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Inside Periods Offer A Marginal Edge
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Inside Periods Offer A Marginal Edge

by The MoleJune 15, 2015

Over the weekend I decided to finally catch up with a chore I was planning for a while now and one that was long overdue: To sift through nearly 2500 CrazyIvan live entry logs and to separate the wheat from the chaff. Clearly sufficient statistical evidence was present and over the past 18 months we have gone through very distinct market phases. I was curious how some of the entry patterns responded and if perhaps some of them could be eliminated.

2015-06-15_IP_update

What I found out was rather interesting and unfortunately, as the system is proprietary, the exact details I must withhold. The most salient part however I am happy to share, which is that inside periods (on the 480 minute chart at least) have little to no edge. They also happen to be the most frequent trigger candle pattern in CrazyIvan. Over the past 18 months inside candles combined (short and long) banked a total of 45.58R assuming 0.015R trading cost per campaign. Which sounds fine until you look at the number of entries – 1043 combined! That means inside candles on average earned only 0.051R after cost per campaign. Hardly worth the effort.

There were a few other patterns and combinations of patterns which I plan to exclude going forward, thereby making CrazyIvan an even more solid but less busy system. The exact details I cannot share but let me show you what happens if you simply cut out inside periods and keep everything else:

2015-06-15_ci_ipandec

As a baseline here’s the currently traded system – including the EC filter. It’s now at 153R – not bad at all! But it did take nearly 2500 campaigns to get there.

2015-06-15_CI_noip

And here’s CrazyIvan as it was traded (not back tested) but without the inside periods. All in all it banked 114R – a bit less. But it did that with only 1421 campaigns – that’s only 57% of the original entries of 2477. Keep in mind that this is without the EC filter – I took this off the raw data as that one was used to do the candle trigger statistics. So it’s quite plausible the final system would have avoided more of the ugliness of the 2014 summer shake out.

Here is an interesting side note: About a year ago I was actually working on an inside periods system that would run on the 60-minute chart. It looked good at first but I quickly realized that the edge was marginal at best. Not one to give up easily I tried every possible entry combination/approach I could think of but no matter what I did the system did not hold up. What I did learn when sifting through the stats was that IPs had an excellent edge IF (and only if) the entry candle (following the IP trigger candle) closed in the plus. Of course by then it was too late – by that time you often had gotten stopped out (the reason why the system didn’t work). So if nothing else – this is a good take away: if an IP candle is breached and the next candle closes in the plus then the odds of continuation are very good.

In the coming days I will produce a version of CrazyIvan that ignores inside periods. After I return from Austria on the 25th I will then produce a more advanced filter based on the statistics I have collected. If you are a CrazyIvan sub then simply ignore inside periods moving forward. In a few days these alerts will not be sent to you anymore, so this is just a transitional phase.

It’s not too late – learn how to consistently bank coin without news, drama, and all the misinformation. If you are interested in becoming a subscriber then don’t waste time and sign up here. The Zero indicator service also offers access to all Gold posts, so you actually get double the bang for your buck.

Cheers,


About The Author
The Mole
Mole created Evil Speculator amidst the chaos of the financial crisis in early August of 2008. His vision for Evil Speculator is a refuge of reason, hands-on trading knowledge, and inspiration for traders of all ages and stripes. You can follow him and his nefarious schemes at various social media waterholes below.
  • HeadNShoulder

    Guten morgen boss

  • Bill

    That’s awesome. With an EC this thing will be lean and mean.

    Do you think there is anything to be inferred about IP setups in general or do you think this is just relevant to the test 480min period? Maybe everybody and their mom is trading them now so they don’t work?

  • http://evilspeculator.com molecool

    Not sure if you saw the comment I just added. I did test IPs on 60 minute charts as well – similar results. Perhaps it’s different on the daily – the dynamics start shifting above 12 hour charts.

  • http://evilspeculator.com molecool

    How’s tricks in Malaysia?

  • Bill

    I saw the first version. My first thought was that maybe bad IP setups could be filtered from good ones depending on differences in candle size, the stops could be changed, ect but looks like you covered all of that.

  • http://evilspeculator.com molecool

    Actually I remember looking into candle sizes as well – didn’t seem to make a difference. Clearly smaller ones produce more R but they also get swept more often. My minimum was four pips/ticks if I recall correctly.

    Feel free to prove me wrong however if you see something that may work.

  • HeadNShoulder

    holding USO puts throughout the weekend is no fun

  • http://pugsma.wordpress.com/denalis-turning-points/ denali92

    love the fact that you keep innovating and improving your systems!

    Definitely a BIG THUMBS UP!

    -D

  • http://pugsma.wordpress.com/denalis-turning-points/ denali92

    quite rare Opex Monday Gap down – last seen in Oct 13….

    Stats favor the bears – Really just as would be expected – market is generally BEARISH Most of the week and tends to make a MAJOR LOW at the end of opex week or post opex – only a few exception August 2009 (had been correcting for a week – Monday low), September 09 (Major top post opex) and Oct 2013 – total head fake – market soared after a down Tuesday.

    This is the 14th significant opex Monday gap down since Jan 2009.

    -D

  • Grant

    Mole, have you looked at specific candle formations within the IP universe? Have you looked at IP’s with OP’s? Also, are you taking partial profits with CI?

  • Skynard

    Looks like a retest, we have added to long positions here. Careful of the low volume rampage, bears getting sucked in.

  • Billabong

    Greek issue resolved for 90 days + OPEX = massive short squeeze….

  • Billabong

    Greek issue not resolved … question then is who owns the debt, ECB or banks? Whose wearing speedos if the tide goes out?

  • HeadNShoulder

    Skynard is the algo

  • Bill

    Apparently the Greeks don’t care so why should we?

  • Ronebadger

    He is MANY things…He is more than the sum of his parts…

  • HeadNShoulder

    ES kissed the POC volume on 8th of June @2078.50 and reversed beautifully…profit taking time and then ramp away?

  • Skynard

    Will post tonight, we are getting an extreme signal on /SB. We are long here.

  • Skynard

    Agree, massive squeeze is in play here. SPX 2140, will be looking to get short around this area.

  • Skynard

    Bull flag @ 2075

  • Billabong

    Captain, there she blows….

  • Skynard

    Good place for OPX:)

  • Skynard

    Think that bears will pay dearly this week with some massive move. Can hardly wait to go short:)

  • HeadNShoulder

    like what…Fed annouce rate cut instead of rate hike then announce no more QE in future on Friday? 😀

  • Skynard

    All I know right now is to be long until then:)

  • http://evilspeculator.com molecool

    Thank you sir – it’s a never ending struggle. Plus I keep learning every day….

  • http://evilspeculator.com molecool

    YES I have – and some pattern combinations are superior – but I can’t reveal any details, sorry 😉

  • Skynard

    Last rally of the summer to suck in as many MF’s as possible:)

  • http://evilspeculator.com molecool

    Hehe – at this point I have mentally and emotionally checked out of equities. Working on more important things….

  • Skynard

    Just as well, just be ready to short the B@*+%:) It should be a good ride

  • Ronebadger

    Others have prognosticated a summer rally, then a late-summer/early fall crash…. a la, October 1987. (…then big recession, then depression, then Armageddon, then ???? …keep your brass monkeys indoors!!!)

  • Skynard

    Hehehe, very possible. That would be fun this time:) Do not try to fight this rally

  • Skynard

    Blowing stops, here we go

  • http://evilspeculator.com molecool

    Jeezzz – what was THAT??

  • http://evilspeculator.com molecool

    That one was one FU candle.

  • Skynard

    Typ stop run, hehehe

  • http://evilspeculator.com molecool

    See below on the 5-min Zero:

  • Skynard

    Plan on seeing crude take the same path north:)

  • Skynard

    Oh, wait and see what we get next:) Bears will be in much pain, above 2080 and blastoff!

  • Bill

    I concur.

  • Scott Phillips

    Never heard that before 😉 That game just sucks, easier for me not to play

  • http://evilspeculator.com molecool
  • Scott Phillips

    IP’s are a marginal edge at best. Subsets of IP’s are better

  • http://evilspeculator.com molecool

    Hey guys – I don’t have any time for an afternoon update but will be back to my usual routine tomorrow. Sorry, I’m finishing up an important project and given the tape this was a good opportunity to push it through (also was working all weekend).

  • Bill

    You work like we do in the States.

  • Bill

    Oddly enough that’s what happens every time I think about trading crude.

  • ridingwaves

    OT-random thoughts from tired traveley

    VIX is near high of day, did Soros buy the RUT index completely, that thing has some big time strength

    5 days surfing soroccan desert points and were still pretty much in the same place….should have stayed for the next swell….

  • BobbyLow

    Crude has been too “Slippery” for me for quite awhile now. :)

  • http://evilspeculator.com molecool

    Hehehe – it’s in the blood – I’m German after all and then I lived 20 years in the U.S :-)

    Plus I fucking love what I do – it’s my passion.

  • wandering196

    are you travelling the world:)

  • newbfxtrader

    We appreciate it. Thx boss.

  • Scott Phillips

    Nice 60m candle setting up on audusd

  • Scott Phillips

    Some of the turds are better than others, there are a couple that are genuine candidates for a system

  • Scott Phillips

    The problem is the old causation/correlation chestnut.

    Over the years I’ve seen decent sample sizes from Ivans students proving this or that, and then when you forward test it the edge disappears

  • hellbent

    Ruh roh

  • mugabe

    it’s only work if you don’t like it

  • http://evilspeculator.com molecool

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