Your feed back please!!

[WAEL012000]

Hi all,

I was wondering if I could get your feed back in regard to the following trading strategy that I use trading the CME E-minis.

1- I solely trade off PP, S2 and R2 (not R1 or S1)
2- I line up 1 NQ contract 2 ticks over and under PP, R2 and S2
3- If the trend reverses, I wait for my 9 and 18 EMs and MACD to cross on the 3 min. chart before I minimize my T&S (For psychological purposes )
4- 3 ticks away from the level, I add another contract
5- I exit my position when the EMAs and MACDs cross again
6- If the trend breaks through these levels, I add another contract 3 ticks later and another opposit ES one simultaneously
7- if the trend continue ( 3 ticks later) I exit the two NQ contracts and add another ES one and watch the EMs and MACDs to cross again before I exit
8- I also keep an eye on the Price and Volume indicator

 

[dbphoenix]

What are the results of your testing, and over how many instances?

 

[WAEL012000]

What are the results of your testing, and over how many instances?

Hi db,

I replied to one of your post on Elite!

In regard to your question, I will give you an answer If you give me one day to go over my trading record.

 

[WAEL012000]

I forgot to add that I do not chase if I do not get filled

Sorry!

 

[WAEL012000]

Here is the answer;

Over the past 5 trading days I made $890.00
I was stoped out once at a $147.70 ( my stop out is 10 ES ticks, 13 NQs or $130.00 ) and I made an avarage of 1 to 3 round trip trades a day

Thanks

Wael

 

[dbphoenix]

How many trades altogether?

 

[WAEL012000]

How many trades altogether?

25 round trips

 

[WAEL012000]

why use pp? pps were used on the floor - yur not using floor traded contracts

anyhow - pps are so widely known now they no longer have an edge - even insiders fade them now

if you get +ve expectancy it will be down to good risk mgt (a good start) as yr entries are random at best

You are right in NR markets as the ones we are having for the past 2 wks or so but it did wonders with me in the past.

That is why I am acting on my above strategy.

I still need to get your feedback in regard to such strategy, I still do not know if it is a lucky strik(s) or does it have merits? What is the worst case scenario that I am not encountering yet?


Thanks

 

[dbphoenix]

25 round trips

And what during that period was your longest series of consecutive losses?

 

[WAEL012000]

And what during that period was your longest series of consecutive losses?

Today is my sixth trading day using that strategy, I did not get hiy yet.

I only stopped myself once at the above mentioned loss!

 

[dbphoenix]

Today is my sixth trading day using that strategy, I did not get hiy yet.

I only stopped myself once at the above mentioned loss!

So you've made 25 trades in your testing, plus however many trades you've taken in six trading days, and you don't have a single loss?

Edit: Tell you what, I'll just cut to the chase here since this could go on indefinitely.

If you have a strategy that is consistently profitable, then it really doesn't make any difference what anybody thinks about it. Then only question that's pertinent is whether or not it's protitable enough, and only you can answer that question.

On the other hand, if your strategy is not consistently profitable, then you have to figure out why, but, again, it doesn't matter what anybody thinks about it. Either it's consistently profitable or it isn't. What it should be or ought to be is irrelevant.

 

[WAEL012000]

So you've made 25 trades in your testing, plus however many trades you've taken in six trading days, and you don't have a single loss?

Edit: Tell you what, I'll just cut to the chase here since this could go on indefinitely.

If you have a strategy that is consistently profitable, then it really doesn't make any difference what anybody thinks about it. Then only question that's pertinent is whether or not it's protitable enough, and only you can answer that question.

On the other hand, if your strategy is not consistently profitable, then you have to figure out why, but, again, it doesn't matter what anybody thinks about it. Either it's consistently profitable or it isn't. What it should be or ought to be is irrelevant.

What do you mean? I lost $147+ in one day and I stopped myself for the day!

What I am saying is whatever happened in the last 6 days must've been a fluke...I want to find out why.

 

[dbphoenix]

What do you mean? I lost $147+ in one day and I stopped myself for the day!

What I am saying is whatever happened in the last 6 days must've been a fluke...I want to find out why.

I'm going by your responses to my questions, but you've lost me.

 

[WAEL012000]

Hi db;

Check post # 5

Thanks

 

[WAEL012000]

OK, let me paraphrase my question again, What is the worst scenario that could happen in the above strategy??

 

[dbphoenix]

You said that you had tested it over 25 trades. However, you then say that you've traded it for five days with 1-3 trades a day, which is at most 15. I'm trying to find out how you tested this strategy since your testing results will tell you how many losses you can expect over a given number of trades. The only way someone else could tell you would be to do the testing themselves.

 

[WAEL012000]

You said that you had tested it over 25 trades. However, you then say that you've traded it for five days with 1-3 trades a day, which is at most 15. I'm trying to find out how you tested this strategy since your testing results will tell you how many losses you can expect over a given number of trades. The only way someone else could tell you would be to do the testing themselves.

db,

most of my trades in the last week went through the following manner;
1- I line a position against PP (1)
2- it breaks through my price and I take another position in the same direction (2) and an opposite one on ES (3)
3- I liquidate my 2 NQs 3 ticks later (4) and take another ES (5)
4- I liquidate my ES when EMAs cross (6)

I only had one instance in the last 5 trading days where it reversed!

In regard to the 1-3, I meant to factor in the part fills as one...My bad!
I see where the confusion is stemming from and I apologise!

The only day that I lost in was after I liquidated my NQ and took the other ES contract.
What ended up happening is that the ES stagnated and then dropped and then moved up again...But that was after I stopped myself out.

That is why, in some of my earlier posts I was trying to gain further knowledge about pair trading and trhe possibility of implementing it with NQ/ES!

What I am trying to achieve is to find a mechanism of the "When and Where" aspect of placing the ES order.

I am almost sure that the 4/1 ratio of success is a coincidental one, what I am trying to find out is why?
I also know that the 5 day sample is a very short one to base my judgment on.
What is handycapping me is my stop loss which I am not going to revise due to past bad experiences.

I hope that explains it.

Thanks

 

[dbphoenix]

I seem to have misunderstood your question from the beginning. When I asked about the results of your testing, I assumed that you were employing a strategy that you had tested. However, you're still in the process of developing the strategy. Therefore, it's impossible to say at this point how many losses you can expect, continuous or otherwise, or what the potential drawdown might be.

As for developing a pairs trading strategy, I'm afraid I can't help you there as that isn't what I do.

 

[WAEL012000]

Thanks for attempting to help anyway db

wael