Just an idea - Inside...A tape-reading

Hello everybody ...

... exist, at least, two interesting concepts that could be turned into in as many EA and are explained in detail in the book "New Concepts in Technical Trading Systems" by J. Welles Wilder Jnr (1978)

The more complex "the reaction trend system" would require the continuous use of a virtual straddle (buy stop two spaced that are mutually occurred break each other) together with a trading system that works in a trading range

The simplest "the momentum concept" is a scalping method which I have elaborate and hourly tested (Dax index) in paper trading (excel) of.

The strategy (a tape-reading model) elaborates (in excel) the high, the low and the close of each session (hour) by planning the entry, target price and stop loss at the end of it

The idea of the strategy is very interesting because there are many combinations to choose the best profit factor

Which one is the best combination?

Are there several with random results, month after month ?

Like a chess problem that reveals the creative idea of the composer, the key, if it exists (?!), it may surprise you ...

... and how opponents in chess are fighting the game ...

... so in trading, I imagine a reality of opposing Escherian logic where the protagonists (buyers and sellers) will contend the result ...

... the idea that I share ... is to adapt ... transforming the original model ...


... "New Concepts in Technical Trading Systems" by J. Welles Wilder Jnr (1978) ...


... in a double test (of opposite logic: sea breams and ducks) ... on Dax index (1 hour)


P.S.

The idea of the strategy is very interesting because there are many combinations to choose the best profit factor ... which one is the best ... (if it exists) (?!) ?

... the question is always that ...


... does the market move randomly ...

... or through a logic (whose essence can be algorithmized) ?

The simplest "the momentum concept" is a scalping method which I have elaborate and hourly tested (Dax index) in paper trading (excel) of.

The strategy (a tape-reading model) elaborates (in excel) the high, the low and the close of each session (hour) by planning the entry, target price and stop loss at the end of it

... Description of the excel sheet ...

The (A)1st column (date and hour)

The (B)2nd column (mf(-1)=cl1-cl0)
is the MomentumFactor(-1) (the difference between the close and the previous one)

The (C)3rd column (mf(-3)=cl3-cl0)
is the MomentumFactor(-3) (the difference between the close and the third close previous one)


The (D)4st column (H3=High(Ẍ3) )
is the H(3)av (the average between 3 highs)

The (E)5st column (H2=High(Ẍ2) )
is the H(2)av (the average between the high and the previous one)


The (F)6th column (L3=Low(Ẍ3) )
is the L(2)av (the average between 3 lows)

The (G)7th column (L2=Low(Ẍ2) )
is the L(2)av (the average between the low and the previous one)


The 8th 9th 10th column (High, Low, Close )

The 11th column (mf(2)=cl2-cl0)
is the MomentumFactor(2) (the difference between the close and two previous one)

The 12th column (TR)
is the True Range (the largest value between 11th, 12th, 13th column)

The 13th column (ATR3)
is the Average (3) True Range (the average between 3TRs)

The (N)14th column (ATR2)
is the Average (2) True Range (the average between TR1 and TR0)


The 15th column (H1-L1)
is the difference between the high and the low price just concluded

The 16th column (H1-CL0)
is the difference between the high just concluded and the previous close

The 17th column (L1-CL0)
is the difference between the low just concluded and the previous close

The 18th column (H+L+CL)/3
is the average between the low, the high and the close

The 19th column ( Ẍ2 )
is the average between the average(18th column) and the previous one

The (T)20th column ( Ẍ3 )
is the average between 3 averages (18th column)


The (U)21th column (lowr mf2)
is the minimum between 3 previous data (2th column)

The (V)22th column (lowr mf1)
is the minimum between 2 previous data (2th column)

The (W)23th column (Tbp mf1)
is close + lowr mf1 (J column + v)

The (X)24th column (Tbp mf2)
is close + lowr mf2 (J column + u)

The (Y)25th column (TbOrig )
is close(-2) + mf(-2 ) (J column + k)
The (Z)26th column (highr mf2)
is the maximum between 3 previous data (2th column)

The (AA)27th column (highr mf1)
is the maximum between 2 previous data (2th column)

The (AB)28th column (Tbp mf1)
is close + highr mf1 (J column + aa)

The (AC)29th column (Tbp mf2)
is close + highr mf2 (J column + z)
The (AD)30th column (hl%v)(volatility)
is in % ((high – low) – average(h-l))/average(h-l) (o column)

The (AE=U)31th column (minMf(-2))
is the minimum between 3 previous data (2th column)

The (AF)32th column (close(0) + AE(1))
is similar but non identical to X column

The (AG)33th column (m/M)
is ratio (AI)/(AL)

The (AH)34th column (M/m)
is ratio 1/AG

The (AI)35th column (%m)
is ratio (close-AF)/AF

The (AJ=Z)36th column (MaxMF(-2))
is the maximum between 3 previous data (2th column)

The (AK)37th column (Mm/mM)
is ratio AH/AG

The (AL)38th column (%M)
is ratio (close-AM)/AM

The (AM)39th column (close(0) + AJ(1))
is similar but non identical to AC column

During the elaboration, the excel spreadsheet calculates


the MomentumFactor(1) (the difference between the close and the previous one)
the MF(2) (the difference between the close and two closeprices previous),

the mf(1)lower and the mf(1)higher
the mf(2)lower and the mf(2)higher

the TrendPointBalance(TPB)lower
(the sum of closeprice ((2closeprice previous than now)) + the mf(1)lower only for 8,9,10 o’clock (then mf(2)lower, 11 to 22 hour))

and the (TPB)higher
(the sum of the closeprice ((2closeprice previous than now)) + the mf(1)higher

The %M and %m with relative ratios: a filter to buy or sell an order

The combination of pivot points atr2,ma2,High2,Low2 … (they are again tested to optimize the PF)

... finally ...

The (AN)40th column (X-atr2)
is long stop or another stop = (1/1,003*entry)

The (AO)41th column (2X-Low)
is long TP

The (AP)42th column (X+atr2)
is short stop or another stop = (1,003*entry)

The (AQ)43th column (2X-High)
is short TP



Inside the (BE)column, I input (date and hour)

Inside the (BF+BG+BH)column, I input (High, Low, Close )

... sea bream ... profit factor (display) ...

... duck ... profit factor (display) ...

I calculate the Dax candles (h1 : High, Low, Close ) from 8 to 21-22 ...

... following these rules ...


Sea bream and duck rules:

each hour

… enter @ 5 seconds to end of hour (SL 0,003%, TP calcolated)

when the probable win is at least 2 points

sea bream system (...would follow the trend ... in theory)

entry, SL 0,003% with short TP or long TP already calcolated


duck system (...would against the trend ... in theory)

entry, SL 0,003% with inverted TP ( short TP when is a long entry, long TP when I am short) but the same, already calcolated

How do I know when to enter long or short ?

(see the duck system example)

I see the close at 7:59:55 (about 12481,4)

The close is greater than the number Xcolumn ...

... if the AK column is between 0.1 and 0.7, enter with long (if the TP is greater than 1 poin: the cost ...)

(Otherwise I'm waiting the next hour)

I see the close at 8:59:55 (about 12456.1)

The close is less than the number ACcolumn ...

... if the AK column is between 1 and 15-20, enter with short (if the TP is greater than 1 poin: the cost ...)

(Otherwise I'm waiting the next hour)

I see the close at 9:59:55 (about 12446.1)

The close is less than the number ACcolumn ...

... if the AK column is between 1 and 15-20, enter with short (if the TP is greater than 1 poin: the cost ...)

(Otherwise I'm waiting the next hour)

I see the close at 10:59:55 (about 12459,1)

The close is greater than the number Xcolumn ...

... if the AK column is between 0.1 and 0.7 (0,2), enter with long (if the TP is greater than 1 poin: the cost ...)

enter@12459,1 (SL 12421,7 TP 12461,7)

(I'm waiting the next hour)

I see the close at 11:59:55 (about 12460,8)

The close is ... greater than the number ... ACcolumn ...

... if the AK column is between 0.1 and 0.7 (0,2), enter with long (if the TP is greater than 1 poin: the cost ...)

enter@12460,8 (SL 12423,4 TP 12467,4) ... while the previous TP was hit ...

The idea of the strategy is very interesting because there are many combinations to choose the best profit factor ... which one is the best ... (if it exists) (?!) ?

Could all be algorithmized in an EA?

Anyway, I post here ( in excell : may 2017 Dax30 cfd) the duck system and the sea bream system for anyone would to try something new ...

Just came acros this thread. Will read more into it this evening. I see you trade the Dax and im curious to understand your trading systems\ideas more. Your charts you post on Carpe Diem are really full so at first i didnt look at them, mostly because i didnt understand all the indicators you have there, but as time goes by i see more and more that your predictions are actually quite acurate! Keep up the good work and please keep sharing that!

With exception of today ofcourse... hehe typical when i say something it goes the other way! Dax just opend at 12746 and jumped the 12710 you predicted. Anyhow think its still good to understand systems i dont know about. Up till now i must say that understanding Market Profile helpt me the most in understanding the market. But since i like fishing i ll do research into your systems