syswizard 

How important did you find volatility to be incorporated into your systems ?

In the past two weeks I just started incorporating it into backtesting in a systematic way so I can only tell you how its changed the results on different systems for me. It has in general reduced the number of trades significantly and also increased my win rate. I started toying with the idea because I was coding a system that looks for volatility expansion. I was using 63.33% of the volume traded since the previous pit session close as my idea of the area of normal random fluctuation, then filtering by mom, rvol, delta of the bar as an entry. I realized that I am obviously looking for periods of volatility so I brushed up on some vol forecasting methods and stated testing that as a filter on different time frames. Filtering on a daily level has great results but less trades than I was looking for that particular system. Do you incorporate a vol filter as an entry condition for your momentum Strats?

FatTailChaser 

Do you incorporate a vol filter as an entry condition for your momentum Strats?

Not yet. I do use it however in setting Stop Losses and Take Profit targets.
See lower indicator in the attachment. I sometimes use the Average line value outright (white line), but sometimes use the ratio of the actual volatility to the average times the average. This ratio can range from 0.5 to 2.0.

FatTailChaser 

Sure bud, that test was pretty simple so I don't mind sharing. That system is trading a 30 min range breakout executing off of a 5 min chart with a daily chart 20 period momentum overlaid onto the 5. The inputs in the 5min chart are high/low over time period so that you get your opening range. High/Low over N bars as the exit parameter, that test is using 1 bar so it exits on a break of the low of the previous 5 min. Entry is filtered directionally by the mom of the daily and by an exponential moving average of the atr to filter for expanding volatility. I use the slope of that ma in the test. Im not going to give you parameters to use but that's the framework for that specific backtest. My point was more so to join the conversation and share some ways of looking at building systems like these that have helped me like starting to filter for volatility when I'm putting together any momentum strategy. If you have any questions or thoughts feel free to share, Ive been writing a lot of different systems lately so I'm definitely interested in what you guys have found useful too.

Thank you for your reply. I am a beginner, so I am still finding this difficult to understand. I hope to read more and more until I understand.

jeronymite 

It was in respect of @kevinkdog but applies to @syswizard as well. Thanks.

 

Code

input: daysback(65),stopl(3000),fac(1.5); //Use a lookback of 65 //Use a StopLoss of 3000 from the entry price //Use a TargetToStopLossFactor of 1.5 times if ADX(14)>10 and close-close[daysback] crosses above 0 then buy next bar at market; //if ADX(14) is greater than 10, and Close[1] is less than Close[lookback + 1], and Close[0] is greater than Close[lookback], buy at market if ADX(14)>10 and close-close[daysback] crosses below 0 then sellshort next bar at market; //if ADX(14) is less than 10, and Close[1] is greater than Close[lookback + 1], and Close[0] is less than Close[lookback], sell at market //If you prefer, you can use Momentum of the lookback length crossing above or below zero. SetStopLoss(StopLoss); //Set Stop loss relative to entry price SetProfitTarget(StopLoss * TargetToStopLossFactor); //Set Target exit relative to entry price

syswizard 

Not yet. I do use it however in setting Stop Losses and Take Profit targets. See lower indicator in the attachment. I sometimes use the Average line value outright (white line), but sometimes use the ratio of the actual volatility to the average times the average. This ratio can range from 0.5 to 2.0.

Are those custom indicators (e.g. _szylOBVPctSlope) or something that can be downloaded somewhere?

Thanks!

koganam 

Code input: daysback(65),stopl(3000),fac(1.5); //Use a lookback of 65 //Use a StopLoss of 3000 from the entry price //Use a TargetToStopLossFactor of 1.5 times ...

Many thanks, koganam. Most useful.

Thanks.

Fu510n 

Are those custom indicators (e.g. _szylOBVPctSlope) or something that can be downloaded somewhere? Thanks!

Strictly custom. I rarely use built-in indicators/signals.

gftrader 

Curious as to whether anyone has been able to code a profitable trading bot specifically for CL or MCL futures? I have been working to accomplish this, and wanted to see if anyone else had a successful bot they were willing to share. Appreciate it!

1 trade x week, Wednesday only, 15min Data1, Daily Data2, $20 of total commissions already included.

 

Code

// CRUDE inventories news, 15min Data1, Daily Data2 input: MyPerc(0.5), StartTime(300), EndTime(1000); input: MyStopLoss(1500); input: News(3); vars: MaxSetup(0), MinSetup(0), MP(0), MyRange(0,Data2), MyTime(false), CanTrade(True); MP = Marketposition; MyTime = False; if Time >= StartTime and Time <= EndTime and EntriesToday(date[0]) < 1 then MyTime = True; //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // Levels var: CurSess(0); CurSess = CurrentSession(0); if CurSess[1] <> CurSess then begin CanTrade = True; MyRange = HighSession(1,1) - LowSession(1,1); MaxSetup = OpenSession(0,0) + MyRange*MyPerc; MinSetup = OpenSession(0,0) - MyRange*MyPerc; end; //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // Entries if MP = 0 and MyTime = True and Close < MaxSetup and dayofweek(date) = News then begin Buy next Bar at MaxSetup on Stop; end; if Time >= 1515 then Sell next bar at open; //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// if MP = 0 and MyTime = True and Close > MinSetup and dayofweek(date) = News then begin Sellshort next bar at MinSetup on Stop; end; if Time >= 1515 then Buytocover next bar at open; // Exits if MyStopLoss > 0 then Setstoploss(MyStopLoss);

soacm 

1 trade x week, Wednesday only, 15min Data1, Daily Data2, $20 of total commissions already included.   Code // CRUDE inventories news, 15min Data1, Daily Data2 input: MyPerc(0.5), StartTime(300), EndTime(1000); input: MyStopLoss(1500); input: News(3); vars: MaxSetup(0), MinSetup(0), MP(0), MyRange(0,Data2), MyTime(false), CanTrade(True); MP = Marketposition; MyTime = False; if Time >= StartTime and Time <= EndTime and EntriesToday(date[0]) < 1 then MyTime = True; //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // Levels var: CurSess(0); CurSess = CurrentSession(0); if CurSess[1] <> CurSess then begin CanTrade = True; MyRange = HighSession(1,1) - LowSession(1,1); MaxSetup = OpenSession(0,0) + MyRange*MyPerc; MinSetup = OpenSession(0,0) - MyRange*MyPerc; end; //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // Entries if MP = 0 and MyTime = True and Close < MaxSetup and dayofweek(date) = News then begin Buy next Bar at MaxSetup on Stop; end; if Time >= 1515 then Sell next bar at open; //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// if MP = 0 and MyTime = True and Close > MinSetup and dayofweek(date) = News then begin Sellshort next bar at MinSetup on Stop; end; if Time >= 1515 then Buytocover next bar at open; // Exits if MyStopLoss > 0 then Setstoploss(MyStopLoss);

Can you please explain in plain English how this strategy works?

Sent using the NexusFi mobile app

kls06541 

Can you please explain in plain English how this strategy works? Sent using the NexusFi mobile app

The strategy buys or sells if the range is broken during the time window (3am to 10pm exchange time). The trade is closed at the end of the session.
The range is calculated based on the previous daily range and half of it is taken (MyPerc 0.5) and added above and below today's open --> MaxSetup = OpenSession(0,0) + MyRange*MyPerc; MinSetup = OpenSession(0,0) - MyRange*MyPerc;

It trades on Wednesday only because it tries to take advantage of the increased volatility caused by the Crude Oil Inventories.