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To prepare for today I entered the values for prior day OHLC and the day before OC.
Also I filtered on day 2/Tuesday.
GREEN IB
When I add a filter to a green IB (9:00-9:30 bar), the output looks like this:
When looking closer to the size of the green IB (which the system uses calculated ranges), there is a nice win% for the range 0-26pts.
The 77% win% looks great, but the sum (of result) is 172 based on 22 trades; that's not great. SL would be 12(% of ATR = ~20pts)
RED IB
When I change the filter to a red IB (9:00-9:30 bar), the output looks like this:
To get more close to the current situation, I'll wait for the IB, so I can add filters on gap Y/N and where price is at 9:30 (below/inside/above).
And of course to add the length of the IB to the filters.
BTW, SumR translates to a relative (to current FDAX price) result of X points per trade
(Relative trade result = trade result in pts / 9am open price * 10000, and the SumR is the sum of the relative trade results).
I mean, 10 absolute points while the DAX price is 10000, is different from 10 absolute point with the DAX price at 18000.
Gap: down gap 28 pts
Gap closed during IB: no
Position price at 9:30: below prior day HL
IB direction: short
What you can see in the snapshot below, is that there is only 1 trade with 75% win% (on the 1st row).
The trade on the 3rd row (long 11:00-14:30) has a better historical results in points, but I think it’s best to follow the highest win% as long as the results are good enough.
DAX long (paper) trade
Entry 11:00
Exit 13:30
SL 40 pts
Result 40 pts loss
Historical results with this setup: See snapshot
Let’s see
(SumR translates to a relative (to current FDAX price) result of X points per trade
(Relative trade result = trade result in pts / 9am open price * 10000, and the SumR is the sum of the relative trade results))
How are you determining your SL? Am I reading your historical data correct that it indicates an SL of 24? Is the 40 based on recent larger volatility/ATR?
The system is calculating hypothetical trades for every day since 2010, all trades starting between 9:30 and 11:30 and ending between 10:00 and 14:30 on each 30m bar (that's 40 time frames per day).
And every trade is calculated with 5 different SL options, 12-15-18-21-24, which are a % of the ATR at that moment in history.
For today's trade, the 40pts is 24% of the ATR (166,66 on 30 May).
Thanks for asking
Deetee
PS. 40 time frames per day with 5 SL is 200 trades per day. For 14,5 years, let's say with 225 trading days per year, the system calculated 652500 trades
For the normal days (not being a German or US holiday, not an German IFO day, not the last or first day of the month) I follow this as strict as possible.
For this system I wanted to have a clear process.
And it's a way to not let the brain come up with ideas of its own and let emotions interfere
Gap: no gap
Gap closed during IB: x
Position price at 9:30: inside prior day HL
IB direction: short
What you can see in the snapshot below, is that there are several trades with 70% win%. I’m taking the one with the highest SumR (historical results).
DAX long (paper) trade
Entry 9:30
Exit 14:30 > I will close the trade at 14:15 due to ADP nonfarm employment numbers
SL 40 pts
Result 94 pts profit
Historical results with this setup: See snapshot
Let’s see
(SumR translates to a relative (to current FDAX price) result of X points per trade
(Relative trade result = trade result in pts / 9am open price * 10000, and the SumR is the sum of the relative trade results))