news trading --> huge spread --> 10/20 pips --> avg 15 pips --> crossing the line 5-10 times --> avg 7.5 / 8 times so 15 X 8 = 120 pips just for the cost ... even if the market is volatile during the news but the spread is already factored
Ignored
A human can't execute fast enough in most instances, you definitely don't want to trade within the first few minutes of a news event. The brokers will rape you on your fills citing fast market conditions. Wait till the market calms down after a news event, when I say calm wait for the spreads to narrow down to manageable levels.
the above is intraday chart of E-Mini SP500 Futures, notice how after news event the market moves or travels fast, that's the condition your looking for. Also notice the moving averages never cross over really intraday. Anytime price approaches a line, its approaching a 'outlier' intraday. An outlier is a price point in respect to time, that the price hits and moves away from, it has a very 'temporal' quality to it. Notice the above chart is a full day session on 1 minute chart.
In the above chart if you institute the algo, the price isn't traveling fast enough, so what could happen is the price stays on the line and crosses back and fort over it. Thus accruing huge transactional costs. You want market conditions where there is energy in price. I use to watch tick charts for hours and hours for atleast 5 solid years. You get a feel for price action of any derivative.
So what are the model dynamics: Just like a hunter or fisherman, don't expect to hunt everyday or fish everyday. The conditions have to be right. What can happen is you don't trade for days on end till an event happens or you wait for important economic news events. Or like the politicians/ruling class do, create an event. But when the conditions are right you take advantage of them for huge gains.
Look for days that the central banks need to 'paint' with a certain message. Those are free money days, meaning the money is being thrown at the markets to paint or move prices the direction they want. They will gladly fill your outlier price point and keep moving markets away from your fill. Your hundred thousand dollar profit intraday is nothing to them, they deal in billions of dollars.
notice the repeated crossovers, the market conditions aren't right. If you pick a non outlier line thats what will happen. Frequent transactional costs.
Look for macro economic derivatives that are at their 52 week highs/lows, ie stock indexes, bonds, currencies... I wait for fear and greed in these markets than take advantage of irrational exuberance. I have found E-mini SP 500 Futures to be the best. Most traders fail because they need to make money everyday and enter markets when they shouldn't. Most don't have the patience to wait.
A couple big scores a year is all you need. Those other times watch markets from a distance.
think of it as a fisherman with limited bait or a hunter with limited bullets or arrows, wouldn't they wait for the setup with the greatest edge. Instead of firing at non ideal times. The bait or bullets/arrows can be viewed as transactional costs. Eventually you will runout without making a kill.
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Joined Feb 2015
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Status: Double the account
|239 Posts
This is AFTER the fact. Like I said when trading the news, even if you waited for the spread to calm down you don't know if the news will move to the market or not. My algo was initiated on Friday where volatility was expected, Nothing happened. Speaking about the price outlier again is the same, it's the most dangerous place to trade, why? Because you expect volatility and that's where algos initiated. Bottom line even if you pick news reports or price outlier you might not get volatility and will end up with chops. Maybe another method to reverse like close of candlestick this will have less transaction cost or moving average crossover like your chart where the transaction cost is definitely less.
{**************************************
Initialize at beginning of strategy
**************************************}
once begin
{****************************************
Multiply day profit target per contract
by the number of contracts
*****************************************}
myDayPTarget = {NumShares *} Day_Profit_Target;
end;
{************************************************* *****
Initialize at beginning of day (for day chart)
NOTE: for 24 hour charts use "if date = Sample_StartTime ..."
************************************************** *****}
{********************************************
At end of every bar calculate today's profit
*********************************************}
ProfToday = OPP ; // Profit today
{************************************************* *******
Turn off entries when a day profit or loss target it hit
************************************************** *******}
if ExitIntraTrade then begin
{************************************************* *****
Check profit and loss on every bar and exit intraTrade
************************************************** *****}
if ProfToday >= myDayPTarget then begin
tradeON = false;
if MP = 1 then begin
sell ("ProfitHit_LX") next bar at market;
end
else if MP = -1 then begin
buyToCover ("ProfitHit_SX") next bar at market;
end;
end;
end
else begin
{****************************************
Check profit and loss only when flat
*****************************************}
If MP = 0 then begin
if ProfToday >= myDayPTarget then begin
tradeON = false;
end ;
end;
end;
Variables:
HighVal( 999999 ) ,
LowVal( 0 ) ;
if Date <> Date[1] then
begin
HighVal = 0 ;
LowVal = 999999 ;
end ;
if Time > Sample_StartTime and Time <= Sample_EndTime then
begin
// collect HH & LL during Smapling Time
HighVal = MaxList( High , HighVal ) ;
LowVal = MinList( Low, LowVal ) ;
// plots
If Show_HH_LL_of_SamplingTime then begin
//HH
Value1 = TL_new(d[1],t[1],HighVal,d,t,HighVal);
TL_Setstyle(value1,5);
TL_Setcolor(value1, darkcyan);
TL_Setsize(value1,1);
//LL
Value2 = TL_new(d[1],t[1],LowVal,d,t,LowVal);
TL_Setstyle(value2,5);
TL_Setcolor(value2, darkmagenta);
TL_Setsize(value2,1);
end;
If Show_EntryHigh_Entry_Low then begin
//EH
Value3 = TL_new(d[1],t[1],HighVal,d,t,HighVal);
TL_Setstyle(value3,5);
TL_Setcolor(value3, cyan);
TL_Setsize(value3,1);
//LL
Value4 = TL_new(d[1],t[1],LowVal,d,t,LowVal);
TL_Setstyle(value4,5);
TL_Setcolor(value4, magenta);
TL_Setsize(value4,1);
end;
end ;
If Time > Sample_StartTime then begin
PriceLStick = ((HighVal + LowVal)/2);
If TT <>TT[1] then begin
If LastProfitLoss >= 0 then NumShares = Initial_Numshares;
If LastProfitLoss <0 then NumShares = NumShares * NumShares_Step;
If NumShares >= Max_Shares then NumShares = Max_Shares;
end;
If NumShares > Initial_Numshares and LastProfitLoss > 0 then NumShares = Initial_Numshares;
If Currentbar > 2 and Price crosses over PriceLStick then
Buy ("PriceLSLong") NumShares shares next bar at market;
If Currentbar > 2 and Price crosses under PriceLStick then
Sell short ("PriceLSShort") NumShares shares next bar at market;
