Thursday

FDAX

Gap: no gap
Gap closed during IB: x
Position price at 9:30: inside prior day HL
IB direction: short

Not good enough for a trade

Mich62 

Hi Dennis, ...in some other market like 6E/6B, GC or CL ... -Michel

Hi Michel,

I started looking at this. Problem is that the tool is looking at the first bar for the IB OHLC but also for the open of the day. This first bar can be any 30 minute bar. So when looking at US futures, I can take the first bar of the US open as first bar in the data.

When looking at a US future, and wanting to see what happens between 900-930, I still would like to see the OHLC of the (US) RTH. Because to me it seems that would tell more about what's going on, than looking at the europe RTH.
The tool is not programmed like that. Any EU based futures that don't correlate with the DAX you can recommend?

Thanks,
Deetee

Deetee 

When looking at a US future, and wanting to see what happens between 900-930, I still would like to see the OHLC of the (US) RTH. Because to me it seems that would tell more about what's going on, than looking at the europe RTH.

Instead of looking at it from a daily time perspective (EU vs US) you could look at it from a session perspective. We have an Asian-, Europe- and US session. Three sessions. Each session will have its own traders, and news/catalysts, often causing price to go in a different direction. Traders in Asia will start at 00.00 CET. Volume during the Asia session will be low. Traders in Europe will start at 08.00/09.00 CET (Frankfurt/London). They will start trading the US currency-, gold- and crude oil futures. Volume picks up from 08.00/09.00 CET.

I think you should be able to do exactly the same, using the same parameters, with 6E/6B, GC or CL as you do with the FDAX. When the US enters it will be different but you're out of your position(s) by then. You just trade the (session) open.

You just should run the numbers. I have no idea how much work that is. But I would not change anything in the system (I guess that saves a lot of time). Not ETH or RTH but sessions (Asia, EU, US), each with its own IB. You can use 09.00-09.30 for 6E/6B, GC and CL. I would agree with you on knowing what's going on during US RTH when talking about the US Indices because stocks will trade only from 15.30-22.00 CET. That's why I think you can look at 6E/6B, GC and CL. Those are traded all day long.

Deetee 

Any EU based futures that don't correlate with the DAX you can recommend?

Maybe the Bund (FGBL)?

Best,
-Michel

Friday

FDAX

Gap: no gap
Gap closed during IB: x
Position price at 9:30: inside prior day HL
IB direction: long (almost flat)

Not looking good for a trade. It's close, but the pts/trade are just to low

Good morning @Deetee,

Would you have taken a trade in 6B or GC this morning if it was the FDAX?

6B opened 09.00 with a gap (outside yesterday's range, below yesterday low).
Position 9.30: outside prior day HL
IB direction: short

Long or short according to your setup (or no trade)?

Edit: GC 9.30 was outside prior day HL. IB direction: short.

Thanks.

Mich62 

Good morning @Deetee, Would you have taken a trade in 6B or GC this morning if it was the FDAX? Thanks.

Good morning Michel,

Difficult question without the tool

Thanks for your input about the sessions, I will give it a go.

Getting the data from Ninjatrader (Kinetic) and adding it to the tool is not much work.

I work with categories/ranges for IB OC and Prior day OC (and less important Prior day HL).
Every day I use this table for my preparations, this is the one I used 28th October:


PrD OC was +82pts, that (the VLOOKUP) gives me -0,01 - 1,16 as a range to filter in the tool. 1,16 is PrD OC value / ATR.
So, -0,01 - 1,16 is a broad range (about 48% of all days from 2010 till June 2022), and if I can, I use the small range 0,13 - 0,71 (30% of all days) that you also can see in the table.
Maybe too much info/detail for now.

IB OC was +3pts, that gives me a -0,61 - 0,82 range to filter in the tool. 0,82 is IB OC / IB 40day average.

Anyway, these ranges I would need to create, per ticker. That is more work, although I think with the last changes I made to the ranges, that I set it up more efficient. Will have to see.

To be continued.

Have a good weekend
Dennis

And one of the problems of this system is, that the more I filter, the smaller the sample size is, the less reliable the statistic is.
I have been considering, which I could just test on the side, to not look at the open-close of 2 days ago, or maybe only when it has a high value.

I think looking at where IB opens (Gap at opening) and where IB ends (below/inside/above prior day HL) are relevant, as well as IB OC and Prior day OC.

And for the DAX I filter on which weekday it is (so that excludes ~80% of the data). Not sure if that filter should be applied to other tickers.

Deetee 

Every day I use this table for my preparations, this is the one I used 28th October:

Hi Dennis,

Are you sure your data is correct for the IB OHLC you use?

Your data (IB OHLC) differs from mine.

I use unfiltered real-time EUREX data from CQG, please see FDAX 12-22 30m chart (08.00-22.00) of last week with 09.00-09.30 IB OHLC.

You can also check with TradingView FDAX1! (Continuous: Current Contract in Front)

Have a nice weekend,
-Michel

221029_FDAX_30m

Mich62 

Hi Dennis, Are you sure your data is correct for the IB OHLC you use?

Ah yeah thanks. Normally I look at the FDAX data, but now that I am still testing/paper trading, I look online at the Lang & Swartz DAX index.
Almost the same and works a bit faster for me. As I currently don't trade this system, I don't start up Lynx or NT. FDAX would be more accurate, but 1 or 2 pts variance don't really make a difference.

FDAX IB OC 28-10 was 4, L&S 3. HL 67pts both.

The data in my database is FDAX. Just for the daily preparation I'm using L&S for now.

Happy Sunday
Dennis

Monday

Last day of the month

FDAX

Gap: up gap
Gap closed during IB: yes
Position price at 9:30: above prior day HL
IB direction: short

With a filter on last day of the month, closed up gap and the IB red, there are only a few historical occasions left. No trade.