Craigaudio's ER2 Buyzone Strategy

trading strategies and money management discussion, code, results

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eudamonia
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Postby eudamonia » Mon Jan 07, 2008 5:18 pm

KenS,

Well it looks like they did change things. Good for TS for finally picking up the pieces. I can assure you that up until June they hadn't changed this (and I had TS for 4 years before that).

Of course my live trading (and testing in NeoTicker) on the ER2 Buyzones still shows that they make money so now I really am not sure why your testing doesn't match my own. Different inputs? Using the reversal trade only if the 1st is a loser? Not sure.

Good luck KenS

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.

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Postby jayjay121 » Fri Jan 11, 2008 9:34 am

is anybody taking pre market trades with the buyzone?

i guess not as its hard to get in and out of trades then, right?



thanks jason

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Postby TheRumpledOne » Fri Jan 11, 2008 3:16 pm

The Buy Zone is NOT to be used in PRE MARKET?

The Buy Zone works... it doesn't need any tweaking.

Just learn it, master it and profit from it.
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.

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Postby jayjay121 » Fri Jan 11, 2008 3:26 pm

what do u guys do if you just closed a profitable buyzone trade, but it then begins to carry on moving, would you consider getting back in or wait till it breaks buyzones area's again?.............if you stick to the opening buyzone area, sometimes price moves along way from it meaning unless you re-set the buyzone hourly like tro, there are not many oppotunities to trade.


jason

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Postby jayjay121 » Fri Jan 11, 2008 3:31 pm

like to hear other peoples opinion's of suitable stop on the er2.....im trying to develop some trading rules for my system on the er2..........does anyone ever average up and down or is this just simpy a no no?

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Postby jayjay121 » Fri Jan 11, 2008 3:32 pm

o one more thing...........limit or market orders?...........im using both

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Postby eudamonia » Fri Jan 11, 2008 7:12 pm

Jayjay,

You can trade it anyway you like. For myself there is no need to worry about the market moving far past the zone. If I get 1 trade a day and he average expectancy is 2 ticks that's $20 per contract. Now do it with 10 contracts. $200 a day - easy money.

I use limit orders only and switch to market only if I can't get filled with 6-10 seconds. That simple.

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.

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Postby jayjay121 » Fri Jan 11, 2008 7:45 pm

good point, but i think i might poo myself with 10 contracts, especially if the noise takes you down to your stop.


jason

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Postby eudamonia » Mon Jan 14, 2008 4:53 pm

Jason,

My only point being that you don't need to make huge numbers of points to be consistently profitable.

Scalping is about trading into what many people consider the "noise" level. It can also be extremely profitable and consistent. So try not to let your preconceptions of the market stop you from finding a successful method.

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.

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Postby Ken_S » Mon Jan 14, 2008 6:21 pm

I've coded the OP's original trading rules into TS and ran some testing. I've attached the equity curve and code for all to see. I'll let you all make your own judgements about the performance and validity of the code and backtests.
I tested the profit target variable in the code and got the following results:
PT/net profit
1.3/-990
1.2/-900
1.1/-945
.9/-170
.8/350
.7/325
.3/-1165
Now before anyone starts yelling 'The buyzone works, the buyzone works', let me share this with you.
I sim traded this on ER2 this morning. Mistakenly waited for a 10 tick drop from the open (instead of 11) shorted at 714.3 using a market order. So, I actually got the exact correct fill price according to the rules. Price never got close to the original open while moving down through the "zone". I was thinking, OK, large gap up today, price got but 5-6 ticks above the open before dropping, could have a long way to go down. Price hit the exit point, but 4 red bars behind me on a 1000 share bar chart, so the trend it down. Price fell pretty hard so I trailed it just above the high of the previous bar. Got out at 710.5...that's a 28 tick improvement.

My point is I used some discretion to get an improvement over the rules of the system, which may be the difference in the backtested results and real time trading. Re-reading the OP's post, he does say he doesn't take all trades. I don't know if this is qualified by him only making 2 trade per day, or if he doesn't take all trades within the first 2. I just don't know.

I'd be curious to see what the actual entry and exit was today for anyone trading this system live.

All the best,
Ken

[IntrabarOrderGeneration = True]
{uses market orders to enter
limit orders to sell}
Inputs: Num2Trade(1), movefromopen(1.1), UsePT(True), targetprofit(1.0), UseTS(False),
trailingpercent(100), stoplosspercent(100), stoplossamount(120), maxopenordertime(390);

Variables: enterlongprice(0), entershortprice(0), exprice(0), value3(0), Value(4), Entries(0);

If Date <> Date[1] and open <> close[1] and entriestoday(currentdate) = 0 then begin
Value3 = 1;
Value4 = 1;
Value5 = -1;
Entries = 0;

entershortprice = Open - movefromopen;

enterlongprice = Open + movefromopen;

end;
If Entries = 1 and marketposition = 0 then begin
If positionprofit(1) < 0 then begin
Value3 = 1;
if entryprice(1) - exitprice(1) > 0 then Value4 = 0;
if entryprice(1) - exitprice(1) < 0 then value5 = 0;
end;

If positionprofit(1) > 0 then Value3 = 0;
end;

{entry}
if Value3 = 1 and Entriestoday(date) <= 1 then begin

If Marketposition = 0 and value4 = 1 and close >= enterlongprice and close[1] < enterlongprice
then Buy Num2Trade shares next bar at market;

If Marketposition = 0 and value5 = -1 and close <= entershortprice and close[1] > entershortprice
then sellshort Num2Trade shares next bar at market;
End;

{End of day exit}
If time >= 1610 then begin;

Sell ("EOD Sell") next bar All Contracts at Market;
BuyToCover ("EOD BtC") next bar All Contracts at Market;

end;

If marketposition = 1 or marketposition = -1 and entries = 0 then
entries = 1;

{exits}
If marketposition = 1 then begin

exprice = entryprice + targetprofit;
If (absvalue(close-entryprice)/entryprice)*100 >= stoplosspercent then
Sell ("StLoss Sell") next bar all contracts at market;

Setstoploss(stoplossamount);

IF UsePT = True then sell("PTlong") all shares next bar at exprice limit;

If UseTS = true then setpercenttrailing(100*targetprofit, trailingpercent);
end;

If marketposition = -1 then begin

exprice = entryprice - targetprofit;
If (absvalue(close-entryprice)/entryprice)*100 >= stoplosspercent then
BuytoCover ("StLoss Buy") next bar all contracts at market;

Setstoploss(stoplossamount);

If UsePT = True then buytocover("PTshort") all shares next bar at exprice limit;

If UseTS = true then setpercenttrailing(100*targetprofit, trailingpercent);
End;

Setexitonclose;
Attachments
Buyzone_CA.png
equity curve, $2.5/trade comm. no slippage
Buyzone_CA.png (116.27 KiB) Viewed 339 times
Buyzone_CA_2.png
Buyzone_CA_2.png (32.43 KiB) Viewed 339 times

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