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Trading Oil - "Velocity" system


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Trading Oil - "Velocity" system

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  #61 (permalink)
 
Okina's Avatar
 Okina 
montreal quebec/canada
 
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Care free is not bad by itself.

Of course you can't understand why I'm upset against me. But this example is the story of my life. I had a lot of luck and maybe some gifts during my life for many things. But each time I never really care and never exploit them to their full potential.

In ordinary life you notice this patterns but they took months or year to develop .For example you have a very nice and extremely well paid job that you like but you don't really care and resign after a couple of months/years without any real reasons (of course you invent some good reasons to justify your decision), you are very good at something but you don't care etc.... In trading if you have this problems you see them everyday they took 10 min to develop.

I have realize during that last 6 months that trading your own money (it has nothing to do with working for a bank) is like putting yourself under a microscope. All your qualities and also all your "defaults" are immediately revealed (unless you are too stupid to pay attention lol...).

Good day and good trading everyone.

I need a break.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #62 (permalink)
 
gregid's Avatar
 gregid 
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Okina View Post
(I was writing a post and eating cookies...).

All is not lost - as evidenced above - you show great ability for multitasking

Joking aside, as it seems your attitude brings you net positive results so far, remember that:

Tip
Perfect is the enemy of good


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  #63 (permalink)
awaddle
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(I was writing a post and eating cookies...).


lol, those kind of activities are for traders with automated systems.

Only joking friend, I very much enjoy your journal.

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  #64 (permalink)
awaddle
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I'm curious, what are those light and dark blue lines that follow the price like moving averages? Are they moving averages? lol

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  #65 (permalink)
 
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 Okina 
montreal quebec/canada
 
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This post if very long. I hope I will be clear and easy to understand.

I will explain in all the details my system and give so example for each cases. Do no hesitate to comment or to improve if you have some ideas to share with me.

First I have 4 indicators.

Permission indicator.

This indicator is not an actual signal to go long or short. It is a trend indicator. When Trend is “short” only short trade are taken and vice versa.

The indicator is based on a price pattern and a filter.

The price pattern is 3 up bars with close above the filter (to define a permission to go long) or 3 down bars below the filter.

The filter is a VIDYA (Variable moving average based on Chandle Momentum Oscillator). Any Moving Average will work. I prefer VMA in general but it works very well for example with the mid line of a Donchian Channel.

Bar are painted in red or green alternatively (red between a "short price pattern" until we have a "long price pattern" and vice versa.)




As it can be seen in the below chart, the permission indicator is good at catching major move but sideways zigzags or some aberrations make it useless by itself alone.




Time indicator.

Since I only use CVB or Range Bar, time is an independent variable.

For each bar the time it took to draw the bar is measured and compared to the moving average of the time for the previous bars. A trigger is set when the time is under X * Average Time. On this trigger another condition is added : the bar must be in the same direction than the permission indicator (an up bar it the permission is long and vice versa) and the high must be higher than the previous high in an up trend or low lower than previous low in a low trend.

This indicator appears as red a green arrow in the graph below. The actual long or short signals are based on this indicator.

Actual trade are placed only when the time indicator give a signal with additional rules. I have circled the possible entry in the below graph and I have crossed 2 trends that have no meaning since there is no time signals.






The exit signal.

The permission indicator could take a long time to reverse and sometime it shows incoherent signals. In order to avoid that I add an exit signal that is based on a close below (in case on long trade) or above the VYDIA + X*Standard Deviation. When this condition is met the bar are painted in white. See chart below.




The Spine

The “spine” is used for managing a trade. It is a very smooth moving average (an EMA of an EMA of an EMA). It is painted in red when it is going down and green when going up (white if flat).





Entries.

I use a Range bar chart and a Constant Volume Bar Chart. The CVB is not based on actual volume but in number of trades. It measure the order flow more than the actual volume (a trade for 20 contracts or trade for 1 will both count for 1).

What I want to see is 1) a reversal (permission indicator changing from long to short or vice versa) 2) 3 bars going up (or down) with a lot a impulse (less time than the average) 3) the increase (or decrease) in price must take place with a similar increase in order flow (CVB) which also must appears at the same time.

Rule 1: signals are only taken when they appear both on the RB and the CVB. A signal on the CVB alone or RB alone is not taken.

Rule 2: signals are taken only when they appear at the very beginning of the permission indicator (we have a reversal). This rule is important because the signals do not always appears at the beginning of each move but they almost appear at the end of each move (exhaustion).

Rule 3: what I want to see is a lot of impulse after the entry. I do not stay in a position if I do not have that very quickly. I exit even if the exit signal is not here.

Rule 4: I usually avoid taking trade in unchartered territory (near new low or new high of the day including previous night). We have a lot of false signal here.

Rule 5: I never chase a signal. If I have missed the first I do not take the subsequent one since they could also signal an exhaustion.

Rule 6: After a big move (down or up). I do not take any signals. I wait in the ideal case to have a long plateau phase before taking signals. Big in my system means 40 to 50+ ticks moves. It took time for the market to “digest” the new level and I have lot of bad signal here.

Rule 7: After having make a potential profit of 15+ ticks I tend to ignore the signal on the RB and manage the trade with the spine line and the CVB signals.


Examples :

Example 1 : The perfect signal
10:05 permission indicator turned from long to short at the exact same time on the CVB and RB. Time signal happens at the exact same time on the CVB and the RB. This is a text book trade.




Example 2: Ignored Signals
At 9:52 when have a time signal on the CVB. We can see the same time signal on the RB. But the permission indicator reverse only for the the CVB (from red to green) but he was green for a long time for the RB.




Example 3: Wrong signals.
At 11:30 we have at the exact same time a reversal of the permission and a time signal on both the RB and the CVB. But the entry was not good and immediately after the entry the market went down. This kind of signal appears from time to time. They are usually followed by a nice move. It is a kind of failed attempt that is usually followed by a good one.




Example 5: trade management and difficult decisions
5:39 we have all conditions to go long 1) reversal of the permission 2) time signal on both CVB and RB. This trade is a large winner. This part is the most discretionary one of the system. The soft rule here is to take risk with market’s money not your money. We have a potential exit after 15 ticks up on the RB but no exit on CVB and the spine is well below the price, another more serious exit signal after 50 ticks. For a short period of time the CVB went red (permission short) but we are well above the spine. Finally after 70 ticks the CVB cut the spine. Which signal to take?
I did not trade this signal but I won’t have taken the fist exit at 15 ticks but I would certainly have taken the one at 50.


R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #66 (permalink)
 
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 Okina 
montreal quebec/canada
 
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02/24

Market was already 100 point down before the opening. Usually this means not a very good day for my system (yesterday we were at +-10 at the opening if I remember and the day was great).

So far just 1 signal and it was a perfect false. It happens, I had 1 yesterday that I took losing 6 ticks on it but today I was cautious and I was ready to lose a couple of ticks just to see if the signal is confirmed. I was right (and lucky) to wait since my buy signal happened exactly on a local top.


R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #67 (permalink)
 
Okina's Avatar
 Okina 
montreal quebec/canada
 
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I have a good way to "predict" how my system will work. I take all the signals of the past 2 hours and I take only the winning one (even if they do not fit my rules). The only thing that I keep is my 10 tick stop rule.

If I do that and since I "cheat" (it is an ex post replay of the market with the hypothesis that I could know the future) I should find exceptional results and exceptional trades. Today all signals were below 15 ticks virtual profit. This usually mean that the system is not working in the prevailing market conditions.

I need to learn how to play another market since this situation seems to happens more and more frequently on oil (second time this week). Or I need to develop an other system ?

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #68 (permalink)
 
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 Okina 
montreal quebec/canada
 
Experience: Beginner
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Today's trades:

Better that than losing money but...

It was hard to see a sudden market move of 80 ticks in 10 min but I had no signal that fit my rules to enter in this trade. And of course once is over it is easy to say I should have take it. But I do not want to change the rules each time I miss a big move.


R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #69 (permalink)
 
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 Okina 
montreal quebec/canada
 
Experience: Beginner
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Yesterday market: +90 ticks and I could have made 130 if I had been more serious.





Today market: 0 ticks 0 trades and based on my system I have missed only 2 trades of 10 ticks max each. The real and only big move of the day that started around 11:40 did not gave me any signal at the beginning. Of course I had lot of them after but when you are up 20 ticks you say "too late", after up 30 "too late" and so on until you reach 100 ticks and you say "F... you". I would be happy to have catch it but I'm more happy to have not break my rules (even if I need to analyse this move and to understand why I did not catch it).


R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #70 (permalink)
 
Okina's Avatar
 Okina 
montreal quebec/canada
 
Experience: Beginner
Platform: CQG/NT7
Broker: IB/AMP/CQG
Trading: CL
Posts: 2,149 since Sep 2015
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Thanks Received: 5,464


I was disturbed of having missed the big move of yesterday and about the fact that my indicators did not catch it (they catch it but very late).

So I have changed the parameter and done what should never be done: curve fitting.

Result I trade very poorly this morning.

Trade 1:-7
Trade 2: +4
Trade 3: -1

Trade 4: -6
Trade 5: +14

total +4 lol

I post a pic of the trade 4 and 5 (I went long at 31.28 which was a perfect entry but I exit at 31.22... in order to re-enter at 31.50 for a final exit at 31.64, what a waist of a potential big winner)

Parameter are back to old value on the screenshot.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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Last Updated on April 1, 2016


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