No Trend Band
Posted: Wed Jun 07, 2006 11:12 am
Hello,
i am testing an approach to sideways markets.
The ER2 Future moves very volatile sideways.
The idea is to create a delayed band around a moving average.
If price leaves the band it may be trending.
But if price moves back in the band, chances are it will go to the other side -
oscillating, moving sideways.
I do not have enough historical data yet to establish a long term proof.
But my 5 days ("curve fit" i know) is incredible.
Since i work with Amibroker Professional i wont post codes.
The model is fairly easy to remodel in TradeStation.
I have fit my model to the ER2.
Upper Band: lagging EMA + offset
Lower Band: lagging EMA - offset
Entry long: price crosses Lower Band from below
Exit long: price crossed Upper Band from below
Entry short: price crosses Upper Band from above
Exit short: price crosses Lower Band from above
Risk: Price trends within this Band.
A proper trend stop must be implemented.
Attached is a screenshot.
This did not work for ES or NQ well, just the ER2.
I thought i'd share it for evaluation.
Please dont use without proper backtesting!
Oh, i forgot: my timeframe here: 15 seconds.
i am testing an approach to sideways markets.
The ER2 Future moves very volatile sideways.
The idea is to create a delayed band around a moving average.
If price leaves the band it may be trending.
But if price moves back in the band, chances are it will go to the other side -
oscillating, moving sideways.
I do not have enough historical data yet to establish a long term proof.
But my 5 days ("curve fit" i know) is incredible.
Since i work with Amibroker Professional i wont post codes.
The model is fairly easy to remodel in TradeStation.
I have fit my model to the ER2.
Upper Band: lagging EMA + offset
Lower Band: lagging EMA - offset
Entry long: price crosses Lower Band from below
Exit long: price crossed Upper Band from below
Entry short: price crosses Upper Band from above
Exit short: price crosses Lower Band from above
Risk: Price trends within this Band.
A proper trend stop must be implemented.
Attached is a screenshot.
This did not work for ES or NQ well, just the ER2.
I thought i'd share it for evaluation.
Please dont use without proper backtesting!
Oh, i forgot: my timeframe here: 15 seconds.