TRO_DYNAMIC_FIBSSR

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cvax
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Postby cvax » Fri Jul 20, 2007 7:01 pm

hey TRO for the 50% fib profit target what is your target if the trigger candle (candle before the one with the dot) closed above the 50fib. Basically what do you do when the Open of the trade candle (candle with the dot) is already above the 50fib of the trigger candle?

I have some interesting numbers soon to come after I fine tune it to TRO's exits/stops.

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TheRumpledOne
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Postby TheRumpledOne » Sat Jul 21, 2007 4:38 pm

I wouldn't enter the trade unless it dropped back to the 23% or 38% level.

Or, I would just pass this time and wait for the next opportunity.
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!

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cvax
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Postby cvax » Mon Jul 23, 2007 7:45 am

Here are the results of playing Dynamic Fibs SR on RIMM for only the first hour of the day.


Here are the results of playing all day long.


This is the strategy being used in the calculations. Are there any other conditions/rules I missed? Let me know so I can fix it so we can get the most accurate numbers.
LONG
1. If trigger candle (candle before the one with the dot) touches Dynamic Support AND closes above it then enter at Open on next bar (trade bar).
2. No trading on the first bar of the day.
3. Take profit when trade bar's price has retraced up to 50% fibs of trigger bar.
4. No trade if trigger candle closed above fib 50%
5. If profit target not reached then consider these exits:
-price fell below stop (Dynamic Support of trigger bar - $0.01) = trade is a loss. exit.
-no target or stop reached=exit at candle close (if close>open then win; else lose)

SHORT
1. If trigger candle (candle before the one with the dot) touches Dynamic Resistance AND closes below it then enter at Open on next bar (trade bar).
2. No trading on the first bar of the day.
3. Take profit when trade bar's price has retraced down to 50% fibs of trigger bar.
4. No trade if trigger candle closed below fib 50%
5. If profit target not reached then consider these exits:
-price passed above stop (Dynamic Resistance of trigger bar + $0.01) = trade is a loss. exit.
-no target or stop reached=exit at candle close (if close<open then win; else lose)

LIMITATIONS
-With historical data we do not know if the candle first crossed below the stop before retracing back up above the fibs 50%. I am assuming if it reaches the fibs 50% at anytime of building the 5min bar then it is a winner.
-During the 5min bar we are just waiting for the trade to go sour. There are no secondary targets to protect profits in case we do not reach fibs 50%. It simply exits either at the stop or when the candle closes.
-I don't believe my DynamicSR's are being drawn in the exact same fashion that TRO draws them. NinjaTrader cannot do multi-time framed indicators yet so I can't code the DynamicSR's to update every 3mins on a 5min chart. At the moment my Dynamic S/R's are being drawn on the Highs/Lows of the past 5 bars.

First Hour Only Analysis
Price of Stock: $234.20
Shares: 1000
Total Trades: 1113
Net Gains: $141,485
Net Losses: $82,600
Net Profit: $58,885 (before commissions)
Equity: ($234.20*1000)/4=$58,550
ROE: 100.57%

All Day Long Trades Analysis
Price of Stock: $234.20
Shares: 1000
Total Long Trades: 3583
Net Gains: $265,075
Net Losses: $171,120
Net Profit: $93,955 (before commissions)
Equity: $58,550
ROE: 160.47%
I think it is interesting that even with a win percentage far lower than the win percentages on my previous analysis the ROE is greater with the Fib 50% target (130.72% vs 160.47%).

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TheRumpledOne
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Postby TheRumpledOne » Mon Jul 23, 2007 4:25 pm

CVAX looks like you "see" it!!
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!



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cvax
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Postby cvax » Tue Jul 24, 2007 7:04 am

I've modified my code for the worst case scenario instead of the optimistic one I am currently using.

Instead of considering the profit target first I am now considering the stop loss first. Basically if at any point on the trade bar the price passes the stop loss regardless of the profit target it will be counted as a loss. Before I was counting profit targets first.

New stats as follows:
1st Hour
Long Win % = 37.11% (203/547)
Net Gain = $57,800
Net Loss = $42,640
Short Win % = 43.62% (246/564)
Net Gain = $75,190
Net Loss = $43,310

Trade All Day
Long Win % = 38.77% (1388/3580)
Net Gain = $239,435
Net Loss = $184,080
Short Win % = 42.08% (1648/3916)
Net Gain = $284,840
Net Loss = $168,450

The net on the 1st hour longs worry me a little. It seems quite possible that it could have resulted in a net loss greater than net gain on a different year. The profit is quite small after considering commissions. It is interesting to note that the shorts for both cases have a sizeable comfort margin though.

I think I will need to run statistics on average gains/losses per long/short trade to get a better idea of why it is still profitable despite the win rate being less than 50%. I will keep you guys posted.

Edit: UH OH! I found a very critical bug in my code that was understating losses by a lot. After I fix this it might flip the numbers. We will see shortly.
Last edited by cvax on Tue Jul 24, 2007 10:27 am, edited 1 time in total.

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Postby cvax » Tue Jul 24, 2007 10:12 am

Okay this is disheartening. After fixing my calculation bugs this is what happened.

1st Hour


All Day


The net profits in both instances are nominal. Definite negative ROE's after commissions.

In the bottom right are the average directional scalp statistics. First # is avg scalped gains. 2nd # is avg scalped gains' standard deviation. 3rd # is avg stopped losses. 4th # is avg stopped losses' standard deviation. This is telling us, on average, we only scalp 29cents and 31cents for longs/shorts respectively. Our losses, on average, are 19cents and 21cents for longs/shorts respectively.

Longs:
Expected Returns = (37.11%*0.29) + (62.89%*-0.19) = -1.19%

Shorts:
Expected Returns = (43.62%*0.31) + (56.38%*-0.21) = +1.68%

These expected returns coupled with commissions will surely cause losses.

TRO. Any inputs on making this trade more profitable/efficient?

At least we can still bank on these statistics of just scalping 10cents for the first hour though.

(Profit Target=+10cents Stop Loss=-10cents)

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Postby TheRumpledOne » Tue Jul 24, 2007 8:35 pm

I am not sure of you entry/exits.

Just trade, that's how you make money.

You can see the profit is there... you just have to TAKE IT!
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!



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cvax
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Postby cvax » Wed Jul 25, 2007 12:01 am

Agreed. In a real trade, among other things, we wouldn't just wait for trades to go sour if they don't reach fibs 50%. I have basically hit the brick wall of backtesting here so I will work on getting this in for some forward testing. I'm sure the numbers will definitely be profitable in a forward test because of the obvious money just lying there on the table.

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Postby TheRumpledOne » Wed Jul 25, 2007 5:45 pm

DON'T BE GREEDY!
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!



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Postby jhtumblin » Thu Jul 26, 2007 5:15 am

Or, BE VERY GREEDY, just make sure you cut your losses at the initial stop.

Very thorough analysis cvax, and yes it hurts to discover bugs in code but it could hurt more if you hadn't caught it.

Just from looking at your charts I would suggest entering the trade with the same triggers as before, same stops as before, except this time exit the trade at the opposite support or resistance (aka if you trade long exit at closing the first resistance that appears, short exit at first support that appears). I don't see any real drawback to trading in the same direction multiple times but you may want to consider that to some extent also. We don't want to buck the trend by any means and trading off higher resistances is doing just that.

These are just a few ideas you could try if you are so inclined.

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