GREY1 P/L daily

MarkB · Jul 21, 2006

Hi Grey1,

Hope you don't mind me asking but what was the reason for taking the short on SNDK and the exit. Im getting confused between VWAP stratagies and the Exhaustion Engine stratagies, or are they used together.
I remember reading that you said not to VWAP trade until about 45 min after the open yet this trade was almost at the open. INDU was also up at this time.
NIce trade by the way.

Cheers Grey1

Grey1 · Jul 21, 2006

MarkB said:
Hi Grey1,

Hope you don't mind me asking but what was the reason for taking the short on SNDK and the exit. Im getting confused between VWAP strategies and the Exhaustion Engine stratagies, or are they used together.
I remember reading that you said not to VWAP trade until about 45 min after the open yet this trade was almost at the open. INDU was also up at this time.
NIce trade by the way.

Cheers Grey1

Mark myman

MY strategy consists of three major parts. Exhaustion engine , Vwap Engine and Risk Engine.

Exhaustion keeps me out of bad timing for entry and gives me hell of lot of info on when to exit.
Risk Engine stop me from getting into to trade near the MPD bands
Vwap Engine gives me entry .

Vwap Engine uses Modified darvas algorithm that i have mentioned numerous times in my previous posts.

The SNDK trade was based on VWAP signal .

$up $1444.72 No problems. Trading is my life now

I would love to trade live infront of you guys and as soon as I manage to sort out few days I will invite as many as i can to watch my style of trading . I do get hit too but this is trading, I just lost $896 to BRCM but made it up on JOYG short 1038$ ALL in all Muchas Gracias Mr Market . The best business on this planet.

leovirgo · Jul 21, 2006

Grey1 said:
Vwap Engine uses Modified darvas algorithm that i have mentioned numerous times in my previous posts..

Hi Grey1

I can't seem to find them!! I've been testing your strategy. Exhaustion Engine is awesome. I had to place three TF for one symbol in RS to check OB/OS levels as I don't know how to write GlobalVar. Will read the TS guide to GV booklet after market hrs but can you be kind enought to share it? thanks,..

Grey1 · Jul 21, 2006

leovirgo said:
Hi Grey1

I can't seem to find them!! I've been testing your strategy. Exhaustion Engine is awesome. I had to place three TF for one symbol in RS to check OB/OS levels as I don't know how to write GlobalVar. Will read the TS guide to GV booklet after market hrs but can you be kind enought to share it? thanks,..

leo

please give me your email where i can send you the second part of exhaustion engine where you can have all three TF on one screen

OK i am done for the day with $2339.07 . I found the afternoon very difficult to trade but Thanks to risk management and the VWAP signal made me handsome return .

Trading is really really simple if you know how

Muchas gracias Mr market

PS:-- MY TARGET WAS 9000$ to day but could not meet it as the market was going through heavy consolidation and i was not prepared to take excess risk for more reward. My Draw-dawn was i think ZERO the max win was $2500 ish . My target was based on the days i had to take off work to look after the family (nothing mathematical .)

leovirgo · Jul 21, 2006

Grey1 said:
leo

please give me your email where i can send you the second part of exhaustion engine where you can have all three TF on one screen

Hi Grey1,
I will PM you my email. Have a nice weekend with your family.

regards,..

kako · Jul 22, 2006

Hello Iraj

is there any specific reason for you, not pair trading for a while. from recent screenshot of ur trades, i gather u'r satisfuied with directional trades' consistency and high win ratio, not bother to find a pair and hedge the position? the other likely reason i can think of is: recently mkt condition was trending, and as it's better to pair trade in oscilatory mkt condition, u prefer not to pair trade.(however it's still vague for me, how to know the mkt is going to oscilate/trend to day)

do u recommend me(us) to start with pair trading(which i think has less risk&stress rather than directional trades) because of mkt neutral situation, versus full exposure in directional trades.

also i have a secondary question:
is the principle of "Buy into weakness, sell into strength" remains intact for both directional and pair trades? i ask this because i think pair trades are mean reversion trades, with target @ VWAP band, directional trades are targeted to Upper/Lower MPD bands.
if above statements(my thoughts) are wrong, it'd be kind of you to correct me to the right answer.

Regards
......................................
Kako

Grey1 · Jul 22, 2006

kako said:
Hello Iraj

is there any specific reason for you, not pair trading for a while. from recent screenshot of ur trades, i gather u'r satisfuied with directional trades' consistency and high win ratio, not bother to find a pair and hedge the position? the other likely reason i can think of is: recently mkt condition was trending, and as it's better to pair trade in oscilatory mkt condition, u prefer not to pair trade.(however it's still vague for me, how to know the mkt is going to oscilate/trend to day)

do u recommend me(us) to start with pair trading(which i think has less risk&stress rather than directional trades) because of mkt neutral situation, versus full exposure in directional trades.

also i have a secondary question:
is the principle of "Buy into weakness, sell into strength" remains intact for both directional and pair trades? i ask this because i think pair trades are mean reversion trades, with target @ VWAP band, directional trades are targeted to Upper/Lower MPD bands.
if above statements(my thoughts) are wrong, it'd be kind of you to correct me to the right answer.

Regards
......................................
Kako

yes just the hardware restrictions . I can only have up to 27 stocks as VWAP engine uses my resources a lot and any more stock results is a frozen screen . Saying that If i ever get a signal i will trade it fast

Grey1

moreagr · Jul 23, 2006

Iraj,

YOu may want to program in excel or c++ that way your screen may not freeze up as much. I have not tried it myselff yet either. but would like to try it.

if you program in faster language your can process more tickers perhaps over 500 at a time with no problem. I am sure the technology is possible to do this.

still have not gotten ts2000i but looking for trust worthy seller on ebay.

good trading to everyone!!

Trader333 · Jul 23, 2006

moreagr said:
Iraj,

YOu may want to program in excel or c++ that way your screen may not freeze up as much. I have not tried it myselff yet either. but would like to try it.

if you program in faster language your can process more tickers perhaps over 500 at a time with no problem. I am sure the technology is possible to do this.

still have not gotten ts2000i but looking for trust worthy seller on ebay.

good trading to everyone!!

This would require being able to program in C++ which few of us are able to do or hire someone to do it which is an option but not one that is immediately a possibility in terms of being able to use as an alternative application.

However, I have a lot more being processed on my PC which is a lesser spec machine than Iraj and my processor never goes above about 50% and most of the time is down at 17% to 20%.

I think much of this is down to knowing which processes can be turned off as well as a few other tricks but I do agree a C++ application would make things much better. I may go ahead and get this done anyway at some point because the technology is old and will not be supported forever. Also I dont want to have to be tied into a specific broker or data source.

Paul

fibbo · Jul 23, 2006

Trader333 said:
However, I have a lot more being processed on my PC which is a lesser spec machine than Iraj and my processor never goes above about 50% and most of the time is down at 17% to 20%.
I think much of this is down to knowing which processes can be turned off as well as a few other tricks.

Hi Paul

Maybe you could start a thread (with Irajs permission if needed) giving all of us tips about which processors to turn off and to share some of your tricks, maybe even give us screen shots for the more complicated ones. I saw another thread where you also talked about some tricks we could use in TS/Radarscreen as well to save on CPU usage, also other people could give their ideas as well. Im sure im not the only one that would be greatfull,

Thanks in advance. Steve.

Trader333 · Jul 23, 2006

Steve,

There was a thread started along these same lines once before and no-one was really interested so I am not about to repeat what has already been. Also, knowing how to do this is much of an individual requirement because it will depend on what you have on your PC compared to what I have etc and this will determine what can and cannot be done.

Paul

moreagr · Jul 24, 2006

Trader333 said:
This would require being able to program in C++ which few of us are able to do or hire someone to do it which is an option but not one that is immediately a possibility in terms of being able to use as an alternative application.

However, I have a lot more being processed on my PC which is a lesser spec machine than Iraj and my processor never goes above about 50% and most of the time is down at 17% to 20%.

I think much of this is down to knowing which processes can be turned off as well as a few other tricks but I do agree a C++ application would make things much better. I may go ahead and get this done anyway at some point because the technology is old and will not be supported forever. Also I dont want to have to be tied into a specific broker or data source.

Paul

Hi Paul,

well c++ is much bettter and faster as far a backtesting from a convo i 've read. excel VB6 maybe be able to handle more then EL DDE to

i read you could take 20 years of tick data and optimize it in seconds or minutes vs in wealthlab it could take hours. or days for portfoliio of stocks.

I am sure you could have a universe of at least 300-400 stocks that would fit your volume/ volatiity criteria.

rajibde · Jul 24, 2006

Grey1 said:
Mark myman

MY strategy consists of three major parts. Exhaustion engine , Vwap Engine and Risk Engine.

Exhaustion keeps me out of bad timing for entry and gives me hell of lot of info on when to exit.
Risk Engine stop me from getting into to trade near the MPD bands
Vwap Engine gives me entry .

Vwap Engine uses Modified darvas algorithm that i have mentioned numerous times in my previous posts.

The SNDK trade was based on VWAP signal .

$up $1444.72 No problems. Trading is my life now

I would love to trade live infront of you guys and as soon as I manage to sort out few days I will invite as many as i can to watch my style of trading . I do get hit too but this is trading, I just lost $896 to BRCM but made it up on JOYG short 1038$ ALL in all Muchas Gracias Mr Market . The best business on this planet.

Hi Grey1

I could not follow how you use the risk engine. With the VWAP, I thought the entry into the trade is near (or at ) the MPD so how is the risk engine helping to reduce the risk further? Could not find any more info on the risk engine in your posts.

Thanks

Raj

LevII · Jul 24, 2006

rajibde said:
Hi Grey1

I could not follow how you use the risk engine. With the VWAP, I thought the entry into the trade is near (or at ) the MPD so how is the risk engine helping to reduce the risk further? Could not find any more info on the risk engine in your posts.

Thanks

Raj

Raj

Hedged pair trades are entered at or near MPD at times when the market is directionless.

The exhaustion engine prevents entry into directional trades. It also provides information to assist exit.

G1 has dealt with this thoroughly in earlier posts.

rajibde · Jul 24, 2006

LevII said:
Raj

Hedged pair trades are entered at or near MPD at times when the market is directionless.

The exhaustion engine prevents entry into directional trades. It also provides information to assist exit.

G1 has dealt with this thoroughly in earlier posts.

I understand (I think

)the concepts (as G1 has previously shown) behind the entries in relation to the hedged pair trades and the use of the exhaustion engine; G1s statement in relation to the Risk Engine is not very clear to me and hence my previous question. G1 says quote Risk Engine stop me from getting into to trade near the MPD bands -unquote. I thought that the exhaustion engine would ensure that the trade entry (& the exit) takes place at the optimal price (& time) and consequently minimises the risk.
Could you pl. point me towards any G1's post which explains the 'Risk Engine' a bit more in detail?

Thanks

Raj

kako · Jul 24, 2006

Raj;

Risk Engine is related to risk:reward ratio of the posi(in my understanding @least

). it prevents u from taking positions with not favoured RR. ex: if ur stop is 10 cents(in the TF u'r trading), and u'r abt 20 cents to upper vwap band, then it's somehow risky to go long(rr< 1:2) then an alert will show up in Risk Engine showing that it's risky to go long.

HTH
.................................
Kako

rajibde · Jul 24, 2006

kako said:
Raj;

Risk Engine is related to risk:reward ratio of the posi(in my understanding @least ). it prevents u from taking positions with not favoured RR. ex: if ur stop is 10 cents(in the TF u'r trading), and u'r abt 20 cents to upper vwap band, then it's somehow risky to go long(rr< 1:2) then an alert will show up in Risk Engine showing that it's risky to go long.

HTH
.................................
Kako

Kako,

I did read about the RR ratio but it did not occur to me that this feature has also been programmed into the tradestation by G1- now his statement about the risk engine is much clearer to me- thanks a lot.

Raj

kako · Jul 24, 2006

Hello Sir

Hedged pair trades are entered at or near MPD at times when the market is directionless.

it's quite makes sense that pair trading works in non-trending mkt conditions, but let me ask a question: how 'd u know mkt is directionless in any given moment? any objective rule, or tool to detect it?
or maybe just LOOKING @ Dow may give clues abt "is it directionless or not"?

The exhaustion engine prevents entry into BAD directional trades. It also provides information to assist exit.

is above modification to the quoted text from ur post, true? i hope it'd be true, if not please correct me.

Best Regards
........................................
Kako

Grey1 · Jul 25, 2006

Grey1 is back to do what is best at and that is competing with chartist . I am already up $2131 no VWAP signal though. Just pulery based on MPD analysis and the risk engine signal.

If every thing else was as easy as trading lol AMZN trade was just testing a new thingy and nothing to do with VWAP .

Grey1

Grey1 · Jul 25, 2006

Got spiked on better than avegrage consumer report and lost some of my wins on AKAM . This is trading and spike is spike .

How ever got an awesome short Signal from VWAP engine LX,LX,LX from the AAPL and there was me with full force to take advantage .

Up $ 2434 and no more trading for me till we get over consolidation period. I be back at around 6.30 Uk time to improve on that .

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