JTrader
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Outlines for 2 simple intraday strategies, WANTED - feedback & ideas
Hi
I WANT to design two separate intraday mechanical strategies and implement them using Tradestation 8.1 with the AIM of profiting from the two main market types – trending and ranging-sideways markets.
I do not intend to hold positions overnight.
I plan to run these 2 distinct strategies simultaneously on the same instrument, on seperate charts,spreading the risk between 2 strategies, accepting that they will both lose money at times, but will make a profit overall – HOPEFULLY.
To avoid curve-fitting, stable indicator-strategy parameters are also important.
I want both strategies to be as simple & successful as possible, with as little drawdown and few negative trades as possible. So -
1. A strategy designed to profit from a ranging market, which tries to restrict trade entries during a trending market.
2. A strategy designed to profit from a trending market which tries to restrict trade entries during ranging/sideways markets.
So far, for the strategy designed to profit from ranging markets, I am considering basing trade entries around a cross above an RSI 14 value of 30 and a cross below an RSI14 value of 70. In essence, the RSI Long Entry (LE) & Short Entry (SE) strategies. I accept that this strategy/s will lose money during trending markets, as prices continue to fall. Therefore I wish to try and identify trending periods, and keep this strategy on the sidelines during trending periods. I am considering combining this entry strategy with the ADX or ADXR indicator. The ADX measures the strength of a prevailing trend as well as whether movement exists in the market. A low ADX value (generally less than 20) can indicate a non-trending market with low volatility whereas a cross above 20 may indicate the start of a trend (either up or down). If the ADX is over 40 and begins to fall, it can indicate the slowdown of a current trend. This indicator can also be used to identify non-trending markets, or a deterioration of an ongoing trend. Therefore if I limited RSI entries to times when ADX14 was 25 or below for example, my chances of achieving a higher % of profitable trades MIGHT be increased.
So far, for the strategy designed to profit from trending markets, I am considering basing trade entries around the MovAvgCross LE and SE strategies. I accept that this strategy will lose money during sideways - ranging market periods, so wish to try and identify sideways periods, and restrict trade entries during sideways-ranging market periods.
I could combine the ADX/ADXR indicators again with the MovAvgCross.
I could also add conditions so that the strategy will not enter another trade following a negative trade/s, until a price breakout has occurred. Therefore I could combine the MovAvgCross LE & SE with a strategy like “Price Channel” LE & SE, which waits for a breakout from the HI-LO of x number of bars.
I have not yet fully considered the combination of exit strategies that I want to use in both strategies. But for both strategies, possibilities include a stop loss Long Exit (LX) & Short Exit (SX), percent trailing LX & SX, profit target LX & SX, Profitable closes LX & SX, breakeven stop LX & SX.
For the MovAvgCross strategy, specific exit criteria could be the MovAvgCross LX & SX, that will exit a trade once the price, or x number of closes have crossed back above or below the MA. line.
This is just a basic outline of what I am trying to accomplish, the direction in which I am considering going, and the approach that I HOPE to see work.
1. A strategy designed to profit from a ranging market, which tries to restrict trade entries during a trending market.
2. A strategy designed to profit from a trending market which tries to restrict trade entries during ranging/sideways markets.
I am after any input, ideas, comments and criticisms with the aim of making these 2 strategies as robust as possible, including any ideas as to what combination of indicators and entry and exit strategies may work well within such proposed strategies.
Do you have any comments, criticisms, ideas, etc. that will enable improvement upon what I have outlined :?:
ALL feedback welcome, many thanks
jtrader.
Hi
I WANT to design two separate intraday mechanical strategies and implement them using Tradestation 8.1 with the AIM of profiting from the two main market types – trending and ranging-sideways markets.
I do not intend to hold positions overnight.
I plan to run these 2 distinct strategies simultaneously on the same instrument, on seperate charts,spreading the risk between 2 strategies, accepting that they will both lose money at times, but will make a profit overall – HOPEFULLY.
To avoid curve-fitting, stable indicator-strategy parameters are also important.
I want both strategies to be as simple & successful as possible, with as little drawdown and few negative trades as possible. So -
1. A strategy designed to profit from a ranging market, which tries to restrict trade entries during a trending market.
2. A strategy designed to profit from a trending market which tries to restrict trade entries during ranging/sideways markets.
So far, for the strategy designed to profit from ranging markets, I am considering basing trade entries around a cross above an RSI 14 value of 30 and a cross below an RSI14 value of 70. In essence, the RSI Long Entry (LE) & Short Entry (SE) strategies. I accept that this strategy/s will lose money during trending markets, as prices continue to fall. Therefore I wish to try and identify trending periods, and keep this strategy on the sidelines during trending periods. I am considering combining this entry strategy with the ADX or ADXR indicator. The ADX measures the strength of a prevailing trend as well as whether movement exists in the market. A low ADX value (generally less than 20) can indicate a non-trending market with low volatility whereas a cross above 20 may indicate the start of a trend (either up or down). If the ADX is over 40 and begins to fall, it can indicate the slowdown of a current trend. This indicator can also be used to identify non-trending markets, or a deterioration of an ongoing trend. Therefore if I limited RSI entries to times when ADX14 was 25 or below for example, my chances of achieving a higher % of profitable trades MIGHT be increased.
So far, for the strategy designed to profit from trending markets, I am considering basing trade entries around the MovAvgCross LE and SE strategies. I accept that this strategy will lose money during sideways - ranging market periods, so wish to try and identify sideways periods, and restrict trade entries during sideways-ranging market periods.
I could combine the ADX/ADXR indicators again with the MovAvgCross.
I could also add conditions so that the strategy will not enter another trade following a negative trade/s, until a price breakout has occurred. Therefore I could combine the MovAvgCross LE & SE with a strategy like “Price Channel” LE & SE, which waits for a breakout from the HI-LO of x number of bars.
I have not yet fully considered the combination of exit strategies that I want to use in both strategies. But for both strategies, possibilities include a stop loss Long Exit (LX) & Short Exit (SX), percent trailing LX & SX, profit target LX & SX, Profitable closes LX & SX, breakeven stop LX & SX.
For the MovAvgCross strategy, specific exit criteria could be the MovAvgCross LX & SX, that will exit a trade once the price, or x number of closes have crossed back above or below the MA. line.
This is just a basic outline of what I am trying to accomplish, the direction in which I am considering going, and the approach that I HOPE to see work.
1. A strategy designed to profit from a ranging market, which tries to restrict trade entries during a trending market.
2. A strategy designed to profit from a trending market which tries to restrict trade entries during ranging/sideways markets.
I am after any input, ideas, comments and criticisms with the aim of making these 2 strategies as robust as possible, including any ideas as to what combination of indicators and entry and exit strategies may work well within such proposed strategies.
Do you have any comments, criticisms, ideas, etc. that will enable improvement upon what I have outlined :?:
ALL feedback welcome, many thanks
jtrader.
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