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CanOz's intermittent and sporadic trades

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1 point = 25 EUR

current price = 10200

10200 * 25 = 255,000 EUR

$1,000,000 = 860,000 EUR

860,000 / 255,000 = 3.37 contracts
 
I've written a system which looks ok on backtest. But it's for the 5 min timeframe and takes very small profits (around 2-4 points on 3 contracts). So now I'm wondering what % of the day/night would the spread actually be 0.5? And when it's not 0.5, what sort of distribution of spreads exist? Obviously getting filled is essential, and that's hard to estimate. Not quite sure how to proceed...
 

Can you fill on limits?
 
This is an open range breakout strategy with a twist. It uses a couple of different times frames for volatility filtering. I want to add a 'regime' filter as well, or basically a third time frame.
 

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  • NinjaTrader Cumulative Profit Report, 1_1_2005 - 6_13_2016.jpg
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Here's the same thing using a trailing stop that kicks in at 2R.
 

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  • NinjaTrader Cumulative Profit Report, 1_1_2005 - 6_13_2016v2.jpg
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CanOz said:
Here's the same thing using a trailing stop that kicks in at 2R.
Click to expand...

I've been looking at some of Jeff Swanson's strategies, including his version of ORB. I'd like to find something scalable.

Re:FESX, better liquidity is good but the system broke down when I tweaked the exit rules to allow limit orders. The entry was fine.
 
Here are some possible scenarios for the DAX today....
 

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  • FDAX 12-16 (120 Min) 9_20_2016.jpg
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Can - got to be thinking mean reversion type day given the upcoming events over the next several days?

Anyone else feeling a little nervy looking at the S&P index over the past week or 2?
 
My thoughts these days are pretty much along the lines that it might go up or it might go down.

Similar to your own in some ways, but without the channel.

Doncha luv the profundity of the markets these days?
 
Yeah, trading in balance with no news is choppy stuff....

Cynic, with my discretionary trading i try not to get married to a bias, so always have a few hypothetical scenarios
 
Some poor souls got trapped right off the open.....
 

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Modest said:
10402 looks like interim support for a push into 10445
Click to expand...

Nice accumulation pattern between 10391 - 10398. It's a bit messy so would look to go long at the bottom of the range with a tight stop.

Took a long on the FESX showing a similar pattern.
 
captain black said:
Nice accumulation pattern between 10391 - 10398. It's a bit messy so would look to go long at the bottom of the range with a tight stop.

Took a long on the FESX showing a similar pattern.
Click to expand...

Current vpoc is 396
 
CanOz said:
Current vpoc is 396
Click to expand...

Cool

These areas where different forms of analysis converge are where all my testing is at the moment. Have been working on different forms of S&R in Amibroker after following Modest's FESX thread. Looks like I'll have to add VPOC to the list as well

Hope everyone got on board the long in that accumulation zone, looking nice now
 
Looks like it is runnin out of steam, next down side target 10365

FESX 2945ish
 
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