# Trading intraday patterns and volume breakouts in Futures



## CanOz (9 May 2013)

Well we ended up even yesterday...down almost -50 ticks from CL and GC...but thanks to the EUR i snagged 50+ pips on a 100k long, using a longer time frame methodology through IB. That solved my data issues.

Today i took no trades until just before the pit opened where i grabbed +10 ticks on a short blast.

Until i get my new ISP i'll be trading some mini futures through IB, taking the EOD volatility compressions to intra-day and watching for volume breakouts.

If this trades ok through the minis then maybe I'll post some results over time and then bump up the account to full size.

Cheers,


CanOz


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## chops_a_must (10 May 2013)

*Re: Daily Trade Review Process*

Just an observation CanOz and you can take it how you like...

Your analysis and so on seems to be really quite good. But it's better for a longer term time frame than what you seem to be trading.

Would you be better off looking to trade off a slightly longer time frame? i.e. on a 1 - 5 day time frame rather than on intraday setups.


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## CanOz (10 May 2013)

*Re: Daily Trade Review Process*



chops_a_must said:


> Just an observation CanOz and you can take it how you like...
> 
> Your analysis and so on seems to be really quite good. But it's better for a longer term time frame than what you seem to be trading.
> 
> Would you be better off looking to trade off a slightly longer time frame? i.e. on a 1 - 5 day time frame rather than on intra-day setups.




Thanks for the interest Chops. What I'm trying to do simply, is swing trade futures. I want to take advantage of the short term volatility so i can get it on an intra-day pattern to get the risk as low as possible. Then i will attempt to hang on as long as possible. 

Please don't confuse this with my intra-day index trading which is basically dead thanks to a shoddy ISP. IB seems to maintain its connection though, allowing me to trade this method, using the mini futures. 

You can see on wheat we entered last night, with lots of intra-day structure to place limit orders and stops. Now that we're well underway I'll trail the stop and see how long we can hold this.

I'll update the Wheat EOD chart when i have the data....another great setup is evolving in Silver (and gold) as well.

Cheers,


CanOz


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## chops_a_must (10 May 2013)

*Re: Daily Trade Review Process*

I understand.

Have you tested moves from EOD data to be able to get on intraday entries for moves on the high probability side?


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## CanOz (10 May 2013)

*Re: Daily Trade Review Process*



chops_a_must said:


> I understand.
> 
> Have you tested moves from EOD data to be able to get on intraday entries for moves on the high probability side?





No, but it wouldn't be hard to test i suppose, i would need to have it coded for me and it would need to use intra-day data. You could get an idea if say, these inside days resulted in volume breakouts, and if they did what were the extent of te moves that resulted...etc...

I'm only entering when i see the volume start to pick up intra-day, this is very difficult to test because I'm using continuation patterns on hourly time frames. So how do you code that? 

Here's the wheat chart after the volume breakout last night.

BTW, we have a USDA report out tonight, so we need to be mindful of that.



> USDA Apr World Agricultural Supply and Demand Estimates Report (WASDE); USDA Publishes Apr Agriculture Crop Production - Source TradeTheNews.com




CanOz


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## CanOz (10 May 2013)

Lots of energy and metals and the verge of a move....


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## chops_a_must (10 May 2013)

Is the top chart soybean?


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## Gringotts Bank (10 May 2013)

Can, did you backtest the double inside bar idea on any contracts?


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## CanOz (10 May 2013)

Gringotts Bank said:


> Can, did you backtest the double inside bar idea on any contracts?




No, i was just using it as a scan...but then i released that its easier to eyeball the products as there is not that many that i watch anyway.

Besides, what is it going to tell me GB? I'm not looking to take trades off the pattern, only looking for a compression in price, an alert to watch inside the bars for volume breakouts....

CanOz


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## Gringotts Bank (10 May 2013)

CanOz said:


> Besides, what is it going to tell me GB? I'm not looking to take trades off the pattern, only looking for a compression in price, an alert to watch inside the bars for volume breakouts....
> 
> CanOz




Double inside bar + volume breakout on a smaller time frame....what else do you need before you pull the trigger?  Program it and backtest, yeh?  AB has multi time frame analysis, as you know.


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## CanOz (10 May 2013)

Gringotts Bank said:


> Double inside bar + volume breakout on a smaller time frame....what else do you need before you pull the trigger?  Program it and backtest, yeh?  AB has multi time frame analysis, as you know.




I'm quite happy to trade this as a discretionary method.

You can write it up if you like, i will test it for you, or give you some data to test it on.

CanOz


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## Gringotts Bank (10 May 2013)

CanOz said:


> I'm quite happy to trade this as a discretionary method.
> 
> You can write it up if you like, i will test it for you, or give you some data to test it on.
> 
> CanOz




How would you define the volume breakout, and in what time frame?  Also, what is the time frame of the 2 inside bars pattern?

I trade something similar for my discretionary trades, but daily bars and >3 bars, with a definite higher low in place.  I can't code this myself - beyond my skill level.  But I like the pattern.


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## CanOz (10 May 2013)

Gringotts Bank said:


> How would you define the volume breakout, and in what time frame?  Also, what is the time frame of the 2 inside bars pattern?
> 
> I trade something similar for my discretionary trades, but daily bars and >3 bars, with a definite higher low in place.  I can't code this myself - beyond my skill level.  But I like the pattern.




The inside days or price compressions are EOD. Volume needs to be above some kind of average, well above....

Exited our Silver longs, and we're now short the gold mini from 58, looking for a test of 1440

CanOz


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## Gringotts Bank (10 May 2013)

CanOz said:


> The inside days or price compressions are EOD. Volume needs to be above some kind of average, well above....
> 
> Exited our Silver longs, and we're now short the gold mini from 58, looking for a test of 1440
> 
> CanOz




This assumes you have hourly historical data.

TimeFrameSet( inHourly ); 
Vma = MA(V,12);
Vcond = (V-Vma)/Vma*100>50;  //last volume bar is 50% greater than 12 bar hourly MA of volume
TimeFrameRestore();
a = Inside();
b = Ref(a,-1)==1;
d = Ref(a,-2)==1;
Buy  = Vcond AND a AND b AND d;
Sell = C>0;


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## CanOz (10 May 2013)

Gringotts Bank said:


> This assumes you have hourly historical data.
> 
> TimeFrameSet( inHourly );
> Vma = MA(V,12);
> ...




No, i don't have any historical intra-day data for Amibroker. Its a different format. I could hook up IB to Amibroker but i really can't handle doing that again....

I have daily data though....

Metals are breaking down, although HG is holding up well and actually broke out intra-day...Waiting for energies now....the DX is breaking higher as well, and the DAX is at new highs....

CanOz


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## CanOz (10 May 2013)

Today was my best day yet trading this method....

Still short bean oil....stop at BE


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## chops_a_must (10 May 2013)

Well done man.

What do you think the difference has been?


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## CanOz (10 May 2013)

chops_a_must said:


> Well done man.
> 
> What do you think the difference has been?





What i want to say....



> Spending thousands of dollars on software and indicators, Spending thousands of dollars on PC's and screens, Spending thousands of dollars on system programming and coding....




The humble truth.....

1.) Getting away from Index trading with a dodgy connection and going back to what always worked....what Radge taught me well, low risk high probability patterns....and stop limit orders.

2.) Trading mini sized version of large contracts and smaller sized contracts in order to play to my tolerance for risk...

3.) Playing only when volatility is available, staying away from in balance conditions.

4.) Doing what TH said....focus on the two or three setups that always worked.

5.) Perseverance.:bonk:


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## chops_a_must (10 May 2013)

Could print that out and stick it on the wall where you trade!


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## CanOz (10 May 2013)

Wheat is looking like fail, the trade was in earlier and i missed it so i took the gap fill. We'll hang onto it with the stop very close to BE....

CanOz


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## CanOz (11 May 2013)

Just to cap off an already wonderful day...Bean Oil hits the target....

Night all, after 12 hours x 5 days I'm buggered!

CanOz


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## CanOz (11 May 2013)

chops_a_must said:


> Is the top chart soybean?




Bean Oil...


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## tech/a (11 May 2013)

CanOz said:


> Just to cap off an already wonderful day...Bean Oil hits the target....
> 
> Night all, after 12 hours x 5 days I'm buggered!
> 
> CanOz




Not the first time I've seen this 2 inside day method CanO

There is a guy who has done extensive work on it and I'm sure in futures.
I printed it off and put it in a folder. I'm away this weekend but will try and find it for you.


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## tech/a (11 May 2013)

tech/a said:


> Not the first time I've seen this 2 inside day method CanO
> 
> There is a guy who has done extensive work on it and I'm sure in futures.
> I printed it off and put it in a folder. I'm away this weekend but will try and find it for you.




Found it in PDF.

https://www.google.com.au/url?sa=t&...=tb-Xx1EZff369llqS4YlPw&bvm=bv.46340616,d.aGc

Some great stuff in here including yours inside inside days.

The opposite of yours IE 2 outside days.
And the Three in One bar pattern one I use often.

6 useful patterns in all.


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## CanOz (11 May 2013)

Thanks for that Tech...

Jim Dalton calls it balance within balance, Linda Raschke calls them three bar triangles....this doesn't cover all the patterns though....

I'm sure they might test out ok as a system too, but I just use them in a scan and then look inside the last bar and the current bar for micro patterns to use for volume breakouts....

Agree with GB that testing it would be helpful in determining statistical probabilities though...

I'm really just interested how often the compressions or double inside bar results in a volume breakout.

Linda Raschke believes its one in ten.

CanOz


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## CanOz (11 May 2013)

Well there you go..a free PDF from Linda Raschke on her style of trading volume breakouts.....just skimming through it you can tell she uses allot of indicators....I don't. I think I've so had much screen time that I find them distracting. I just use two time frames, the time and sales, the DOM, and my TPO profiles.

CanOz


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## fiftyeight (11 May 2013)

Great thread as usual CanOz

I have not had nearly the amount of time I would like to give to my education, but I enjoy reading your posts when I have 5 mins and the pondering the detail while I work.

Fiftyeight


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## kid hustlr (11 May 2013)

CanOz said:


> Today was my best day yet trading this method....
> 
> Still short bean oil....stop at BE




Am I reading this right that you made 30k?

Are you trading sim or live?

Regardless cool thread.


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## CanOz (11 May 2013)

kid hustlr said:


> Am I reading this right that you made 30k?
> 
> Are you trading sim or live?
> 
> Regardless cool thread.




Lol, boofis thought the same thing....no, it's actually only $747.00, buts yes it live.


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## CanOz (11 May 2013)

Actually that total on its own looks good. As well as another 500 from a eur trade using the same method...but what it doesn't tell you is the losses this week from my index trading, nearly 100 ticks. 

So net net for the week I am up, but plenty of mistakes were made and there's plenty of work to be done yet....


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## CanOz (11 May 2013)

fiftyeight said:


> Great thread as usual CanOz
> 
> I have not had nearly the amount of time I would like to give to my education, but I enjoy reading your posts when I have 5 mins and the pondering the detail while I work.
> 
> Fiftyeight




Thanks for the comment, hopefully i can contribute something that is helpful for other trading mortals like myself....

CanOz


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## CanOz (11 May 2013)

Homework day today, picking our new car up tomorrow and going out for mothers day so better get some work done whilst quiet here....

Some on the watchlist for Monday.

June NG - need to see how the wedge plays out on the open


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## CanOz (11 May 2013)

Copper, this does well in the Asian session sometimes. IT has already broken out of the larger consolidation area but we need to look into the smaller patterns anyway as the risk is higher on the this expensive contract. It does have a mini but i need to check the liquidity before i can trade it...


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## CanOz (11 May 2013)

Wheat is back in play again after the Ag Report   



> From Bloomberg, May 11, 2013 3:18:20
> 
> Global farmers will harvest the biggest grain and soybean crops ever this year, boosting food reserves to the highest since 2000, the U.S. government said. Corn, wheat and oilseed futures in Chicago slumped.
> 
> ...




...I didn't think it was that bearish


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## CanOz (11 May 2013)

Bean oil is still on the radar....i like this contract, its good size and it moves slow but deliberately in the depth...


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## CanOz (11 May 2013)

Gold still has some unfinished business if its to meet that range target...we'll keep an eye on this. The gold mini (YG) is quite good to trade for these positions...


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## CanOz (11 May 2013)

CL tagged its target nearly spot on, i under played my trade a bit and took profits a tad too early...Nice reversal in wee hours of the Saturday morning....


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## chops_a_must (12 May 2013)

CanOz said:


> Gold still has some unfinished business if its to meet that range target...we'll keep an eye on this. The gold mini (YG) is quite good to trade for these positions...




Gold looks tricky.

You'll need to keep an eye on the usd.

Any increase in that could see that pattern reverse lower I'd imagine.


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## CanOz (12 May 2013)

chops_a_must said:


> Gold looks tricky.
> 
> You'll need to keep an eye on the usd.
> 
> Any increase in that could see that pattern reverse lower I'd imagine.




Yeah that's my takeaway as well, where as oil tagged it target the metals didn't Finnish it, just retested the break. 

All of last weeks breaks we're dollar induced. Generally speaking one of the things I like about the Commodity markets is that they can be produce non correlated moves at times.

CanOz


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## >Apocalypto< (15 May 2013)

CanOz said:


> Yeah that's my takeaway as well, where as oil tagged it target the metals didn't Finnish it, just retested the break.
> 
> All of last weeks breaks we're dollar induced. Generally speaking one of the things I like about the Commodity markets is that they can be produce non correlated moves at times.
> 
> CanOz




Nice thread Can and very nice results...


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## ThingyMajiggy (16 May 2013)

You ever done spreading Can?


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## CanOz (19 May 2013)

ThingyMajiggy said:


> You ever done spreading Can?




No i haven't Sam, the only thing i've even seen on it that is close SKCs pairs trading....




Been a busy week, pretty much scratched my profits too...will try and update later.

In the middle of changing ISPs....upgrading to a faster line....

CanOz


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## ThingyMajiggy (19 May 2013)

CanOz said:


> In the middle of changing ISPs....upgrading to a faster line....
> 
> CanOz




Ahh so jealous, if only I had that option, forever stuck on Bigpond wireless, destined not to be a trader


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## CanOz (21 May 2013)

ThingyMajiggy said:


> Ahh so jealous, if only I had that option, forever stuck on Bigpond wireless, destined not to be a trader




I tell ya Sam there have been times when I've wondered the same thing...every time i just seem to be getting a foot hold i start to have connection issues again.

Interactive Brokers data is really bad, its fine for trading my pattern strategy with the minis...no problem. However, trying to combine that with a shorter term stop run strategy is just impossible, last night IB missed an entire sweep of the offers on gold, didn't print a farkin thing until it got to the top, then did one print for the entire amount...

Anyway, last week i gave back my entire prior weeks profits plus Wednesdays profits. Simple over-trading and i'm having a little NT code put together for me so i get a warning when i'm over my daily stop, which normally would be 2% of my account balance or two full stop trades. My goal of breaking even for the month is still attainable but i need to be more careful. It would have been worse Friday, down almost 1200 for the day i made back another 600+ when the shorts started covering....still undisciplined trading is a killer.

My ISP shows up after lunch so fingers crossed that it makes a difference. Even though the speed is double it doesn't mean the quality will be better.

CanOz


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## ThingyMajiggy (21 May 2013)

CanOz said:


> I tell ya Sam there have been times when I've wondered the same thing...every time i just seem to be getting a foot hold i start to have connection issues again.
> 
> Interactive Brokers data is really bad, its fine for trading my pattern strategy with the minis...no problem. However, trying to combine that with a shorter term stop run strategy is just impossible, last night IB missed an entire sweep of the offers on gold, didn't print a farkin thing until it got to the top, then did one print for the entire amount...
> 
> ...




Yeah it's a real pain in the ar$e, it's just not that realistic for me to even attempt to be a live full time trader at the moment where i live, half an hour in any direction and you can get unlimited ADSL2+ etc but right where I am, wireless is it, talk about frustrating! Plus then there's the IB data as you say, then there's funding, then there's paying living expenses out of the profits that you get, certainly doesn't make it easy.....and to think people come to trading to make a quick buck hey? 

Hope the new ISP works out for you!


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## boofis (21 May 2013)

ThingyMajiggy said:


> Yeah it's a real pain in the ar$e, it's just not that realistic for me to even attempt to be a live full time trader at the moment where i live, half an hour in any direction and you can get unlimited ADSL2+ etc but right where I am, wireless is it, talk about frustrating! Plus then there's the IB data as you say, then there's funding, then there's paying living expenses out of the profits that you get, certainly doesn't make it easy.....and to think people come to trading to make a quick buck hey?
> 
> Hope the new ISP works out for you!




And to think most of those issues never get easier, gluttons for punishment we are


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## CanOz (27 May 2013)

*Re: Trading EOD/Intraday patterns and volume breakouts in Futures*

Paper trading my futures swing system here now, basically the same as the volume breakouts intra-day only i will trading the EOD patterns most of the time. It a very simple pattern system, i think you'll see some similarities with Tech and Pavs system for equities....

Getting back to basic technical stuff, patterns, basic support and resistance, plus some key levels occasionally from the market profiles and some seasonality.

Some key items of the plan:

Why futures? Cost per transaction and diversity of the markets, something different than equities.

Account size: 100k AUD

This is a trend following discretionary system. We want to jump on a trend and stay on as long as possible.

Max risk / Trade is 1% of account, evaluated weekly

Only trades with better then 2 to 1 reward to risk are taken.

Stops will be moved to BE as soon as possible usually on a HH or LL...

Where there is a seasonal bias we will try and factor that into our plan.

Intra-day patterns will be used if they support the daily's and lower the risk.

I'll list the markets traded here today as well....

My aim is to paper trade this for a month or two to evaluate if the system has a hope of being profitable after some of my better trades with the volume breakouts showed some promise. Now that i'm not distracted with intra-day trading i can focus on testing this. 

We took a large account size in order to simplify things. It is possible to trade minis as well but i have some data issues with AMP/CQG on some of the minis to work out anyway. If this can be done profitably then we can fund this for full size or minis.

By the way, anything i know about pattern trading can be credited towards Nick Radge. I traded his power setups for a long time and while i didn't trade the futures setups i was a keen student.

There are some good books out there as well on this stuff...

Feel free to jump in with any queries on the details. It may seem as if i am starting something new, but in reality its a continuation of my volume breakouts but trying to step back out of the intra-day time frame unless it offers an outstanding risk/reward advantage.

There are some other things i want to research as well, such as spread trading...calendar and similar instruments with bonds. If i get to a point where i can also paper trade those concepts then I'll do that in another thread. I feel its something that may be slow and boring, but is the bread and butter of many Prop Firms so it must be worthwhile doing... as per Whitey's comments too.

So to begin we'll show you the TWS setup with the products we'll be looking at each day.

CanOz


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## CanOz (27 May 2013)

Here is our symbol list....and my TWS workspace. I always setup a new workspace for trading/testing ideas or paper trading. Saves getting things cluttered and wasting time looking for things.


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## fiftyeight (18 May 2015)

Just had a quick re-read. Why do you think you have more success outside of index futures canoz?


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