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E-Mini Session Wrap Up Video
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E-Mini Session Wrap Up Video

by The MoleNovember 12, 2015

Enjoy a re-run of today’s E-Mini session exhibiting participation as measured by our Zero indicator. On the left side is the hourly panel and the Zero Lite runs on the right via the 5-min panel. Swing traders and scalpers are encouraged to watch the 5-min panel for early clues – in particular price/signal divergences and lack of participation as expressed by a flat signal. If you like what you see then may want to watch some earlier ones – you will find plenty of examples of what to look out for and how to avoid common traps when trading the E-Mini. Plus you may enjoy the tunes 😉

I didn’t add any comments today in order to assure a neutral perspective for everyone. But if you care here is my POV: At the very beginning it looked like we may bounce but that fell apart when the ZL fell back below the mark. From then on all we’re getting is one attempt near VWAP. After that it’s lower highs and lower lows. I think personally I was over thinking it a little in the morning – expected a stronger possibility of a bounce. Which goes to show – you never really are completely free of bias. In hindsight it’s all crystal of course 😉

For me it usually boils down to this:

  • Is the Zero above or below the mark?
  • Is price in line with the Zero?
  • How strong is participation?
  • What happens at inflection points (e.g. previous price levels/extremes or VWAP)?
  • Is the signal gaining strength as price trends?
  • Last but not least are there divergences?

At that first push higher there was still an opportunity to run the tape higher and to fill the gap.. The most crucial moment was the VWAP test thereafter – it all fell apart from there and the Zero continued to point down.

In order to approach this more systemic we need some type of classification that judges the first two hours of the session and looks for recognizable patterns. If we agree that today’s session is a good example then this would represent an example of ‘increasing selling pressure after initial failure to rally’.

Any constructive thoughts would be appreciated. Perhaps we can all collaborate and produce a rule based system that leverages the Zero.

The future is now – so don’t bring a knife to a raygun fight. If you are interested in becoming a Zero subscriber then don’t waste time and sign up here. A Zero subscription comes with full 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 the usual social media waterholes.
Enjoyed this post? Consider a small donation to keep those evil deeds coming!

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  • Scott Phillips

    Andreas rebutted the article posted here the other day about trend following

    http://www.followingthetrend.com/2015/11/apparently-trend-following-just-died-again/

  • https://evilspeculator.com molecool

    I’ll grab my helmet – this should be fun.

  • newbfxtrader

    @disqus_0BQ8B6N0tE:disqus I try trade only in one direction in a given day when using the zero. So if zero below zero and price fails at VWAP its a short side and I do not get on the long side. If participation is good and zero above zero and VWAP is holding its long side for me.

  • Scott Phillips

    Trend following only works through diversification. Even with a universe of all the bonds, major currencies, equity indexes, agriculturals and oil products is still a very marginal system.

    You need to trade about 50 contracts minimum to make it viable

  • https://evilspeculator.com molecool

    He had me at position sizing. I didn’t realize that 20% of cash was deployed to each ETF. I mean WTF…

    In general I agree with his analysis – and he’s pretty objective about trend following in general – no trying to sell it. What can I say – it worked well for me until about 2009.

  • https://evilspeculator.com molecool

    In case anyone wonders I was trading the original turtle system on futures. Plus an anti-turtle system that takes the failures called turtle soup 😉

  • https://evilspeculator.com molecool

    Turtle soup rules:

    LONG

    1) The contract must make a new 20-day high.

    2) The previous 20-day high must have occurred at least four trading sessions earlier.

    3) After the market raises above the previous 20-day high, place an entry buy stop 5-10 ticks below the prior 20-day high. This buy stop will be good for today only.

    4) If the trade is triggered, place an initial good-until-cancelled sell stop one tick above today’s high.

    SHORT

    1) The contract must make a new 20-day low.

    2) The previous 20-day low must have occurred at least four trading sessions earlier.

    3) After the market falls below the previous 20-day low, place an entry buy stop 5-10 ticks above the prior 20-day low. This buy stop will be good for today only.

    4) If the trade is triggered, place an initial good-until-cancelled sell stop one tick under today’s low.

  • Scott Phillips

    Very very good thinking Vinoop 🙂

  • Scott Phillips

    One thing you might want to add is that after a massive trend day, the next day has an extremely high probability of being a small range day (like a ramp and camp on a longer timeframe). The day after a big trend day usually reversal plays and scalping are a good thing

  • Scott Phillips

    Interesting stuff on why trend following doesn’t work on stocks

    “Stocks are a very homogeneous group. The internal correlation is massive. They will all go up and down at the same time with some small variation. In a bull market, they all go up. In a bear market they all go down. Diversification becomes much less important. You end up mainly trading beta anyhow. That can be ok, but if you’re under the delusion that you’re a great stock picker for buying high beta stocks in a bull market, you’re in for a nasty surprise when the bull leaves the field. Stocks are prone to rapid vola expansion in bear markets. Your neatly calculated risk measurements goes right out the window real quick. Suddenly all those stocks that were doing so nicely all fall down hard at the same time. As you start entering shorts on new lows, the stocks tend to make huge, albeit temporary, jumps up. As you’re forced to shut down positions not to blow your portfolio up, they fall back down. The short side of the single equity game is a veritable nightmare for standard trend following models. Modelling strategies on equities properly require total return series and dividends details. You need to analyze the total return series, trade the price series and have logic in place for how to handle the dividends when they come in. The potential for survivorship bias in single stock strategies is massive. If you run a strategy on the S&P 500 stocks for ten years back, base on the current S&P500 constituents, you’ll get an extremely distorted picture. Many of those stocks are in the index because they had a massive price increase. They were not in before. They wouldn’t have been on your radar when they had those returns. Check your data. Applying standard trend following models on single stocks is dumb. It doesn’t matter whether you use breakout channels, moving averages or other indicators. Toggling parameters up and down won’t help. People who say that you should apply standard trend models on stocks also tend to be the people who lacks experience with professional trading or quant modelling but don’t let that stop them from selling defunct trading system to unsuspecting retail traders at a few thousand bucks a pop”

  • TheRooster

    Scott posted some numbers yesterday with commentary on what it highlighted – thought i would do the same to get some feedback.

    My expectancy is lower than my benchmark, but if I had made fewer trading mistakes in this period I would be at 0.175. Interestingly my max drawdown would have been the same regardless of mistakes

    Here’s me since 14th August, inc. open trades:

    R: 14.98
    Trades: 113
    Wins: 47
    Expectancy: 0.14
    Ave Loss: -0.93
    Ave win: 1.63
    win rate: 41.59%
    max drawdown: 12.2R

  • TheRooster

    I heart turtle soup.

    i am an idiot though because i never thought to trade the 2 together which would probably have solved some of my issues with the turtle system when i traded it.

    so simple when you think about it.

  • Scott Phillips

    I like and have also traded turtle soup 🙂

  • Scott Phillips

    Fantastic stuff. I bought Linda’s book, and spent a few months waking up at midnight to sit in her chat room watching her trade in real time.

    She is the real deal, no doubt in the world

  • Scott Phillips

    Which brings up an interesting thing. For me I made 87 trades and made 4 mistakes, so I am better than 1 mistake in 20 trades which is the benchmark.

    if I cannot make less than 1 mistake in 20 trades I have to lower my position sizing until I stop being a fucktard.

    My mistakes

    7/21/15 – I didn’t realize crude was rolling over and I was auto exited, and had to reenter the following month, cost me .15R
    8/2/15 Missed a buy setup on 6B – didn’t trigger so no harm done
    9/15/15 Missed a Sell setup on YM, was a 3R winner – SHITFUCKFUCKFUCK!
    11/2/15 PA position sizing mistake, entered 10 contracts instead of 2 because miscalculated tick value. Positive result on mistake, exited as soon as I realized for $11760 (approx 1.2R profit)

    So I had 4 mistakes for a total of 1.95R loss an average of -.48R per mistake.

    It really hurt missing a 3R winner in YM (the big drop a few months ago)

  • TheRooster

    my mistake frequency is still far too high so i am trading at 1/3r until it improves. Unfortunately that means i couldnt take a feeder cattle trade worth 5R due to position sizing :o(

    one of my classics this month is using the high rather than the close for a calc by accident in wheat which cost me 0.9r. Basic error, totally avoidable.

  • Scott Phillips

    Oh yeah, until that shit gets out of your game you have to play small 🙂

    You are definitely on the right track though mate. Focus on reducing mistakes, the rest takes care of itself. I wish other people here would think that way 🙂

  • TheRooster

    thanks buddy

  • RoastBeeph

    The Clenow trade is a modified version of those rules, correct?

  • https://evilspeculator.com molecool

    Working on something important this morning – don’t have time for a morning post. I’ll chime in later this afternoon. My support levels have not changed, so stick with those. And again watch the Zero – it’ll show you if we’re ready for a bounce 😉

  • BobbyLow

    Mornin Folks. Can’t believe how fast Friday comes. . .

    Crude is still doing its thing and my stop has been moved to a 30 Minute /CL close above 42.44. My US Dollar Short is off to a rocky start but has a little breathing room left with current stop set at a Hourly /DX Close above 99.49.

  • https://evilspeculator.com molecool

    It’s really insane – just was Friday just two days ago!! 😉

  • BobbyLow

    LOL.

    Seriously though, the older I get it appears as if each new week goes by faster than the last. Many years ago, people told me this and I didn’t believe them. Now I do. 🙂

  • ridingwaves

    I heard it too and now have to live it….I blame it on the bankers…

  • Round we go

    vix on a rampage. ridingwaves congrates!

  • ridingwaves

    good to be lucky but we might have an edge to start looking at VIX entries….Scott brought up building a VIX mean avg play and I started tinkering with what I was using based off his discussion..

    Momo playing a big part of it…might take partial profit before the weekend but feel next week has some negativity left for market players..

  • Round we go

    meditate and then there is no time. get meditation app and do the three minute meditation and see how long the three minutes feel like when your not spinning the hamster wheel.

  • Round we go

    something to consider. vix expires 18th

  • ridingwaves

    thank you, good to know..

  • ridingwaves

    Friday the 13th….boo….

  • BobbyLow

    I realize the benefits of meditation.

    However, I’m getting ready to enter my 7th Decade next week. Meditation does not stop the clock from ticking. It also does not make a person immortal. I never realized just how important each day is until I got older. This also why I try to spend each and every day doing what I enjoy doing. 🙂

  • Round we go

    wow that might be the spike in the shorterm. you did not think it would hit near 20 today, yesterday did ya?

  • Round we go

    you would be surprised what happens to your perspective of the world and mortality when you empty your mind of all thought. what evidence do you have that life should be taken seriously? remember your just a silly monkey. https://www.youtube.com/watch?v=zJM4EBuL82o

  • ridingwaves

    I didn’t rule it out…but might take profit now as we are near a lot of support….see if 2035 is recaptured…or act as resistance now

  • Round we go

    yah if you got 20% gain then participial profit is a no brainier. but vix can keep running in this climate as JUNK is toast.

  • ridingwaves

    just as important is XLF lost the 100sma, my thinking didn’t include that but it would be easy to recapture…took partial profit

  • Round we go

    cha ching. banked. nice.

  • Ronebadger

    Check out the narrow BB width…based on past performance, this thing’s got room to run

  • Ronebadger

    Did someone say P-3? (I certainly didn’t)

  • Round we go

    yah, note that on 100% run each day accelerated. no pull back at all. but the macd pattern is differnt. will need to watch each histogram to see how it accelerates.

  • ridingwaves

    p-3 makes me think of an old military jet…

  • BobbyLow

    OMG. Just saying Pee 3 puts me into a cold sweat. 🙂

  • Ronebadger
  • http://ibergamot.blogspot.com/ i Bergamot

    This is all correct, but
    BUT, if you read that paper completely and think about their findings – there is a load of useful information. I’ve been working around many of these characteristics for years, using advantages as ‘edge’ and limitations as ‘filter’. Results are demonstrably better than anything I was able to achieve in futures and currencies.
    Part of method is very basic trend-following technique on Daily and Weekly time frame. Especially Weekly – thats where stock trends are, but it doesn’t work on low time frames. (at least in my definition of trend-following)

  • Ronebadger

    Reminds me…gotta hit the can….

  • ridingwaves

    next week should be good for some quick scalping moves playing both L and S on VIX with opex

  • ridingwaves

    SPX went lower, VIX didn’t…so I will be looking to sell out with any down move…that is all she wrote for today from the looks of it…but it’s friday 13th so whom knows..

  • BKXtoZERO

    Can you tell me more? This is perhaps what I used to try. Part of my old non system was trying to accumulate TVIX at what I thought was low which usually got lower, but waiting it out for huge spikes was the plan. The degradation of TVIX was just too much of a killer. Perhaps using futures like you guys do and having a better signal so you aren’t waiting 9 months would be better.

  • wandering196

    Took one of the bond trades yesterday, holding

  • Huey

    SPX is oversold and holding at support. Going to try a long from SPX ~2031. ISL under 2025
    edit: this is a swing trade based on daily range

  • newbfxtrader

    Try a long at VWAP.

  • Huey

    You’re going to or I should?

  • CandleStickEmUpper

    Hope everyone’s doing well, Ive been lurking only. No trades the last 2 weeks or so but now long /NQ at 4528

  • ridingwaves

    SPX 2035 dance makes every trade tricky now…Scott’s the easy move is over creedo rings in my ear…

  • newbfxtrader

    I was saying if you gonna try a long that’s a good spot to try it. At VWAP.

  • newbfxtrader

    https://www.tradingview.com/x/5FS9XKAY/
    You see something I don’t?

  • CandleStickEmUpper

    An uptrend plus seasonality. stop is in, in case of shake out.

  • https://evilspeculator.com molecool

    How’s my crew? Zero snappy for you leeches…
    ..

  • https://evilspeculator.com molecool

    Oversold is a meaningless concept, a silly contrarian bias which apparently continues to be adopted by each new generation of traders. OVERSOLD/OVERBOUGHT conditions are often where massive squeezes happen due to over eager bottom/top callers.

    Not saying there isn’t a chance for a bounce here. But price always always needs to point the way – price just doesn’t always immediately reverse just because it has progressed outside the 2nd standard deviation. Also see mean reversion… same b.s. IMO. You just cannot rely on it during trending tape.

  • RoastBeeph

    Doing awesome today. Short CL, short GC and short ES all day. I see the flat line on the ZL you drew. Any insight? The market during the same time frame went up and then down, but overall, flat like the ZL.

  • https://evilspeculator.com molecool

    Good show RB – looks like you’re progressing nicely 🙂

    BTW, that support line on the Zero needs to hold for a late session push higher. IF it breaches we may sell into the close.

  • Huey

    Out for -0.1R. Will see how we open Monday.

  • Huey

    Maybe I should have phrased it as short term volatility is high in this down move. Not saying I know this is the low for this move but I view the daily chart as a large range and we are at some support. Drill down to the 15 min and I had a spike low that was retested and failed. Coupled with that the TICK was trending up and in positive territory. That said I spent several hours in the trade with nothing to show for it and a weekend coming up so I got out with the intention of revisiting this trade again on Monday morning. This was a low probability but good risk/reward trade IMO.

  • BobbyLow

    I think a lot of us have fallen into the trap of so-called “Oversold/Overbought” conditions at one time or another. That is until we find out that there is no time limit on how long these so-called conditions can exist. To me it’s another version of top or bottom picking.

  • https://evilspeculator.com molecool

    I like where this is going – if the signal keeps creeping up we may have an entry here.

  • tradingmom

    see the 5 min triangle

  • ridingwaves

    vix testing high of day…could really sell off here..

  • https://evilspeculator.com molecool

    I very much like the signal BUT PRICE MUST PRODUCE A SPIKE LOW. Wish there was more time!!

  • https://evilspeculator.com molecool

    LONG with a stop below 2017.

  • https://evilspeculator.com molecool

    Anyone with me? I take it tradingmilf hitched a ride…

  • https://evilspeculator.com molecool

    Oh-ohhh…

  • https://evilspeculator.com molecool

    Seems those bastards are embarking on one more stop run.

  • tradingmom

    I’m out.

  • https://evilspeculator.com molecool

    Looks like I’ll be hit in a sec.

  • https://evilspeculator.com molecool

    Leaving my stop at 2016.75 and off for dinner. Doubt it’ll hold into the close but it was worth a shot. Enjoy your weekend folks!!!

  • BKXtoZERO

    You must believe in Santa. I enjoy watching!

  • Billabong

    It’s holding for right now…

  • tradingmom

    Interesting long set up for monday — we are both at the bottom of the megaphone from 2016 and backtesting the broken downtrend line on the spx daily
    This is SPX 15 min

  • tradingmom

    spx daily — backtesting broken downtrend line

  • https://evilspeculator.com molecool

    Stop got hit and I would have taken it off anyway had it not been touched. No way I’m holding a position through the weekend unless I have at least a 10 handle buffer. Anyway, enjoy the weekend steelrats!

  • Round we go

    wow, I went surfing with a dolphin jumping at me and then I come back and find out vix is at highs. the weekly candles are marked.

  • Scott Phillips

    Nice trades to be holding 🙂

  • Scott Phillips

    Very very speculative. It’s not an uptrend after the previous drop a few months ago broke the uptrend, but a sideways high volatility tape.

    Sellers are in control here, With 5 down days in a row, increasing range to the downside, and the last two days open at the highs close at the lows, indicating the sellers controlled the close and won all day.

    Seasonality is a very very small thing, like a 52/48 edge, certainly not enough to hang your hat on. You NEED to have some price evidence to confirm your bias, otherwise you are just shopping for reasons to justify a trade you wanted to put on anyway.

    In addition you have no reasonable logical place to put a stop here, it makes it a very difficult trade. What makes more sense is to wait and see if this downmove peters out, and THEN get long with a tight stop.

  • Scott Phillips

    Oversold is a bad concept for traders to use

  • https://evilspeculator.com molecool

    That sounds like one horny dolphin!! Don’t go Le Grand Bleu on us! 😉

  • Scott Phillips

    Agree with you it has more to run, but you need to be EXTREMELY dubious about indicators and anything “technical analysis” on VIX. Vix is not a chart with buyers and sellers, it is a mathematical equation. Trendlines, indicators, all meaningless. Arguably bollingers aren’t, but because bollingers are a derivative, and VIX is a derivative, in statistical terms a second order derivative (derivative of a derivative) has such a high margin for error it is virtually useless 🙂

  • Scott Phillips

    A VIX mean reversion play would be MONEY. One thing to keep in mind is that VIX does NOT behave the same way, it has extremely strong mean reversion property from upmoves and none from downmoves. Given the term structure of VIX futures, VIX is nearly always a short long term.

  • Scott Phillips

    Signals on VIX are going to be infrequent. Nature of the beast

  • Scott Phillips

    Google “bill luby vix and more” he has many many statistically valid ideas for VIX systems. Vix is a motherload of edges, on intraday and longer timeframes, and for intraday even the shitty UVIX TVIX type things are perfectly fine

  • Scott Phillips

    No. It’s nothing to do with those rules. The turtles rules no longer work and have not for some time.

    Trend following is not a viable strategy unless you have 1 million USD in your account 🙂 It relies almost entirely on diversification and portfolio adjustment, the entry/exit rules are trivial and make very little difference to the outcome.

    What makes it work is that you trade at least 50 and ideally 100 different futures markets, including the stuff most of us never see like BOBL/Schatz, Malaysian Palm Oil, Robusta coffee, Sugar both types, Rough Rice, SPI futures, etc etc

  • TheRooster

    One of the hardest things is to kill off an idea that you have been working on for a while. I thought I had a really good idea that would turn into something special but after 100+hrs of work it is returning a win rate of 30%/ expectancy of 0.09 and that’s with some optimisation that probably means it wont translate well to real world trading.

    I might take a look at regression lines next – does anyone trade them?

  • Scott Phillips

    I’m in preliminary stages of regression line crossover system now. Promising

  • TheRooster

    cool, let us know if you make it work (or not) as a negative result might save me some time :o)

  • Scott Phillips

    It’s not a pure mechanical system so it wouldn’t match your results.

    I’m working properly on two setups, 1) breakout from a sideways low volatility period and 2) a mean reversion play after a big move on a regression line crossover for a quick scalp

  • mugabe

    I use them in on one of my accounts as a measure of momentum (the slope) – got the idea from Clenow’s ‘stocks on the move’. Monthly system, though.

  • Crofx

    Aaaaah I’ve been working on a volatility breakout system using ate and bollos, any tips:) master?

  • Scott Phillips

    That book is next on my reading list 🙂

  • Scott Phillips

    I’m no master. YES! I have tips, in fact I have a high SQN system designed by someone I know

    Precondition: Bollinger bandwidth (standard deviation of closes) at a historic low (suggest 90 bar or 100 bar low).

    Sell the downside breakout/buy the upside breakout first close outside bollinger bands.

    The trade management is reasonably complicated, but you could fit your own ideas in there nicely.

    One of the keys with volatility breakout systems is being prepared to take a whipsaw entry in the opposite direction.

    One useful filter would be to take breakouts only in the direction of the higher timeframe trend (defined simply by a MA, or MA crossover or regression line slope etc)

  • Scott Phillips

    One interesting thing that just occurred to me – if your mistake rate did not affect drawdowns, you are making mistakes when the going is good.

    It is worth examining the feelings around this in great and exhaustive detail. It could be (not saying it is) that you become overconfident, or alternatively you don’t think you deserve to be successful (not saying it is)

  • https://evilspeculator.com molecool

    Look at the EUR go guys!

  • Round we go

    man your kinky 🙂

  • https://evilspeculator.com molecool
  • Round we go

    man vix is looking like it may want to go parabolic and has a chance to hit 26 this week. RUT has heavy technical damage now. the short stop rally now is very vulnerable and has a chance to waterfall. will need to see if the powers that be feel the need to prop it up and keep watch how it progresses on monday and tuesday. and option exp also in play. next week is seams like it setting up to be dramatic.

  • https://evilspeculator.com molecool

    exponential you mean…

  • Round we go

    yah exponential is better :0

  • https://evilspeculator.com molecool

    unless it comes back crashing down 😉

  • Round we go

    yah it will crash down, the question is when? come on mole you know the way the oct rally breath was non existent and we could fully retrace if “they” let go. and last week the fed heads talked as if they may be willing to. exciting week ahead for sure.

  • https://evilspeculator.com molecool

    That’s way beyond my paygrade – I just work here cleaning out the latrine and following the tape.

  • newbfxtrader

    http://jlfmi.tumblr.com/post/132922686075/another-less-than-meets-the-eye-nasdaq-rally

    Sure it was a good signal in 2007 until you look to the left and see the non existent breadth for over a year in the dot com boom…

  • Round we go

    Rut has been in bear market this year. it is below nov 2014. things can change at the year 7 of bull run.

    also note copper and oil is at sept low. glencore will probably be in the news soon if they continue down from here.

  • newbfxtrader

    I guess one thing you can do if bearish is not to short the indices. Since breadth is low there’s only a few leaders. The others can be shorted safely?

  • newbfxtrader

    https://www.tradingview.com/x/fxPa5XyL/

    possible. Just keep it below the top line….

  • Round we go

    mos def!

  • Billabong

    Getting a buy signal on GC this evening … time to watch for follow through tomorrow. As a side note on closed end funds, CEF and PHYS are selling at a discount to NAV. CEF doesn’t have a program for converting the shares into physical metal, so it normally trades at a larger discount to PHYS. CEF is currently trading at a 11% discount. On the other hand, PHYS is trading at a 1% discount. The difference being, you can convert your shares to deliverable bullion. No commission but you are responsible for an assay and shipping costs. Over the last few months. PHYS has seen deliverable redemption requests of 2-3 tons. I’m surprised there isn’t/wasn’t more redemption requests. PHYS is literally paying the redeemer 1% (no commission) to take delivery. Like wise, at CEF you’re getting gold at a $120 discount and the silver portion at a $1.60 discount. In a real PM bear market CEF has traded as high as a 17% discount … Caveat emptor.

  • Scott Phillips

    An appropriate initial stop is .5 atr14

  • Round we go

    the bottom line could be the target for moles the scare the children before the xmas rally.

  • Scott Phillips

    That looks quite reasonable

  • TheRooster

    i have been looking at when the ATR channel is inside the Bolls as a possible trigger. Scott’s post below sounds simpler.

  • Scott Phillips

    Don’t throw this idea out, it is a real edge

  • TheRooster

    The example above is cherry picked – I seem to be getting a lot of false signals. I will probably do some more work on it while I formulate some ideas for my next project (either regression lines or stock momentum, haven’t decided which yet).

  • mugabe

    His system is in cash if the S and P 500 is below its 100 day ma (or is it 200 day ma?). So if there is a bear market, your account will do precisely nothing:)
    His backtesting shows that this ma filter markedly improves performance.

  • Scott Phillips

    Three things to potentially look at

    1) Enter in the direction of the higher timeframe trend
    2) Sign of weakness exit, if you get a decent day against you just jump on close
    3) Reentry on whipsaws, which are quite common

  • TheRooster

    Thanks mate, i will take a look at these. You’re a star.

    i think the length of the consolidation may also be a factor but am struggling with the code at the moment to calculate it correctly for analysis

  • https://evilspeculator.com molecool

    “One of the hardest things is to kill off an idea that you have been working on for a while.”

    Also happens in trading – it’s a cognitive bias called the ‘sunk costs fallacy’ (a.k.a. irrational escalation): The tendency to treat money (or in this case time/effort) that has already been committed or spent as more valuable than money that may be spent or acquired.

  • https://evilspeculator.com molecool

    What happens with your idea is this:

    1) It triggers and you basically enter in the direction of the close expecting a trend.
    2) It works out fine and you profit.
    3) It bounces back for a retest and stops you out.
    4) It bounces back, stops you out and keeps running.

    I suggest you investigate the frequency of those three events (2,3,4) and adjust your system accordingly. You may actually take an inverse entry if stopped out. And you may even enter again if stopped out for the 2nd time. It all depends on how often this situation results in flat sideways churn. If momentum is rewarding enough then taking potentially two losses before a winner still could get you into the green.

  • TheRooster

    thanks Mole, you and Scott are keeping me busy for the next few days!

  • Crofx

    Thank you Masters Mole and Scott, and you are Masters, of this domain at the very least, and it’s one helluva domain 😉

    More work now on the system……

  • https://evilspeculator.com molecool

    System development is incredibly difficult. Also keep in mind that campaign management – not entries – is usually what makes or breaks a system. For instance – you need to figure out when it makes sense to move your stop to b/e. How far does the tape advance usually before it reverses and stops you out? Once you have that information you can perhaps cut down on unnecessary stop outs.

  • https://evilspeculator.com molecool

    All good ideas for sure.

  • https://evilspeculator.com molecool

    “I have a high SQN system designed by someone I know”

    Whatever it takes – beg, borrow, and steal – hehe