Craigaudio's ER2 Buyzone Strategy

trading strategies and money management discussion, code, results

Moderator: moderators

Ken_S
rank: 50+ posts
rank: 50+ posts
Posts: 60
Joined: Tue Jun 19, 2007 2:43 am
Reputation: 0
Location: Rivervale, NJ
Gender: Male

Postby Ken_S » Sun Dec 16, 2007 3:46 am

Edward,
Time will tell the worth of automating it, see my Automated BuyZone thread.
"TradeStation doesn't allow a resolution in backtesting of less than 1 minute"
I must be thick or something, but I just did a 2 month backtest using a Buyzone strategy on 1 tick ER2 data. Maybe I'm taking what you are saying out of context.
Yes, many have asked for subminute timestamp data, but why? Because they are too lazy to backtest using tick data? Sometimes being market driven is a bad thing. Again, as long as the ticks are in the correct sequence, who cares what the actual time is. What is time anyway???
Price is not a function of time, and, I hate those long minute bars, that's why I only use tic or volume bars.
We are betting the price moves x ticks in our favor before it moves y ticks against us, that's it, no?
TS code:
enterprice = OpenD + pullback$
If close >= enterprice then buy next bar at enterprice limit
This is the code I use on a tick chart. Same as a stop limit order no?

Don't mean to be argumentative, but Columbus, Henry Ford, etc. where told many times it couldn't be done....

Ken

Please add www.kreslik.com to your ad blocker white list.
Thank you for your support.

Ken_S
rank: 50+ posts
rank: 50+ posts
Posts: 60
Joined: Tue Jun 19, 2007 2:43 am
Reputation: 0
Location: Rivervale, NJ
Gender: Male

Postby Ken_S » Sun Dec 16, 2007 4:04 am

Avery,
Sure no one has ever made money backtesting, but you don't loose money either. Most people loose money trading. How many of those people have rules or a methodology that they've backtested or even paper traded before risking real money? I think a small percentage.
I think random entry would give you 9 out of 10 opportunities to make money too.

I think there is a slight edge to entering a small increment in price from the open. Maybe something psychological to the price moving into the green or red for the day.

Entry and profit targets are one thing. I think the missing piece that I and others are searching for is what to do with the losers. So far, the best exit strategy I've come up with for taking one Buyzone trade per day is waiting till the end of the day to exit. There has to be something better. I need to test and see the statistics for closing or reversing position if price hits the opposite buyzone.

The managing partner of the firm I trade with says "Who cares about the entry, everyone knows the exit is the most important thing". This is from someone who pulls a few thousand out of the markets each day.

I just see so much talk about entry, entry, all over the trading industry, but I'm getting convinced its the exit that matters most in trading profits.

Ken

User avatar
TheRumpledOne
rank: 10000+ posts
rank: 10000+ posts
Posts: 11405
Joined: Sun May 14, 2006 9:31 pm
Reputation: 45
Location: Oregon
Real name: Avery T. Horton, Jr.
Gender: None specified
Contact:

Postby TheRumpledOne » Sun Dec 16, 2007 4:14 am

Ken:

If your ENTRY DOES NOT GIVE YOU THE OPPORTUNITY to make a profit, then all the exit does is minimize loss.

So, to me, focusing on ENTRIES that give me a statistical chance of winning 90% of the time or better is what matters. Exits are simple when that happens.
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!

Please do NOT PM me with trading or coding questions, post them in a thread.

User avatar
TheRumpledOne
rank: 10000+ posts
rank: 10000+ posts
Posts: 11405
Joined: Sun May 14, 2006 9:31 pm
Reputation: 45
Location: Oregon
Real name: Avery T. Horton, Jr.
Gender: None specified
Contact:

Postby TheRumpledOne » Sun Dec 16, 2007 4:16 am

If you use OPEND(0) in TradeStation for stocks you may or may not get the true open price. Use DAILYOPEN instead. It cost me a lot of money to find out that problem.

TradeStation made the DAILYOPEN quote field available to strategies and indicators AFTER I pointed out this problem.
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!



Please do NOT PM me with trading or coding questions, post them in a thread.

User avatar
Patch
rank: 500+ posts
rank: 500+ posts
Posts: 941
Joined: Sat Jan 06, 2007 6:13 pm
Reputation: 0
Location: Virginia
Real name: Jeff
Gender: Male
Contact:

Postby Patch » Sun Dec 16, 2007 9:30 pm

Ken_S

God Bless Henry Ford, Columbus, Forest Shaklee, Donald Trump, The founder of Sea Silver and many more men of enterprise !!!

jb
ENOUGH being a Yalie for me Back to the Sea. "What i can lose, i can win" "YES YOU CAN" - dragon33 -"Pick one method and one pair and stick with them until you master it. "The choice is yours - success or failure." TRO

Please add www.kreslik.com to your ad blocker white list.
Thank you for your support.

User avatar
Gert Frobe
rank: 150+ posts
rank: 150+ posts
Posts: 177
Joined: Fri Jun 30, 2006 9:51 pm
Reputation: 0
Location: Arlington, Texas
Real name: ben arata
Gender: Male

Postby Gert Frobe » Sun Dec 16, 2007 11:19 pm

patch, i would have to strike DT from your list. most of the people on the kreslik form would have made and kept more money than he has from his dad giving him 11,000 rent controlled apartments in NYC that all he had to do is convert them to condos at 100 to 150k each in 1980$s if you just invested to keep pace w/ inflation it would be over 5b today.;)

airball :smt002 :smt002 :smt002 :smt002

User avatar
Patch
rank: 500+ posts
rank: 500+ posts
Posts: 941
Joined: Sat Jan 06, 2007 6:13 pm
Reputation: 0
Location: Virginia
Real name: Jeff
Gender: Male
Contact:

Postby Patch » Sun Dec 16, 2007 11:55 pm

Bert Frobe

Your point about DT is well taken.

The first genteration of wealth builders are the true great men and women. The following generations tend to blow it.

jb
aka Patch

User avatar
eudamonia
rank: 500+ posts
rank: 500+ posts
Posts: 536
Joined: Thu Jun 15, 2006 9:50 pm
Reputation: 0
Location: Rocklin, CA
Real name: Edward Heming
Gender: Male
Contact:

Postby eudamonia » Mon Dec 17, 2007 1:34 am

Ken_S wrote:Edward,
Time will tell the worth of automating it, see my Automated BuyZone thread.
"TradeStation doesn't allow a resolution in backtesting of less than 1 minute"
I must be thick or something, but I just did a 2 month backtest using a Buyzone strategy on 1 tick ER2 data. Maybe I'm taking what you are saying out of context.
Yes, many have asked for subminute timestamp data, but why? Because they are too lazy to backtest using tick data? Sometimes being market driven is a bad thing. Again, as long as the ticks are in the correct sequence, who cares what the actual time is. What is time anyway???
Price is not a function of time, and, I hate those long minute bars, that's why I only use tic or volume bars.
We are betting the price moves x ticks in our favor before it moves y ticks against us, that's it, no?
TS code:
enterprice = OpenD + pullback$
If close >= enterprice then buy next bar at enterprice limit
This is the code I use on a tick chart. Same as a stop limit order no?

Don't mean to be argumentative, but Columbus, Henry Ford, etc. where told many times it couldn't be done....

Ken


Ken,

I've not been a TradeStation user since May (moved to NeoTicker permanently) so if they've RADICALLY altered something TradeStation since then what you are saying may be possible.

You can test on a 1 tick chart all you want. However, what you care about is the minimum bar resolution in your Backtesting Format window. The minimum (at least in May and before that) was 1 minute. I really don't think that it's changed. I'd love to see the thread that states that it has. Please show me I'm wrong...

Secondly yes you DO care where the ticks fall in the time sequence. Without that knowledge how can you possible tell when within that minute your were filled! Maybe price reached your entry point once and then moved right through it never pausing to come back (meaning your limit was never filled). How would you ever know in TradeStation????

Also you never answered what I said about STOP MARKET EXIT orders (the only type of stop order available in TradeStation). That means 35% of the time you are surrendering 1 tick to the markets. And I know that TradeStation hasn't answered this problem because sometimes your STOP LIMIT order must be converted to a STOP MARKET order - very few programs (or programmers) can handle all of the automated complications that arise from this type of execution. But I do it all the time manually.

Also if you are saying that the BuyZone didn't make money on ER2 in the last 2 months your information is just plain wrong. I've traded in real time (the only thing that actually counts). That's all I'm saying.

Lastly I disagree with your statement about back testing not losing you money. When you miss an opportunity by engaging in "B.S. back testing" you are losing out on making money. So sorry that statement is B.S.

By the way I'm not saying that the BuyZone can't be automated. What I'm saying is that it requires someone with a mastery understanding of trading on every level (strategy, methodology, execution) and a mastery level understanding of programming. Every Joe-blow who has an engineering degree (and took 2 classes of C++ in college) thinks that they can be the next Ed Seykota. Try reading "The Predictors" to get an understanding of why even guys with PhD's in Computer Programming and Physics got their butts handed to them because they didn't take into account all of the many intricacies involved in trading although eventually they got it right and made some money.

I'm glad to hear that you know some guy who makes thousands per day. Join the club. I know five or six guys who average mid-five to low six figures per day. None of them are using TradeStation (in fact all but 2 utilize their own proprietary software) and all of them rely on real-time walk forward testing (a.k.a real trading) to prove their methods...Hmm does that tell you something?

Edward
Eudaimonia (pron.: you-die-moan-e-a) (Greek: εὐδαιμονία) is a classical Greek word commonly translated as 'happiness'. The less subjective "human flourishing" is often preferred as a translation.

vittorio
rank: <50 posts
rank: <50 posts
Posts: 39
Joined: Thu Feb 15, 2007 4:09 pm
Reputation: 0
Location: Italy
Gender: Male

Postby vittorio » Mon Dec 17, 2007 3:32 pm

To ALL, Thanks a lot for sharing.

Craig,
"From my own testing by eye and a few horizontal lines I have gathered the following results:-"
What 's chart(1 tick , 1 minute,x ) did you use for your test ?


Edward
"There are three ways to test a method with real TICK precision: 1) Walk forward real-time testing"

I am following your advice: below my results (paper trading today) on
ER2Z07.D (1 tick chart)
Could you write your results ?


Vittorio
Attachments
BZ_ER2D.JPG
BZ_ER2D.JPG (70.72 KiB) Viewed 503 times

User avatar
eudamonia
rank: 500+ posts
rank: 500+ posts
Posts: 536
Joined: Thu Jun 15, 2006 9:50 pm
Reputation: 0
Location: Rocklin, CA
Real name: Edward Heming
Gender: Male
Contact:

Postby eudamonia » Mon Dec 17, 2007 4:03 pm

vittorio,

Those are pretty much the results for today. Couple differences. First is that your stop is a stop market order so you'll have 1 less tick than myself. Second is that you may have suffered some slippage on the second trade due to low volume (I know CraigAudio did).

Edward
Eudaimonia (pron.: you-die-moan-e-a) (Greek: εὐδαιμονία) is a classical Greek word commonly translated as 'happiness'. The less subjective "human flourishing" is often preferred as a translation.

Please add www.kreslik.com to your ad blocker white list.
Thank you for your support.


Return to “strategy trading & money management”