and turned the month to a nice green one.
(with the 2 last weeks and really pretty small risk&lotsizes.)

--> Your result for the month must look pretty amazing though!?

There sure will be the next opportunities... I will be ready
(Maybe some bigger profit-taking for the months-end and then we will see...)
"Blue Horseshoe loves Anacott Steel!"
  • #3,288
  • May 25, 2010 10:40am May 25, 2010 10:40am
Quoting shahab8b
Short U/Chf has been taken at 1.1670 Sl=1.1710

Short U/chf from 1.1670 update: (+65 pips* 2 ), two positions in play, I'm moving SL>B/E, targeting 1.1300
  • #3,289
  • May 25, 2010 10:44am May 25, 2010 10:44am
Quoting shahab8b
U/Cad is playing with my feelings ,I took another short at 1.08250 ,Sl=1.0850 1st TP=1.0725 2nd TP=TBD

Short trades on U/Cad have made +35 pips *2 till now, let it drop 20 pips more so we can move SL>B/E
  • #3,290
  • May 25, 2010 10:51am May 25, 2010 10:51am
If someone plays Options here, weekly 28th May-A/U 8500 Call Option with strike of 14 is a good deal.Also, weekly 28th May U/Chf 11300 Put Option with strike of 14.
  • #3,291
  • May 25, 2010 11:00am May 25, 2010 11:00am
Quoting shahab8b
U/Cad is playing with my feelings ,I took another short at 1.08250 ,Sl=1.0850 1st TP=1.0725 2nd TP=TBD

I think it's safe to move SL>B/E now, +50 pips * 2 so far
  • #3,292
  • May 25, 2010 11:11am May 25, 2010 11:11am
I've started working on a Logistic Regression Model to calculate the Predictive Probability of a Trade Outcome (Binary Outcome: TP hit or SL hit) based on
some co-variates like :
RSI extreme or not
S>R
Weekly P/S/R
TL
Fib
LSR

The final model should look like this:

Pr of Y= Exp (B+B1X1+...+BpXp)/ (1+Exp (B+B1X1+...+BpXp)

I've been thinking if we know the Probability of Success with a given RRR we can make the best decision regarding a trade call.

If there is interest and I find the time I might open a thread to explore the model.
  • #3,293
  • May 25, 2010 11:15am May 25, 2010 11:15am
  •  Tuner
  • | Joined Nov 2009 | Status: Love it when a plan comes together | 709 Posts
Quoting shahab8b
I think it's safe to move SL>B/E now, +50 pips * 2 so far
Hey there Shahab.
Nice one I was pretty impressed by the U/CAD today.
U/CAD made a new high today while A/U (and A/J) bounced from last weeks low once again and going for a nice retrace once again.
Took off most of my profits on the lower levels and will watch now.
Maybe the bigger retracement coming now..
"Blue Horseshoe loves Anacott Steel!"
  • #3,294
  • May 25, 2010 11:28am May 25, 2010 11:28am
Quoting shahab8b
The final model should look like this:

Pr of Y= Exp (B+B1X1+...+BpXp)/ (1+Exp (B+B1X1+...+BpXp)
OMG Let me just pop out to the supermarket and purchase myself another brain Mr Biostatistician Second thoughts, maybe I'll just make the tea and coffee ....
Nothing worth having is easy.
  • #3,295
  • May 25, 2010 11:31am May 25, 2010 11:31am
The final model should look like this:

Pr of Y= Exp (B+B1X1+...+BpXp)/ (1+Exp (B+B1X1+...+BpXp)

I've been thinking if we know the Probability of Success with a given RRR we can make the best decision regarding a trade call.

If there is interest and I find the time I might open a thread to explore the model.[/quote]
  • #3,296
  • May 25, 2010 11:34am May 25, 2010 11:34am
Quoting shahab8b
I've started working on a Logistic Regression Model to calculate the Predictive Probability of a Trade Outcome (Binary Outcome: TP hit or SL hit) based on
some co-variates like :
RSI extreme or not
S>R
Weekly P/S/R
TL
Fib
LSR

The final model should look like this:

Pr of Y= Exp (B+B1X1+...+BpXp)/ (1+Exp (B+B1X1+...+BpXp)

I've been thinking if we know the Probability of Success with a given RRR we can make the best decision regarding a trade call.

If there is interest and I find the time I might open a thread to explore the model.
I think it would be an interesting study. Looks like your BioStatistics is coming into play here. Have you ever used the program MiniTab in your statistical analysis? It is pretty powerful and you can import data from an Excel chart. It is a bit expensive but there are student discounts for it. I think there is value in determining the statistical probabilities as long as you don't forget that the market occasionally offers up some black swans. That is where good money management will help.

On US equities, I think we have finished a wave down or will very soon. I'm targeting 10500 to 10700 on the dow for the retracement. I covered my shorts there at today's opening and took some longs.

Keep up the good work Shahab. I have found your insights to be very valuable.
  • #3,297
  • May 25, 2010 11:52am May 25, 2010 11:52am
  •  Tuner
  • | Joined Nov 2009 | Status: Love it when a plan comes together | 709 Posts
Quoting shahab8b
I've started working on a Logistic Regression Model to calculate the Predictive Probability of a Trade Outcome (Binary Outcome: TP hit or SL hit) based on
some co-variates like :
RSI extreme or not
S>R
Weekly P/S/R
TL
Fib
LSR

The final model should look like this:

Pr of Y= Exp (B+B1X1+...+BpXp)/ (1+Exp (B+B1X1+...+BpXp)

I've been thinking if we know the Probability of Success with a given RRR we can make the best decision regarding a trade call.

If there is interest and I find the time I might open a thread to explore the model.
Interest for sure... but as Patience already said... maybe some of our brains need a bit of upgrade first
The idea behind it is clear. and the result should be a pretty good help for the decision to enter a certain trade or not.
Current conditions taken as input giving you the probability of success as result.
--> I think (almost) every trader out there would be more than just interested in having such a "tool".
Not sure if I could participate much.. But willing to bring in all the brain available
"Blue Horseshoe loves Anacott Steel!"
  • #3,298
  • May 25, 2010 12:08pm May 25, 2010 12:08pm
Quoting shahab8b
I've started working on a Logistic Regression Model to calculate the Predictive Probability of a Trade Outcome (Binary Outcome: TP hit or SL hit) based on
some co-variates like :
The final model should look like this:

Pr of Y= Exp (B+B1X1+...+BpXp)/ (1+Exp (B+B1X1+...+BpXp)

If there is interest and I find the time I might open a thread to explore the model.
A day old, Long GOLD is paying now.

I tried fourier and Laplace transform to price action, did not work but was good for scalping.

You may find it very surprising but I have been using PSAR on daily charts for trading stocks and currencies for the longest time and with success.
  • #3,299
  • May 25, 2010 12:41pm May 25, 2010 12:41pm
Quoting shahab8b
I've started working on a Logistic Regression Model to calculate the Predictive Probability of a Trade Outcome (Binary Outcome: TP hit or SL hit) based on
some co-variates like :
RSI extreme or not
S>R
Weekly P/S/R
TL
Fib
LSR

The final model should look like this:

Pr of Y= Exp (B+B1X1+...+BpXp)/ (1+Exp (B+B1X1+...+BpXp)

I've been thinking if we know the Probability of Success with a given RRR we can make the best decision regarding a trade call.

If there is interest and I find the time I might open a thread to explore the model.
That's a good idea. But why logistic regression. Price actions are not that linear and more often nonlinear, and given the explanatory variables, would polynomial regression be perhaps another viable option?
  • #3,300
  • May 25, 2010 1:09pm May 25, 2010 1:09pm
U/CHF is up past 6 weeks, if finishes this week's candle, will be up for 7 weeks straight. I love to exploit statistical patterns.

Now you all know the significance of number 7, if not, Google it.

I think the EURO will return next week from the grave.

Of course, we can not argue with FIB levels either and will have to see where we are at the end of this week with FIB retracements.
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