Craigaudio's ER2 Buyzone Strategy

trading strategies and money management discussion, code, results

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BlackJack
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Postby BlackJack » Wed Dec 26, 2007 6:47 am

"Or get a real money account and play a mini lot - a buck a pip is not a lot to pay for the lesson."

TheRumpledOne wrote:At www.efxgroup.com you can trade in MICRO lots. So ifyou really want to "test" in real time with real money, a dime can't hurt you too bad.


Avery,

I'm still LOL - a DIME!! a pip. I got to check these guys out! Lets see? a dime a pip would have made my last $40 test a $4 test - ya I like that.

BJ

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Ken_S
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Postby Ken_S » Fri Jan 04, 2008 3:16 am

"All I can do is reiterate that this is a MAJOR flaw in TradeStation's back testing and that's not conjecture it's simply a fact. "

Well, after spending a lot more time than I wanted to, I don't have any reason to believe the tick data from TS, at least for ES is out of sequence historically. Their data department confirmed it's in sequence when I spoke to them on the phone, and I received the following response from "goose" on the TS forum who is said to be rather up to date on the inner workings of TS.
goose:
"My understanding is that ticks/trades are in proper sequence. TS has an internal "tag" method of insuring this, which we don't have access to. My understanding is that in a future release we will get sequential time stamping to the millisecond level."
Looking and recording time/sales data realtime while comparing to a chart, then comparing it to a historical tick chart after the fact also shows me the ticks are in the proper sequence as well. I just can't find any facts to support tick data being out of sequence and therefore useless for backtesting.
All the best,
Ken

BlackJack
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Postby BlackJack » Fri Jan 04, 2008 6:01 am

Ken & Edward,

I've re-read all of your posts - seems to me that both of you are talking about dfferent things. Also seems that your trying to apply what is correct about one to the other.

Edward is talking about minute data and Ken's talking about tick data. To my understanding of ts2ki and ts8 both of you are correct.

The tick data is in sequence. In ts2ki we get to collect and store it locally and we can edit it - that was part of the problem I was talkng about before with downloading historic data. If your stored tick data is not in EXACT sync with the historice data ts2ki will add that data to your data. Making the data rather useless.

The minute data, however is not a direct reconstructin of the tick data for that minute. It is only an approximation of what went on durring that minute. This is especially true in ts2ki where the minute is constructed from only the four cardinal points - H-L-O-C. TS8 fairs a little better in that one can use invoke the 'interbar' which is supposed to allow you to test insde the bar. It works somewhat better than ts2ki - but not much - because it is still not a reconstruction of the tick data for that minute. Minute bars in TS are a facsimile.

BJ

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eudamonia
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Postby eudamonia » Fri Jan 04, 2008 6:33 pm

Ken,

My point isn't that the tick data doesn't exist or can't be displayed on a chart in TS. The point is that it can't be backtested. Again look under your format bar under "intrabar" testing and tell me what is the finest resolution you can have? 6 months a go it was 1 minute. I would love to hear that it has changed but I doubt it has.

Good luck.

Edward

P.S. of course T.S. will tell you there is nothing wrong. Lol. It's their product to protect. Haven't you heard about their Nazi tactics in regard to Avery (and anyone else who challenges their paradigm). If you want to test in T.S. you need to understand the concepts your self - not simply repeat what the T.S. parrots tell you. Best of luck!
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.

jayjay121
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Postby jayjay121 » Sat Jan 05, 2008 4:27 pm

hi all,

im jason 29 from london and i started trading a system similar to tkimbles over at forexfactory, anyway i have had great success with that and i owe alot to tkimble for helping me, i continue to trade it with success............im now also trading tro's buyzone on the er2, this like tkimbles system is such a simple but effective system, based on stats. The buyzone fits my personality as a trader and as a person.

Just wanted to know how many people on here are making money using the buyzone and for how long?....
also what do you guys do on whip-saw days, i like craigaudio's rule where he only makes two trades maximum per day, this would reduce the whip saw days and ill have to try it out, any other ideas?..........
One other thing that has bothered me recently is on a other forum i use, people are saying that this style of trading is basically gambling, and that to trade professionally you need to have banks of $100k or more..........is this true and how do people feel about this, i always thought it was possible to make like $500 a week on a $25k bank or am i wrong???


regards,


jason

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gmoney
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Postby gmoney » Mon Jan 07, 2008 2:07 am

Edward, you can test at one tick resolution now but tick data only goes back 6 months. If you test any more than 6 months back then 1 minute is the finest resolution. This has been available for a while now (I think more than 6 months but my memory ain't that good ;).

Ken_S
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Postby Ken_S » Mon Jan 07, 2008 3:50 am

Ed,
With all due respect, I think you're stuck in a "minute paradigm". Look at the chart I posted at the top of page three of this thread. The strategy entered and exited an order on a historical 1 tick bar chart within the same minute. The strategy looked at the price movement and entered and exited accordingly. It didn't wait for the minute in which the position was entered to end before it looked to exit. Therefore, tick resolution backtesting...I believe. What's bogus about this picture?
I've attached a screenshot which shows a 1 tick backtesting resolution choice. I don't even need to click on this option, because I'm using 1 tick bar charts, so there is no finer resolution to test. The resolution is already built into the chart.
This is what I see anyway, no repeat of what someone else said.
Best Regards,
Ken
Attachments
tick resolution.png
1 tick resolution backtesting available
tick resolution.png (48.1 KiB) Viewed 398 times

Ken_S
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Postby Ken_S » Mon Jan 07, 2008 3:59 am

JayJay,
Don't let others put limits on what you can achieve. You can make $500/wk by opening a futures trading account for $5-6K, trade 1 ES contract, and net 2 measly points per day ($50/point). Some places let you day trade emini's for $1000-1500 margin/contract(last time I checked), so with $5k, you can trade 3 contracts which will get you $1500/wk. You of course need a trading plan that "works" and fits your personality.
Best Regards,
Ken

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Postby jayjay121 » Mon Jan 07, 2008 1:08 pm

hi all, looking at the er2 to this morning to you but afternoon to me being in london.......anyway i noticed we have had three down days on a row which normally means we are due for some up movement or correction..........that is already happening pre market at the moment any way of the er2, my actual question is does anybody here take pre market moves above or below the buyzone or do you all wait until the actual live opening 9.30am your time (2.30pm my time).............i notice alot of the time pre market moves above and below the buyzone can be very profitable trades.....................what does everyone think?


jason

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Postby jayjay121 » Mon Jan 07, 2008 4:20 pm

im up $210 dollars today using 2 buyzones, one the original opening, one was one i re-set...............any way i was only44% right today in my trades and was down $190 at one point so well happy.............what i did today was i set my stop at 8 ticks and profit targets were left to when i felt it had stalled.

anyway my point is i got 11 winners and 14 losers but still made money...........great stuff.

im done for the day

jason

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