GREY1 P/L daily

[rajibde]

Raj,

You can write an indicator based on volatility of the timeframe traded that incorporates the optimum position size relative to the size of your account or desired percentage of your account that you wish to risk.


Paul

Hi Paul,

Thanks for the guidance- I'll try to make the indicator (not so comfortable with EL as yet ).

Cheers

Raj

 

[Grey1]

Hi Grey1,

Can I just clarify how to exit a pair trade, I had planned to hold the trade until one of the stocks hit Vwap or my stop, then I would have closed both trades at the same time, I take it that I should place my exit orders using limits and wait for either my stop or target to be hit by one of the pairs and then close the other pair at the same time to be market neutral ?

thanks
Ian

Hi

Nope , your entry is by LMT order . when price is say 10 C from the top and bottom you set a LMT order and leave it for both trades, if one filled and the other did not you execute the missing one @ market even if is is slightly away from the band. This is what I do when i pair trade.

Your exit is
1) when you met your target
2) or when price hit the VWAP

which ever comes first.

As far as ATR is concerned yes you must not buy the same amount of shares based on price. price is irrelevant . you divide ATR stock A / ATR stock B and you buy in that ratio. YOU MUST DO THIS OTHER WISE YOU ARE NOT DOING IT CORRECTLY. You can write basic code to do all that for ya ( on TS )

grey1

grey1

 

[LevII]

Hi

Nope , your entry is by LMT order . when price is say 10 C from the top and bottom you set a LMT order and leave it for both trades, if one filled and the other did not you execute the missing one @ market even if is is slightly away from the band. This is what I do when i pair trade.

grey1

G1,

If your limit order executes on the long side and you cannot short the paired stock at market do you close the long trade?

LII

 

[ianp]

Hi

Nope , your entry is by LMT order . when price is say 10 C from the top and bottom you set a LMT order and leave it for both trades, if one filled and the other did not you execute the missing one @ market even if is is slightly away from the band. This is what I do when i pair trade.

grey1

Hi Grey1,

I take it your vwap engine gives you signals before the price hits the outer vwap band , so then you place your limit orders to be triggered when the price hits the outer band .

Or is it when the price goes through the outer vwap band you place a limit order to enter when the price retraces back to the outer vwap band.

Thanks
Ian

 

[Trader333]

Hi Ian,

Personally, I have always placed the Short trade first just in case it is not possible. I also dont have specific stocks set up to trade against each other. If I get a Long signal because price has hit lower MPD then I will scan for a Short candidate and place that trade first.

I also think that when I wrote the code for VWAP_TGTb it included Macci and possibly profit targets but I cannot quite remember ?


Paul

 

[Grey1]

Hi Grey1,

I take it your vwap engine gives you signals before the price hits the outer vwap band , so then you place your limit orders to be triggered when the price hits the outer band .

Or is it when the price goes through the outer vwap band you place a limit order to enter when the price retraces back to the outer vwap band.

Thanks
Ian

IAN ,,


By looking at the bands you already know what price you be wanting to long or short the stock . So you put ur LMT order when the price is still 10C away from the bands and there you go .. Even if it hit ur price and still penetrated the band don't worry ,. don't stop loss because this is what will happen but it wont last...

is this clear ?

PS:-- when you trade you take a risk this is a game of probabilities and you will come on top i long term on one condition ... GET YOUR POS SIZING RIGHT > I have outlined the mechanism of it few times.


Grey1

 

[Grey1]

G1,

If your limit order executes on the long side and you cannot short the paired stock at market do you close the long trade?

LII

Iwould look at the exhaustion engine for the long side and if in doubt yes , 100% ..

 

[ianp]

Hi Ian,

Personally, I have always placed the Short trade first just in case it is not possible. I also dont have specific stocks set up to trade against each other. If I get a Long signal because price has hit lower MPD then I will scan for a Short candidate and place that trade first.

I also think that when I wrote the code for VWAP_TGTb it included Macci and possibly profit targets but I cannot quite remember ?


Paul

Hi Paul,

Thanks for that taking the short first makes a lot of sense.

I have been waiting until I get a long and short signal within a few minutes of each other rather than searching for a opposing stock.

Can I ask you if you still take a pair trade if the dow is trending strongly or do you look for a directional trade ?

Thanks
Ian

 

[ianp]

IAN ,,


PS:-- when you trade you take a risk this is a game of probabilities and you will come on top i long term on one condition ... GET YOUR POS SIZING RIGHT > I have outlined the mechanism of it few times.


Grey1

Thanks,

thats the next thing on my agenda

Ian

 

[Trader333]

Can I ask you if you still take a pair trade if the dow is trending strongly or do you look for a directional trade ?

Pair trades are only taken on non trending days..


Paul

 

[samtron]

Hi

Nope , your entry is by LMT order . when price is say 10 C from the top and bottom you set a LMT order and leave it for both trades, if one filled and the other did not you execute the missing one @ market even if is is slightly away from the band. This is what I do when i pair trade.

Your exit is
1) when you met your target
2) or when price hit the VWAP

which ever comes first.

As far as ATR is concerned yes you must not buy the same amount of shares based on price. price is irrelevant . you divide ATR stock A / ATR stock B and you buy in that ratio. YOU MUST DO THIS OTHER WISE YOU ARE NOT DOING IT CORRECTLY. You can write basic code to do all that for ya ( on TS )

grey1

grey1

Grey1
For exits and pair trading does that mean you ignore the exhaustion engine signals?

 

[Grey1]

Grey1
For exits and pair trading does that mean you ignore the exhaustion engine signals?

You always keep ur eyes on the exhaustion engine and if one of them gets to OB or OS level then you exit. There can be too many scenarios thaT I LEAVE THAT TO INDIVIDUAL TRADERS. THE CONCEPT IS THE KEY

GREY1

 

[Grey1]

I am out and in cash .. A very easy day to trade with a profit of $2101.48


I made an error on BRCM as i had an awesome signal at the open as a long hedge against short RIMM but closed the trade due stupid confusion of having CHART of AMGN in front of me instead of BRCM. BRCM was the best long of the day with a very high relative strength .. BRCM was a very very low risk LONG play to day .. This is what i mean by high RS relative to market . Nice one BRCM

Exhaustion engine played a very high role in my trading to day.. ALL in all a nice and profitable day again to day even though i had to get away for nearly 45 min with g/f in charge .


Grey1

 

[Grey1]

easy peasy another day another $

up $1074 target $ 2500

 

[leovirgo]

easy peasy another day another $

up $1074 target $ 2500

Well done... for me, took two Gap trades last night, GILD and SNDK. Both gapped up more than 1% each :cheesy: Muchas gracias Grey111111111111111

 

[Cigar]

there was a nice relative strength trade today at approx 3.15pm with NVDA.
NDX and INDU pulled back for 3 bars from todays high, but NVDA moved sideways. In addition, NVDA was just above the whole number, and yesterdays HOD, providing support (I hoped). I could set a tight stop just below these.
Went L at 24.07, added more at .32 and sold at 24.45 when it bounced off .50

 

[MarkB]

Hi Leovirgo,

Nice trading! If you don't mind me asking what were your reasons for going long on these
stocks. Looking at the charts neither the stocks or the market appear to be oversold (apart from possibly GILD on a 3min chart). According to Grey1's "gap trading tricks & tips" thread, preferably both market and stock should be oversold within the last 5 min to take a gap long trade. I must be missing something but cant see what it is .
All the best,

Regards MarkB

 

[leovirgo]

Hi Leovirgo,

Nice trading! If you don't mind me asking what were your reasons for going long on these
stocks. Looking at the charts neither the stocks or the market appear to be oversold (apart from possibly GILD on a 3min chart). According to Grey1's "gap trading tricks & tips" thread, preferably both market and stock should be oversold within the last 5 min to take a gap long trade. I must be missing something but cant see what it is .
All the best,

Regards MarkB

Hi Mark,

GILD and SNDK were both OS in all TF, 1,3,5,& 30min, within a few bars. I think they were OS around 8.30-40pm and have started to regain strength. INDU was also OS. For 30min I use 6CCI 5MACCI to be sensitive. The rest are all 20/6 standard settings. I did not let my winners run. SNDK is now more than 5% up. Actually, AKAM was also a good choice last night but I didnt want to take too many trades as they were my first real gap trades.

cheers,..

 

[MarkB]

Hi Leovirgo,

Thanks for the reply. I didn't realise you were using a 20/6 MACCI, it all makes sense now. I had mine set to 6/5 which is what Grey1 recomended as a starting point in his "what settings to use...." thread. I did have mine set to 20/6 originally but found that the signals overlapped in the 3 time frames better with 6/5.
Anyway, it seems to work for you ok :cheesy: . Keep up the good work.

Regards MarkB

 

[Grey1]

Up $ 1953.69

Please notice the VLO relative weakness to market.. WOULD YOU LONG THIS STOCK ? only a fool would...