GREY1 P/L daily

[Grey1]

Hi Steve,

I am attaching the 'executions'-the sizes are intentionally very small, primarily so that I can increase my confidence and secondly I'm far away from making a RS indicator which can calculate the position sizes (I know G1 says 5min to make one-not for me though ) - I am still struggling with the RS easylanguage.

I could have stayed in RHAT for longer and this would have given me a few more points but had to go to the market so I closed the trade.
My exit from SNDK trades were slightly prematured in both the cases as I got out before the EE signal had come.
The ADBE entry was delayed-on a hind sight I should not have entered where I did -from the time I got the signal and decided to enter, the price had already shot up and therefore my entry at the higher price was a wrong one ; G1's message on wed about the stop loss saved me from a big loss.

Raj

Raj

Your pos sizing is not correct from what i see on the trade blotter..Therefore your risk profile cannot be correct which in turn it means a long term loss of your capital ,, please look at my other posts and if you still had a problem PHONE me on my mobile that I will give you in aPM .


SKPY GROUP REPORT

The full time traders are ALL UP since trading with myself ( IAN $1000, $FIBBO $2000, JULIAN $300 ish ( small size ) STEWARD ( small size ) 500ish LEVLII not sure because he only trades very few trades with us in the afternoon when he comes from work and he is a part time )


Grey1 is UP $4300

On behalf of myself and the GROUP MUCHAS GRACIAS


PS:-- The group is getting there and i am well pleased with their progress. The team is enjoying stress free trading and having loads of laugh and fun while check mating the market.

THIS MARKET CAN NOT GET THIS TEAM

 

[Grey1]

Generally, I find that all of the Indexes move in the same directions including their O/B & O/S conditions usually about 90% of the time or so. But in times when the Dow hits an all time high (High since 2000), and the NASDAQ has only recovered about half of it's descent from 5,000 in 2000, strange things can happen.

At today's open, the Dow and NASDAQ took off in different directions. The INDU became O/S at 10:15 (ET-NY) through 11:45 (ET) and then got in line with the NASDAQ w/both going in the same direction. On the other hand NASDAQ was O/B right from the open until 11:20 and indicated a short. But the NAS only fell 2 bars and continued in an upward trend. By 11:45 (ET) both INDU & NAS MACCI joined and continued the rest of the day together (lets say they were both obedient by this time, not naughty as they were at open - LOL).

So I noticed this today, and added a Line Chart of both the INDU & NASDAQ superimposed upon each other on a 5 min. chart to observe during the day (including superimposing both MACCI's). Grey1's strategies are really simple, by following his guidance of the top down approach. Therefore, today I started off watching the Indexes to see when I would find an O/B or O/S condition by my indicators. But today, I was a bit shocked, so I watched my charts much more carefully. Fortunately for today, I used my Gap Open strategy and went long on EZPW at 10:08 (ET) for + 0.17, not much, but I was not finding the Indexes showing any clarity - at least to me at the time.

So I don't want to start any debates on which Index to follow, I just added one 5 min chart to keep me aware of any Index Divergence, and that's it. See the 2 attached 5 & 10 Min charts. I showed both 5 & 10 Min charts, but kept only the 5 min in my platform for trading awareness.

Hope This Helps!
NAS

NAZ

just use one market such as DOW .. you donot need to follow NAZ .. Apply Mutil time frame to DOW only and bingo , you got urself a Crysal ball

Grey1

 

[evostik]

Hi Steve,

I am attaching the 'executions'-the sizes are intentionally very small, primarily so that I can increase my confidence and secondly I'm far away from making a RS indicator which can calculate the position sizes (I know G1 says 5min to make one-not for me though ) - I am still struggling with the RS easylanguage.

I could have stayed in RHAT for longer and this would have given me a few more points but had to go to the market so I closed the trade.
My exit from SNDK trades were slightly prematured in both the cases as I got out before the EE signal had come.
The ADBE entry was delayed-on a hind sight I should not have entered where I did -from the time I got the signal and decided to enter, the price had already shot up and therefore my entry at the higher price was a wrong one ; G1's message on wed about the stop loss saved me from a big loss.

Raj

Hey Raj, I just wanted to thank you for taking the time and effort to post your attachments - it helps a lot.

Regarding position sizing, I guess you are just using a nominal quantity at the moment, but with 'real money', to get genuine experience with the strategy and build confidence etc. I am doing the same! Wihile in this phase of learning, I find that measuring whether or not I am reading the market properly, and correctly implementing the strategies, is more inportant than getting a small net gain or loss. I think, thanks to Grey1, we do understand ATR based position sizing and will implement it properly when moving up to trading with 'propor' quantities. Anyhow, thats what I am doing.

Hope you continue to do well,

Steve

PS. re Easylanguage code for position sizing. I can help you with that for single timeframe calculations if you want. What I am struggling with is how to pull the three timeframe quantities together into one indicator (as the Iraj Macci Receive!???).

 

[evostik]

By the Way Raj,


For my own sanity check, I thought I would comment on the position sizes of a few of the trades in your screenshot. What I mean is that I detail below the position sizes my model would tell me to take based on the assumptions shown. It would be interesting to hear if your model would agree with these.

For arguments sake, lets assume an account size of $10,000 and one is using a '1% of account rule' as the risk size per trade. This gives $100 to 'play' with.

At the time of your entries, the 1min ATR of VLO was 8c. Therefore, buy $100 divided by 8c which equals 1250 shares.

At the time of your entries, the 1min ATR of SNDK was 14c. Therefore, buy $100 divided by 14c which equals 715 shares.

At the time of your entries, the 1min ATR of RHAT was 1c. Therefore, sell $100 divided by 1c which equals 10,000 shares (scary!!! the trouble with such a low ATR stock is that the spread and dealing charge screws up the theory somewhat).

What do you think?

Thanks Again,

Steve

 

[Grey1]

By the Way Raj,


At the time of your entries, the 1min ATR of RHAT was 1c. Therefore, sell $100 divided by 1c which equals 10,000 shares (scary!!! the trouble with such a low ATR stock is that the spread and dealing charge screws up the theory somewhat).

What do you think?

Thanks Again,

Steve

Which means you should avoid such a stocks due to high commission costs and many problems resulting from the executions

grey1

 

[vegas]

By the Way Raj,


For my own sanity check, I thought I would comment on the position sizes of a few of the trades in your screenshot. What I mean is that I detail below the position sizes my model would tell me to take based on the assumptions shown. It would be interesting to hear if your model would agree with these.

For arguments sake, lets assume an account size of $10,000 and one is using a '1% of account rule' as the risk size per trade. This gives $100 to 'play' with.

At the time of your entries, the 1min ATR of VLO was 8c. Therefore, buy $100 divided by 8c which equals 1250 shares.

At the time of your entries, the 1min ATR of SNDK was 14c. Therefore, buy $100 divided by 14c which equals 715 shares.

At the time of your entries, the 1min ATR of RHAT was 1c. Therefore, sell $100 divided by 1c which equals 10,000 shares (scary!!! the trouble with such a low ATR stock is that the spread and dealing charge screws up the theory somewhat).

What do you think?

Thanks Again,

Steve

Hi All,

I seem to remember Grey1 making a comment last Wednesday regarding some of his team not using the 1minute ATR to position size while they're learning (some are using 5 minutes).

So, maybe that's an idea, as another step in the process:

Step 1 : What Steve and Raj is doing with nominal position sizing, in order to concentrate on the entry and exits and understanding reading the market

Step 2 : Real position sizing, but at a higher ATR level, say 5 minutes, thus reducing the 'sizes' and thus exposure.

Step 3 : when experienced and confident enough moving to a 1 minute ATR position size.


Any thoughts ?

 

[evostik]

Hi All,

I seem to remember Grey1 making a comment last Wednesday regarding some of his team not using the 1minute ATR to position size while they're learning (some are using 5 minutes).

So, maybe that's an idea, as another step in the process:

Step 1 : What Steve and Raj is doing with nominal position sizing, in order to concentrate on the entry and exits and understanding reading the market

Step 2 : Real position sizing, but at a higher ATR level, say 5 minutes, thus reducing the 'sizes' and thus exposure.

Step 3 : when experienced and confident enough moving to a 1 minute ATR position size.


Any thoughts ?

Hi Vegas

Sounds like a logical plan to me. I guess its all about being consistant across your trades so as long as the position sizing principle remans 'intact' then one could use a larger ATR timeframe or one could still use the 1min ATR but use less than 1% of account size (in my example) - one could use 0.25% or whatever one's comfort level is right?

Cheers

Steve

 

[rajibde]

By the Way Raj,



At the time of your entries, the 1min ATR of RHAT was 1c. Therefore, sell $100 divided by 1c which equals 10,000 shares (scary!!! the trouble with such a low ATR stock is that the spread and dealing charge screws up the theory somewhat).

What do you think?

Thanks Again,

Steve

Point taken Steve- I should not have taken the RHAT trade due to the low atr; actually due to the lack of indicators on my RS, I have as yet not been able to make my trading as mechanical as I would like it to be and consequently sometimes (like this one)-I might miss a few checks before entry (maybe someday I'll have the required indicators.....always a risk of going broke before then and hence my small share sizes).

Thank you very much Grey1 for you feedback on my executions. As mentioned above, I do now understand the concept of position sizing (thanks to last wednesday's session with you)but the problem is trying to make the code for the RS.

Raj

 

[rajibde]

PS. re Easylanguage code for position sizing. I can help you with that for single timeframe calculations if you want. What I am struggling with is how to pull the three timeframe quantities together into one indicator (as the Iraj Macci Receive!???).

My understanding is that the 'global variable' which Grey1 sends along with the indicator does the trick. Let me know if you do not get any joy and then I can send you some screen prints which might be helpul.

Raj

 

[vegas]

Vegas,

This does seem strange, how many symbols do you monitor in one go ?
Also do you know how much capacity your CPU is using ?


Paul

Sorry Paul.....I missed your post above.

I monitor about 20 symbols in one go. Regarding capacity, it normally runs at between 15% - 30% (although I have'nt checked recently).


Thanks,
Frank.

 

[evostik]

My understanding is that the 'global variable' which Grey1 sends along with the indicator does the trick. Let me know if you do not get any joy and then I can send you some screen prints which might be helpul.

Raj

Hi Raj

To display the three MACCI levels using globalvariable etc. is set up and working fine for me thanks. I was refering to calculating position sizing based on ATR. To apply Gray1's strategy for scaling out, it would be helpful to be able to do this. I use some very simple code for calculating position size in one ATR timeframe. Its shown below. Any comments or improvements most welcome as always.

Cheers

Steve

**********************

inputs:
AccountSize (10000),
RiskPercent (0.5);

vars:
QtyShares (0),
amount (0),
atr (0);

amount = AccountSize*RiskPercent*0.01;
atr = AvgTrueRange(14);
QtyShares = amount/atr;

Plot1 (QtyShares,"Num Shares");

******************************

 

[rajibde]

Thank you very much Paul (for your PM) and Steve for helping me out with the RS code for the number of shares.

Steve, so that I can read the figures from the 1min TF, I have decreased the risk percentage appopriately but I plan to apply the concept of position sizing on Monday (I'll post the results if I am not too depressed at the end of the day). For scaling out , I will use my calculator, making sure that I scale back in (if the opportunity comes)with the same number of shares.

Raj

 

[Trader333]

Raj,

What datafeed are you using ? You may be able to use DDE in Excel to determine relative position size much more easily than in Radarscreen.


Paul

 

[evostik]

Thank you very much Paul (for your PM) and Steve for helping me out with the RS code for the number of shares.

Steve, so that I can read the figures from the 1min TF, I have decreased the risk percentage appopriately but I plan to apply the concept of position sizing on Monday (I'll post the results if I am not too depressed at the end of the day). For scaling out , I will use my calculator, making sure that I scale back in (if the opportunity comes)with the same number of shares.

Raj

Hi Raj

I suppose that an option, while waiting to see if the 'globalvariable' tool cab be used/adapted for this, is you use an approximation for the 3min and 5min ATR which could be added to the above code quite easily. This could then display how many shares to sell at first scale-out and how many to sell at second scale-out etc.

From a reasonably quick analysis, the 3min ATR is typically 1.5 times the 1min ATR and the 5 min ATR is typically 2.5 times the 1min ATR. IF you (and hopefully others too) think this is satisfactory then I could write the new code up.

What do you reckon?

Cheers

Steve

PS Good luck fo Monday

 

[samtron]

Position sizing obviously works, as Grey1 is a great believer, but one of my main concerns with the ATR based alogrithem, is that consolidations can paint a false picture; when a stock breaks out from a consolidation, the ATR PS derived from the consolidation period is pretty much meaning-less

 

[Grey1]

Position sizing obviously works, as Grey1 is a great believer, but one of my main concerns with the ATR based alogrithem, is that consolidations can paint a false picture; when a stock breaks out from a consolidation, the ATR PS derived from the consolidation period is pretty much meaning-less

Any other algorithm cannot change the nature of the market as the market DOES go through consolidation .. In fact it can do so 90% of the time as it happened few days back when market range was around 10 points all day .

The 14 bar time frame on 1 min is short enough to let your algorithm adjust itself to new market condition when the volume is pumped into the market.


Grey1

 

[rajibde]

Raj,

What datafeed are you using ? You may be able to use DDE in Excel to determine relative position size much more easily than in Radarscreen.


Paul

Thanks Paul -I use IQ feed;

if I have understood it correctly then all it requires if the position goes against the entry is to subtract the number of shares shown in 3 min from that shown in 1min and dump that many shares; if it continues to go against then do the same after calculating between 3 & 5 min. What is not completely clear is at what levels of adversity do we do these- is it the next stage of consolidation below the entry point? (I guess that the finesse is achieved if one sees the Captain in controls...)

Raj

 

[evostik]

Thanks Paul -I use IQ feed;

if I have understood it correctly then all it requires if the position goes against the entry is to subtract the number of shares shown in 3 min from that shown in 1min and dump that many shares; if it continues to go against then do the same after calculating between 3 & 5 min. What is not completely clear is at what levels of adversity do we do these- is it the next stage of consolidation below the entry point? (I guess this the finesse is achieved if one sees the Captain in controls...)

Raj

Hi Raj

Good question and I am keen to learn the 'propor' answer, however, I am working on the principle that if the trade goes against you by the value of the ATR concerned then that's when you scale out. i.e. If AAPL has a 1min ATR of 6c, then if after entry the price falls by 6c then you scale out and so on. Part two of the problem/question is when to scale back in as this remains unclear to me.

Cheers

Steve

 

[rajibde]

If AAPL has a 1min ATR of 6c, then if after entry the price falls by 6c then you scale out and so on.
Steve

looks very logical to me.

Raj

 

[Nastrader]

Hi Grey1,

Your Team seemed to have a fantastic trading day last Friday. Noticed that the INDU, during the last hour (hit the Trending INDU # > 50), made a big push to take it to another new high since yr 2K.

Congrates on your P/L also hitting an all time high (it was just phenomenal #$%@^&* just fantastic), while I’ve been on this thread, was it Strategy # 3 which provided the greatest gains?

Regards,
NAS