A Simple Strategy That Needs Help

Discussion in 'Strategy Development' started by hoodooman, Dec 28, 2003.

  1. Here is a simple strategy that I am working on now that looks like a money maker but so far it doesn't work.

    It is a very basic morning breakout trade that, for the short term, appears to have a high probability of success if I could get my trades filled (on IB) but I can't.

    Here is how it works.

    I've culled a very long list of Nasdaq and NYSE stocks that have been in a strong uptrend for the last six months, i.e., the 25ema>50ema for the entire period. Then using a free charting service (cisiova.com), I can rapidly scan this list in 15 minutes after the market closes.

    I look for stocks to trade where the last candle is on or near the 50ema. In other words, the price has moved down and a bounce is anticipated. At this point, I select the stocks with a bullish candle and where the closing price is greater than the open price on the candle. My favorite bullish candle right now is the hammer.

    The six selections with the highest volume or price are the ones that I will trade in the morning.

    I use one minute charts and the parabolic SAR on Quote Tracker.
    The minimum gap constant is zero. This value for the gap always signals an arrow head for the initial buy and sell. This takes the guess work out of what the SAR is trying to tell me.

    So far my selections have a high probability of an initial breakout, to the upside, at the open. The only problem is that when the prices start to move up, my limit orders are almost never filled.

    Can someone tell me how to get a fill in this situation other than a market order. Any other suggestions are greatly appreciated.

    Regards and best wishes for a happy 2004
     
  2. dbphoenix

    dbphoenix

    I won't critique your strategy or your tactics since you didn't ask.

    But.

    If you're using 1m charts, you should know what the open of the entry bar is going to be before it opens since it is likely to equal or be within one tick of the previous bar.

    You don't say what your stop is, but you ought to be able to bracket what you think the open of the bar will be with a limit order and an auto-stop. At least I do, and rarely have a problem.

    For example, if you expect the open of the bar to be 60, enter a limit order at 61 or better and an auto-stop at 59 (again, these numbers are only examples, so everyone can resist the compulsion to protest that the stop is too tight). Yes, price may just take off and never look back, but you'll find that there is more often hesitation at the open of that entry bar before it launches, giving your order time to fill.

    You can, of course, set a higher limit, which makes your stop wider, but you'd have to be more sure that your entry is high-probability.
     
  3. You could design the system via drag and drop with WLD3 in a few minutes and then test it on as how many symbols you wish. In fact you could use the web site to scan for the symbols that fulfill your criteria. The web site only works on EOD data, the software (with the drag and drop functionallity)works with ID data.
     
  4. mikolo

    mikolo

    HI there!!!


    Trading strategy is very personal thing. You focused on the opening of the position. But what is your closing strategy???
    I think closing is the most important case in every strategy!!!




    Pozdrawiam!!!(best wishes in Polish):D
     
  5. thanks for the reply but you can't close if you miss the open.

    regards