NexusFi: Find Your Edge


Home Menu

 





THREE SET UPS


Discussion in Trading Journals

Updated
      Top Posters
    1. looks_one Jeff Castille with 215 posts (430 thanks)
    2. looks_two cunparis with 146 posts (154 thanks)
    3. looks_3 shodson with 125 posts (211 thanks)
    4. looks_4 Fat Tails with 73 posts (189 thanks)
      Best Posters
    1. looks_one Fat Tails with 2.6 thanks per post
    2. looks_two Jeff Castille with 2 thanks per post
    3. looks_3 shodson with 1.7 thanks per post
    4. looks_4 cunparis with 1.1 thanks per post
    1. trending_up 251,754 views
    2. thumb_up 1,369 thanks given
    3. group 124 followers
    1. forum 1,073 posts
    2. attach_file 239 attachments




 
Search this Thread

THREE SET UPS

(login for full post details)
  #911 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,099


revtrader View Post
Here are the volume roll-over dates as I recorded them.

From To Contract
12/18/2009 - 1/18/2010 02-10
1/19/2010 - 2/18/2010 03-10
2/19/2010 - 3/18/2010 04-10
3/19/2010 - 4/18/2010 05-10
4/19/2010 - 5/17/2010 06-10
5/18/2010 - 6/18/2010 07-10
6/19/2010 - 7/18/2010 08-10
7/19/2010 - 8/17/2010 09-10
8/18/2010 - 9/17/2010 10-10
9/18/2010 - 10/17/2010 11-10
10/18/2010 - 12-10

Have put my rollover dates and offsets, which are mostly based on volume rollover and always on CL settlement price here:


Reply With Quote
The following 3 users say Thank You to Fat Tails for this post:

Can you help answer these questions
from other members on NexusFi?
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
Futures Close-Out Policy
Commodities
ZombieSqueeze
Platforms and Indicators
Request for MACD with option to use different MAs for fa …
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Just another trading journal: PA, Wyckoff & Trends
33 thanks
Daytrading ES & NQ
32 thanks
Spoo-nalysis ES e-mini futures S&P 500
28 thanks
Battlestations: Show us your trading desks!
23 thanks
Deaddogs Stock Trading
20 thanks

(login for full post details)
  #912 (permalink)
 
shodson's Avatar
 shodson 
OC, California, USA
Quantoholic
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
Posts: 1,976 since Jun 2009
Thanks Given: 533
Thanks Received: 3,709


cunparis View Post
If I had crude data on TS I'd try exporting tick data but I'm no longer subscribed. I used to make continuous data with NT all the time. I think I did it like this:

export a month's data. hardest part is knowing the rollover dates
rename the file to CL ##-##.txt
import it
then repeat for each other month

that way is very simple and it works great. There will be gaps at the rollover days but that's only an issue if holding positions overnight which I never did with crude.

Cool, thanks! I now have a CL ##-## of tick data back to Jan 19 of this year! I've uploaded a RAR file of it here if anybody else wants it.

Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
(login for full post details)
  #913 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Posts: 50,246 since Jun 2009
Thanks Given: 33,110
Thanks Received: 101,367



shodson View Post
Cool, thanks! I now have a CL ##-## of tick data back to Jan 19 of this year! I've uploaded a RAR file of it here if anybody else wants it.

How about attaching it to this post:


I will edit the thread title after. Please be sure to note the time zone.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor


For the best trading education, watch our webinars
Searching for trading reviews? Review this list


Lifetime Elite Membership: Sign-up for only $149 USD
Receive exclusive offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
(login for full post details)
  #914 (permalink)
 
bluemele's Avatar
 bluemele 
Honolulu, Hawaii
 
Experience: Intermediate
Platform: NinjaTrader
Broker: ATC/TT, AMP/Zen-Fire, AMP/CQG
Trading: TF
Posts: 2,543 since Jun 2010
Thanks Given: 3,803
Thanks Received: 2,842

Hey Guys,

Where can I find the insidebar indi for NT7? Sure would save me some time.

I am guessing all the indi's in the front post are 6.5 as they don't seem to load either.

Visit my NexusFi Trade Journal Reply With Quote
(login for full post details)
  #915 (permalink)
 
shodson's Avatar
 shodson 
OC, California, USA
Quantoholic
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
Posts: 1,976 since Jun 2009
Thanks Given: 533
Thanks Received: 3,709

OK, I'm up and running on NT7 RC1 with all of 2010 in a CL ##-## instrument. I've tested 8 ticks tagets, 16 tick targets and 16 tick targets with moving stop to break-even when it hits +8 ticks. In short, and unless there's a bug in my code or in NT7, it's a good thing Jeff uses discretion.




Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
The following 5 users say Thank You to shodson for this post:
(login for full post details)
  #916 (permalink)
 
shodson's Avatar
 shodson 
OC, California, USA
Quantoholic
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
Posts: 1,976 since Jun 2009
Thanks Given: 533
Thanks Received: 3,709



Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
The following 4 users say Thank You to shodson for this post:
(login for full post details)
  #917 (permalink)
 
Jeff Castille's Avatar
 Jeff Castille 
Northern California
 
Experience: Intermediate
Platform: Ninja Trader
Broker: Amp Futures/ Zen-Fire
Trading: YM and CL
Posts: 2,109 since Jun 2009
Thanks Given: 1,783
Thanks Received: 3,303

Hey Shodson,

Great work!!

I am curious if you have filtered for news? Also, did you run your backtest the last 15 minutes of the pit session?

What were your perameters for your preferred backtest?

Thanks, Jeff

Follow me on Twitter Started this thread Reply With Quote
(login for full post details)
  #918 (permalink)
 
bluemele's Avatar
 bluemele 
Honolulu, Hawaii
 
Experience: Intermediate
Platform: NinjaTrader
Broker: ATC/TT, AMP/Zen-Fire, AMP/CQG
Trading: TF
Posts: 2,543 since Jun 2010
Thanks Given: 3,803
Thanks Received: 2,842


Jeff Castille View Post
Hey Shodson,

Great work!!

I am curious if you have filtered for news? Also, did you run your backtest the last 15 minutes of the pit session?

What were your perameters for your preferred backtest?

Thanks, Jeff

The 'preferred' strategy only has roughly 200 trades, while the others are 3 times that. There is some kind of filter in there to eliminate a LOT of trades.

Visit my NexusFi Trade Journal Reply With Quote
(login for full post details)
  #919 (permalink)
 
Jeff Castille's Avatar
 Jeff Castille 
Northern California
 
Experience: Intermediate
Platform: Ninja Trader
Broker: Amp Futures/ Zen-Fire
Trading: YM and CL
Posts: 2,109 since Jun 2009
Thanks Given: 1,783
Thanks Received: 3,303

Hey Shodson,

I know that while backtesting it is difficult to account for news releases...........BUT......our futures.io (formerly BMT) friend from Israel, Baruch Skorohod, has developed an ingenius indicator that is able to put the historical news releases WITH the desired time to "stand aside" on your backtest charts...........perhaps you could contact him and see if he is willing to share his work with you. I'm sure that your inside bars stats will improve !

Also, I have found that certain times of day (morning ahead of oil inventory report) and certain days ( options X and Fed day) and Friday afternoons in general are NOT good times to trade. Taking these days AND time of day functions into account will also improve your stats.

Best, Jeff

Follow me on Twitter Started this thread Reply With Quote
The following 2 users say Thank You to Jeff Castille for this post:
(login for full post details)
  #920 (permalink)
 
cunparis's Avatar
 cunparis 
Paris, France
 
Experience: Advanced
Platform: Market Delta & Ninjatrader
Trading: ES
Posts: 2,565 since Jun 2009
Thanks Given: 1,162
Thanks Received: 2,093



shodson View Post
it's a good thing Jeff uses discretion.

I think entry triggers are great because we can relax a bit while waiting for the trigger and potentially monitor several markets. But once it triggers, in my opinion, discretion is required. The reason is it's very difficult to have an exit trigger. Many edges only have a few ticks net edge (many only have 1 tick net edge). If discretion can get an extra tick out of it then that can increase the profit by 50% (or double it).

I give you an example: When I scalp, I look to get as much as I can. But if price stops moving in my way I'm out. Sometimes I get a couple ticks and sometimes more. But I try not to let it come back to my entry.

Now if I tried to automate that I'd have to pick a target and that would be making a lot of sacrifices. Let's say the target is 8 ticks, market goes 6 ticks in my direction and then pulls back 3. I can get out with +3 ticks. An automated system would get out with 0 assuming a "breakeven stop" is triggered. Now let's say the market moves 12 ticks and then pulls back 2. I could get out with 10, once again beating the automated method.

I quit messing with automation for this reason. I remember back when I was backtesting another strategy with Jeff, I optimized and came up with an optimal target that was bigger than Jeff's +8/+16. I forget what it was but I told Jeff that it's better to wait for the "optimal" target. I don't remember his exact words but it was something like "just because it has hit that in the past doesn't mean that it'll continue doing so". Which turned out to be exactly right. Over the next few weeks the "optimal" wasn't optimal.

So to conclude, backtesting entries can be good to find entry triggers. But in my opinion, discretion should be used once in the trade.

I hope you found this post useful. I wish several years ago I had known this and spent my time learning to trade with discretion instead of programming & backtesting.

Follow me on Twitter Reply With Quote
The following 6 users say Thank You to cunparis for this post:





Last Updated on May 15, 2014


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts