It's a volatility breakout system. It measures the range for the past 5 days. Then it figures out the lowest of the 5 ranges and adds/subtracts a percentage of that number from the next days open. It also uses a sliding envelope for the exit and reverse point. For example, if the breakout point is 10 pts., then the initial buy point is the open + 10 pts. If the market opens and drops 5 points, then the buy point slides down and becomes the open + 5 pts. Then if the market rallies above the open and hits the buy stop at the open + 5 pts. it enters a position. The sell stop for reversal would become the entry - 10 pts.. If the market went higher by 3 pts. and then turned, the sell stop would slide up so that it's the buy entry point - 7 pts. Once today's range is within some percent of the lowest 5 day range, a trailing stop is used for the exit of the current long or short position. The trailing stop is a parabolic stop using a factor. The factor is determined by the slope of the move since the entry to find a best fit so that it will exit when the trend starts decaying. Once exited, there are no more trades for the day. One filter it uses is that yesterday's range must be less than the previous days range to initiate a trade. The money management uses a combination of a base number of contracts and adjustments. The base is figured from the average range of the past ten trades versus the previous ten trades. If the range is declining, then the number of contracts is increased. Likewise, if the range is expanding, then the number of contracts is reduced. The adjusted contracts traded is based on all kinds of conditions like 1). If in a drawdown, don't reduce the number of contracts traded until a new equity high is reached, 2). Increment the number of contracts to trade if the last trade was a loser and lost more than the average of the past ten winning trades. 3). If the average winning of the past ten winning trades drops below $2,000, then compute how many additional contracts are needed to keep above this number and add the adjustment on the next trade.... I don't thnk the system is any big deal. All the real profits come from the money management. I needed all this stuff to make sure it would reach my goal of 150k/yr. in income with short drawdown periods. If you have any questions, ask away...
40, While I quit to pursue trading our situations sound similar. Just give yourself a year or two and see how it works out. For me it's been a gift. After being a technology executive in several small and large companies I've enjoyed being on my own for a few years. I have to admit that I also miss the energy of building teams and making things happen that are larger than myself, but those are the tradeoffs you make. Your wifes support is essential, but you already know that best of luck ! Allan
40yo, There is a lot of this on this board. It's resulted in a lot of people leaving. It's one thing if a person does come in here and starts selling, but we never find out one way or the other since the person posting quickly gets frustrated at the negativity and leaves. We've lost some quality posters on this board due to all the negativity. Hopefully you have a thick skin. BTW: You can help ease some of the negativity once you go live by posting eod p&L's. Can you do this?
I could display the daily statement, take a screen snapshot, and block out the stuff I don't want to display. I think this would just bring out more attacks from envious people and the usual "doctored statements" flames. I think I'll just post observations between real, papertrading, and whether the system is working as expected. Anything else is just asking for trouble. The only value in this thread from me is whether the preparation led to positive results in realtime.
Yeah, I agree. Actual numbers just get in the way of a great gag! OK, so I'm being a bit facetious here -- but come on, man. You take the time to post to this thread and then you say, "oh well, I'm not going to actually divulge P&L.
There is an "ignore" botton which comes in very useful for people like this. Keep posting as you were. I, and I'm sure a lot of others, are very very interested in how you go.......... Good luck.
How do you determine the percentage? Check out this article on volatility breakout systems. BTW, this is by one of the Market Wizards from the book which started you rolling. pretzel
40yo's you will be Day Trading, there must be good reasons to trade 5 minute charts instead of shorter time frame? Could you tell us plus and minus for different time frames you tested? Thankyou. No need to wish you good luck, your hard work will pay off, I know you will do good in your trading. Winz