CanOz's intermittent and sporadic trades

[CanOz]

Yeah, it's been one of those days, thankfully they don't happen too regularly.

Just out of curiosity, do you set yourself a maximum loss limit for the day? I don't set a hard limit but I do stop trading until I start seeing better price action. I stopped trading the Kospi after the first hour this morning. Sometimes you just know that things don't look right.

2% of my account. But i try and stop trading a little before that so i still have enough to recover if the situation changes. I think it may be the US open tonight that is the catalyst.

What about you Cap, a daily loss limit?

 

[captain black]

2% of my account. But i try and stop trading a little before that so i still have enough to recover if the situation changes. I think it may be the US open tonight that is the catalyst.

What about you Cap, a daily loss limit?

I don't set a hard limit with my day trading. I'll stop trading if it doesn't look right, like I did on the Kospi today. I've built my mechanical share trading systems up to the stage they'd provide an income even without the day trading so perhaps I'd approach day trading risk a bit differently if I didn't have that backup plan.

 

[Gringotts Bank]

Canoz, I think you have Ninja Trader. Would you mind running this on DAX 5min data please? I have a feeling it's taking a high % of tiny profits with a massive stop (ie. crap system), but not sure.

/*
NinjaTrader Strategy of Strategy 1.41

Generated by StrategyQuant version 3.8.1
Generated at Tue Oct 04 22:51:00 GMT 2016

Tested on dax, M5, 13.01.2006 - 25.02.2008
Spread: 0.5, Slippage: 0.0, Min distance of stop from price: 0.0
*/

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

namespace NinjaTrader.Strategy
{
/// <summary>
/// Enter the description of your strategy here
/// </summary>
[Description("Enter the description of your strategy here")]
public class Strategy141 : SQManagedStrategy
{
#region Variables
// Wizard generated variables

// User defined variables (add any user defined variables below)
#endregion

/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
base.Initialize();

ReplacePendingOrders = false;
ExitOnClose = false;
MinimumPTSL = 2724;
MaximumPTSL = 2724795;
PendingOrderValidOneBar = false;
BarsRequired = 120;
StrictStopPrices = true;
LimitSignalsToRange = false;
TimeRangeFrom = 0800;
TimeRangeTo = 1600;


MaxTradesPerDay = 0; // 0 means unlimited
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// ------------------------------------------
// STRATEGY MANAGEMENT
// ------------------------------------------
if(Bars.FirstBarOfSession) tradesPerDay = 0;

// Stop/Limit order expiration handling
// Long --------
if(pendingEntryOrder != null && pendingEntryOrder.OrderAction == OrderAction.Buy) {
// Expiration
if(sqGetPendingOrderBars(pendingEntryOrder) >= 23) {
CancelOrder(pendingEntryOrder);
}
}
// Short --------
if(pendingEntryOrder != null && pendingEntryOrder.OrderAction == OrderAction.SellShort) {
// Expiration
if(sqGetPendingOrderBars(pendingEntryOrder) >= 23) {
CancelOrder(pendingEntryOrder);
}
}

// ------------------------------------------
// ENTRY RULES
// ------------------------------------------
tradeEntered = false;

if(sqCheckTimeWithinRange()) {
// Long --------
if(maxTradesPerDay == 0 || tradesPerDay < maxTradesPerDay) {
bool LongEntryCondition = ((sqDayOfWeek(Time[0].DayOfWeek) != 4 ) && ((Minute < 11) && (sqATR(66, 0) < sqATR(69, 0))));
if(LongEntryCondition == true) {
double price = roundPrice(Open[14] + (0.6) * (sqBarRange(99-1)));
sqEnterLongStop(price);
}
}

// Short --------
if(maxTradesPerDay == 0 || tradesPerDay < maxTradesPerDay) {
bool ShortEntryCondition = ((sqDayOfWeek(Time[0].DayOfWeek) != 4 ) && ((Minute < 11) && (sqATR(66, 0) > sqATR(69, 0))));
if(ShortEntryCondition == true) {
double price = roundPrice(Open[14] + (-0.6) * (sqBarRange(99-1)));
sqEnterShortStop(price);
}
}
}

}

override protected void sqDefineStopLoss(int direction) {
stopLoss.type = CalculationMode.Ticks;

if(direction == 1) {
// long
stopLoss.value = 0;
} else {
// short
stopLoss.value = 0;
}
}

override protected void sqDefineProfitTarget(int direction) {
profitTarget.type = CalculationMode.Ticks;

if(direction == 1) {
// long
profitTarget.value = _round((0.93 * sqATR(97, 0)) / TickSize, 0);
} else {
// short
profitTarget.value = _round((0.93 * sqATR(97, 0)) / TickSize, 0);
}
}

#region Properties
#endregion
}
}

 

[Gringotts Bank]

Don't worry, it's doing exactly that - lots of small nibbles. Useless system.

 

[CanOz]

Canoz, I think you have Ninja Trader. Would you mind running this on DAX 5min data please? I have a feeling it's taking a high % of tiny profits with a massive stop (ie. crap system), but not sure.

/*
NinjaTrader Strategy of Strategy 1.41

Generated by StrategyQuant version 3.8.1
Generated at Tue Oct 04 22:51:00 GMT 2016

Tested on dax, M5, 13.01.2006 - 25.02.2008
Spread: 0.5, Slippage: 0.0, Min distance of stop from price: 0.0
*/

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

namespace NinjaTrader.Strategy
{
/// <summary>
/// Enter the description of your strategy here
/// </summary>
[Description("Enter the description of your strategy here")]
public class Strategy141 : SQManagedStrategy
{
#region Variables
// Wizard generated variables

// User defined variables (add any user defined variables below)
#endregion

/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
base.Initialize();

ReplacePendingOrders = false;
ExitOnClose = false;
MinimumPTSL = 2724;
MaximumPTSL = 2724795;
PendingOrderValidOneBar = false;
BarsRequired = 120;
StrictStopPrices = true;
LimitSignalsToRange = false;
TimeRangeFrom = 0800;
TimeRangeTo = 1600;


MaxTradesPerDay = 0; // 0 means unlimited
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// ------------------------------------------
// STRATEGY MANAGEMENT
// ------------------------------------------
if(Bars.FirstBarOfSession) tradesPerDay = 0;

// Stop/Limit order expiration handling
// Long --------
if(pendingEntryOrder != null && pendingEntryOrder.OrderAction == OrderAction.Buy) {
// Expiration
if(sqGetPendingOrderBars(pendingEntryOrder) >= 23) {
CancelOrder(pendingEntryOrder);
}
}
// Short --------
if(pendingEntryOrder != null && pendingEntryOrder.OrderAction == OrderAction.SellShort) {
// Expiration
if(sqGetPendingOrderBars(pendingEntryOrder) >= 23) {
CancelOrder(pendingEntryOrder);
}
}

// ------------------------------------------
// ENTRY RULES
// ------------------------------------------
tradeEntered = false;

if(sqCheckTimeWithinRange()) {
// Long --------
if(maxTradesPerDay == 0 || tradesPerDay < maxTradesPerDay) {
bool LongEntryCondition = ((sqDayOfWeek(Time[0].DayOfWeek) != 4 ) && ((Minute < 11) && (sqATR(66, 0) < sqATR(69, 0))));
if(LongEntryCondition == true) {
double price = roundPrice(Open[14] + (0.6) * (sqBarRange(99-1)));
sqEnterLongStop(price);
}
}

// Short --------
if(maxTradesPerDay == 0 || tradesPerDay < maxTradesPerDay) {
bool ShortEntryCondition = ((sqDayOfWeek(Time[0].DayOfWeek) != 4 ) && ((Minute < 11) && (sqATR(66, 0) > sqATR(69, 0))));
if(ShortEntryCondition == true) {
double price = roundPrice(Open[14] + (-0.6) * (sqBarRange(99-1)));
sqEnterShortStop(price);
}
}
}

}

override protected void sqDefineStopLoss(int direction) {
stopLoss.type = CalculationMode.Ticks;

if(direction == 1) {
// long
stopLoss.value = 0;
} else {
// short
stopLoss.value = 0;
}
}

override protected void sqDefineProfitTarget(int direction) {
profitTarget.type = CalculationMode.Ticks;

if(direction == 1) {
// long
profitTarget.value = _round((0.93 * sqATR(97, 0)) / TickSize, 0);
} else {
// short
profitTarget.value = _round((0.93 * sqATR(97, 0)) / TickSize, 0);
}
}

#region Properties
#endregion
}
}

I don't have a clue how to import thecode into NT7 GB. If you can find out that'd be great. I think it needs to be zipped and saved as an NT Strat...edit, tried using notepad and save as a Cs file then zipped it....got an error

 

[Gringotts Bank]

I don't have a clue how to import thecode into NT7 GB. If you can find out that'd be great. I think it needs to be zipped and saved as an NT Strat...edit, tried using notepad and save as a Cs file then zipped it....got an error

I don't use NT7 so I'm not going to be much help there. The code itself is useless, so don't worry too much.

 

[CanOz]

Classic DAX pattern here, buy the restest of the VPOC on a pattern break, if the offers thing and bids thicken up...didn't get the whole measured move but that because i only saw it passing through the garage and didn't know what to expect....Might have got a few more points...

 

[CanOz]

Missed another VPOC test on the DAX tonight while managing this VWAP test buy on the Bund.....

 

[CanOz]

Another nice VWAP play, however i wasn't around to take full use of the multiple contracts....ahh family....

 

[CanOz]

Three trades tonight so far....puttering around really...lunch time too, not ideal...

 

[CanOz]

A last trade before bed....honest

 

[rippedbogan]

Nice trading. Hope to see you continue it. For FGBL and FDAX, how do you gauge, or what information do you consider when expecting a decent volume/volatility session as opposed to a flat session? (obviously pub.holidays are expected to be flat days, data times etc, but what else?)- I am trying to understand what affects/moves these instruments in regards to the underlying fundamentals. Cheers

 

[CanOz]

Well that's a good question ripped....it depends on allot of things, such as where we are in relation to value areas on the composite profile. Where we are in the current bracket, yesterday's value areas. What is the theme driving the market, what news is expected. All these things can help you determine to trade the day as a range extention or rotational day.

 

[CanOz]

Pretty quiet right now, not sure if its just lunch, Christmas or a rest day.....maybe all three.

Anyway, three trades, one left open on the Bund...

 

[CanOz]

Done and dusted...not bad for a slow nite, FOMC apparently....no wonder it was slow! Meant to get into 3 contracts on the bund, but only got filled on one this time....

 

[CanOz]

Two nice trades today on the European markets....missed the retest of the dax consolidation and then took too cracks at the bund as it was getting too short, both break even and then i was feeding austin when it finally went bid....lots of opportunities still around....will post a chart later, still not letting me post png files from my ipad pro.

 

[CanOz]

Just to show how far this Trump fueled Santa rally has come.....The pullback will be sharp and swift as a NYE hangover!

 

[CanOz]

This is a play that i don't see that often but so far has a 100% strike rate. I call it the "hollow profile" . The profile develops with an obvious amount of missing volume at the outlier portion of the profile, sooner or later the market will explore this area for value as it is unfinished business in terms of auction market theory....i didn't trade this but i did trade a similar setup on the Bund a few weeks back....great one for MP users.

 

[OmegaTrader]

Just to show how far this Trump fueled Santa rally has come.....The pullback will be sharp and swift as a NYE hangover!

Do you think the recent rise in global equity markets is the trump factor or seasonality or a combination of both???

I am seeing this recent increase in sp500 on new highs and Asx200 increasing recently too

l am wondering you opinion,

Catalyst?

End in sight?

My view is looking at vix mainly us and aus at historic lows....

Dax doesn't seem as much, but still look lower

When/if the market turns, might be a good idea to be holding options for protection or gains.

my limited twocents

 

[CanOz]

Allot of this is flight to dollar denominated assets I reckon, the US is looking attractive being the only one raising rates. Then you have the seasonality coupled with the pro business feel of the trump team...my two bob....